Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2015

Derivative Financial Instruments

Schedule of derivative instruments (dollars and GBP in thousands)

The following table summarizes the Company’s outstandinginterest-rate and foreign currency swap contracts as of March 31, 2015 (dollars and GBP in thousands):

			Fixed
		Hedge	Rate/Buy			Floating/Exchange	Notional/
Date Entered	Maturity Date	Designation	Amount			Rate Index	Sell Amount		Fair Value(1)
Interest rate:
July 2005(2)	July 2020	Cash Flow		3.82	%	BMA Swap Index	$	45,600	$	(6,129)
November 2008(3)	October 2016	Cash Flow		5.95	%	1 Month LIBOR+1.50%	$	25,600	$	(1,540)
July 2012(3)	June 2016	Cash Flow		1.81	%	1 Month GBP LIBOR+1.20%	£	137,000	$	(84)
January 2015(3)	October 2017	Cash Flow		1.79	%	1 Month GBP LIBOR+0.975%	£	220,000	$	(67)
Foreign currency:
July 2012(4)	June 2016	Cash Flow	$	34,100		Buy USD/Sell GBP	£	21,700	$	1,887
July 2014(5)	December 2015	Cash Flow	$	5,600		Buy USD/Sell GBP	£	3,300	$	732
January 2015(6)	October 2017	Cash Flow	$	49,300		Buy USD/Sell GBP	£	32,500	$	983

(1) Derivative assets are recorded in other assets, net and derivative liabilities are recorded in accounts payable and accrued liabilities on the consolidated balance sheets.

(2) Represents three interest-rate swap contracts, which hedge fluctuations in interest payments on variable-rate secured debt due to overall changes in hedged cash flows.

(3) Hedges fluctuations in interest payments on variable-rate unsecured debt due to fluctuations in the underlying benchmark interest rate.

(4) Currency swap contract (buy USD/sell GBP) hedges the foreign currency exchange risk related to a portion of the Company’s forecasted interest receipts on GBP denominated senior unsecured notes. Represents a currency swap to sell £7.2 million at a rate of 1.5695 on various dates through June 2016.

(5) Currency swap contract (buy USD/sell GBP) hedges the foreign currency exchange risk related to the Company’s forecasted GBP denominated interest receipts on intercompany loans. Represents a currency swap to sell £0.4 million at a rate of 1.7060 on various dates through December 2015.

(6) Currency swap contract (buy USD/sell GBP) hedges the foreign currency exchange risk related to the Company’s forecasted GBP denominated interest receipts on its HC-One Facility. Represents a currency swap to sell approximately £1.0million monthly at a rate of 1.5149through October 2017.

Schedule of effect of change in interest and foreign currency rate (dollars in thousands)

		Effects of Change in Interest and Foreign Currency Rates
		+50 Basis		-50 Basis		+100 Basis		-100 Basis
Date Entered	Maturity Date	Points		Points		Points		Points
Interest rate:
July 2005	July 2020	$	1,082	$	(1,184)	$	2,215	$	(2,317)
November 2008	October 2016		200		(190)		396		(386)
July 2012	June 2016		1,242		(1,205)		2,466		(2,429)
January 2015	October 2017		4,165		(4,180)		8,338		(8,353)
Foreign currency:
July 2012	June 2016		1,745		2,067		1,584		2,228
July 2014	December 2015		711		760		687		784
January 2015	October 2017		831		1,313		590		1,554