Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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	$	(6,087)
November 2008(3)	October 2016	Cash Flow		5.95	%	1 Month LIBOR+1.50%	$	25,200	$	(1,063)
July 2012(4)	June 2016	Cash Flow		1.81	%	1 Month GBP LIBOR+1.20%	£	137,000	$	(77)
January 2015(4)	October 2017	Cash Flow		1.79	%	1 Month GBP LIBOR+0.975%	£	220,000	$	(428)
Foreign currency:
July 2012(5)	June 2016	N/A	$	22,700		Buy USD/Sell GBP	£	14,500	$	835
July 2014(6)	December 2015	Cash Flow	$	1,900		Buy USD/Sell GBP	£	1,100	$	212
January 2015(7)	October 2017	Cash Flow	$	39,800		Buy USD/Sell GBP	£	26,300	$	72

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

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

(5) 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 notes. Represents a currency swap to sell £7.2 million at a rate of 1.5695 on various dates through June 2016.

(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 intercompany loans. Represents a currency swap to sell £0.4 million at a rate of 1.7060 on various dates through December 2015.

(7) 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	$	1,108	$	(958)	$	2,142	$	(1,992)
November 2008	October 2016		132		(131)		263		(262)
July 2012	June 2016		802		(664)		1,546		(1,386)
January 2015	October 2017		3,234		(3,650)		6,676		(7,092)
Foreign currency:
July 2012	June 2016		(123)		96		(233)		205
July 2014	December 2015		(9)		8		(17)		16
January 2015	October 2017		(226)		172		(424)		371