Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2016

Derivative Financial Instruments

Schedule of derivative instruments (dollars and GBP in thousands)

The following table summarizes the Company’s outstanding interest-rate and foreign currency swap contracts as of December 31, 2016 (dollars and GBP in thousands):

			Fixed
		Hedge	Rate/Buy				Notional/Sell
Date Entered	Maturity Date	Designation	Amount			Floating/Exchange Rate Index	Amount		Fair Value(1)
Interest rate:
July 2005(2)	July 2020	Cash Flow		3.82	%	BMA Swap Index	$	44,500	$	(3,662)
January 2015(3)	October 2017	Cash Flow		1.79	%	1 Month GBP LIBOR+0.975%	£	220,000		(1,195)
Foreign currency:
January 2015(4)	October 2017	Cash Flow	$	16,000		Buy USD/Sell GBP	£	10,500		2,920

(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 the Company’s forecasted GBP denominated interest receipts on its HC-One Facility. Represents a currency swap to sell £1.0 million monthly at a rate of 1.5149 through October 2017.