Derivative Financial Instruments

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

10. DERIVATIVE FINANCIAL INSTRUMENTS

The following table summarizes the terms and fair values of the Company’s derivative financial instruments as of March 31, 2021 and December 31, 2020. The notional amounts provide an indication of the extent of the Company’s involvement in these instruments at that time, but do not represent exposure to credit, interest rate or market risks (amounts presented in thousands).


Hedge Product	Hedge Type	Designation		Notional Amount				Strike		Trade Date	Maturity Date	Fair value
				3/31/2021		12/31/2020						3/31/2021		12/31/2020



Liabilities
Swap	Interest Rate	Cash Flow	(a)	$	250,000	$	250,000	2.868	%	October 8, 2015	October 8, 2022	$	(5,600)	$	(6,627)
Swap	Interest Rate	Cash Flow	(b)	—		25,774		3.300	%	December 22, 2011	January 30, 2021	—		(120)
				$	250,000	$	275,774

(a)Hedging unsecured variable rate debt.

(b)On January 30, 2021, the interest rate hedge contract for this swap expired.

The Company measures its derivative instruments at fair value and records them in “Other assets” and (“Other liabilities”) on the Company’s consolidated balance sheets.

Although the Company has determined that the majority of the inputs used to value its derivatives fall within Level 2 of the fair value hierarchy, the credit valuation adjustments associated with its derivatives utilize Level 3 inputs, such as estimates of current credit spreads to evaluate the likelihood of default by itself and its counterparties. The Company has assessed the significance of the impact of the credit valuation adjustments on the overall valuation of its derivative positions and has determined that the credit valuation adjustments are not significant to the overall valuation of its derivatives. As a result, the Company has determined that the inputs utilized to determine the fair value of derivative instruments are classified in Level 2 of the fair value hierarchy.

Disclosure about the fair value of derivative instruments is based upon pertinent information available to management as of March 31, 2021 and December 31, 2020. Although management is not aware of any factors that would significantly affect the fair value amounts, such amounts have not been comprehensively revalued for purposes of these financial statements since March 31, 2021. Current estimates of fair value may differ from the amounts presented herein.