Financial Instruments and Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2018

Schedule of fair value, assets and liabilities measured on recurring basis

The following table presents the Company’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis (in thousands):



	March 31, 2018						December 31, 2017
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets
Money Market Funds	$	105	$	—	$	—	$	3	$	—	$	—
Derivative financial instruments	—		9,958		—		—		4,402		—
Liabilities
Derivative financial instruments	—		1,238		—		—		1,467		—

Schedule of derivative financial instruments

The Company had the following interest rate swaps for the periods presented (dollars in thousands):



	Aggregate Notional Amount				Strike Rate			Balance Sheet Location	Fair Value
Derivative Instrument	Aggregate Notional Amount		Effective Date	Maturity Date	Low		High	Balance Sheet Location	March 31, 2018			December 31, 2017
Core
Interest Rate Swaps	$	69,864	October 2011 - March 2018	July 2018 - March 2028	2.9%	—	3.77%	Other Liabilities	$	(1,238	)	$	(1,438	)
Interest Rate Swaps	336,823		February 2013 - December 2017	November 2018 - July 2027	1.24%	—	3.77%	Other Assets	8,458			4,076
	$	406,687							$	7,220		$	2,638

Fund II
Interest Rate Swap	$	19,503	October 2014	November 2021	2.88%	—	2.88%	Other Assets	$	155		$	—
Interest Rate Swaps	—		October 2014	November 2021	2.88%	—	2.88%	Other Liabilities	—			(29		)
Interest Rate Cap	29,500		April 2013	April 2018	4.00%	—	4.00%	Other Assets	—			—
	$	49,003							$	155		$	(29	)

Fund III
Interest Rate Cap	$	58,000	December 2016	January 2020	3.00%	—	3.00%	Other Assets	$	48		$	14

Fund IV
Interest Rate Swaps	$	86,517	May 2014 - November 2017	May 2019 - April 2022	1.78%	—	2.11%	Other Assets	$	1,222		$	295
Interest Rate Caps	108,900		July 2016 - November 2016	August 2019 - December 2019	3.00%	—	3.00%	Other Assets	65			17
	$	195,417							$	1,287		$	312

Fund V
Interest Rate Swaps	$	16,900	January 2018	February 2021	2.41%	—	2.41%	Other Assets	$	10		$	—

Total asset derivatives									$	9,958		$	4,402
Total liability derivatives									$	(1,238	)	$	(1,467	)

Gain (loss) on derivative instruments within the statement of income

The following table presents the location in the financial statements of the income (losses) recognized related to the Company’s cash flow hedges (in thousands):



	Three Months Ended March 31,
	2018		2017
Amount of (loss) income related to the effective portion recognized in other comprehensive income	$	5,653	$	118
Amount of loss related to the effective portion subsequently reclassified to earnings	—		—
Amount of gain (loss) related to the ineffective portion and amount excluded from effectiveness testing	—		—

Fair value, by balance sheet grouping

The Company’s other financial instruments had the following carrying values and fair values as of the dates shown (dollars in thousands):



		March 31, 2018				December 31, 2017
	Level	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
Notes Receivable^(a)	3	$	108,959	$	105,985	$	153,829	$	151,712
Mortgage and Other Notes Payable^(a)	3	923,287		912,968		921,261		921,891
Investment in non-traded equity securities ^(b)	3	—		22,824		—		22,824
Unsecured notes payable and Unsecured line of credit^(c)	2	544,425		544,506		517,125		515,330

__________

(a)

The Company determined the estimated fair value of these financial instruments using a discounted cash flow model with rates that take into account the credit of the borrower or tenant, where applicable, and interest rate risk. The Company also considered the value of the underlying collateral, taking into account the quality of the collateral, the credit quality of the borrower, the time until maturity and the current market interest rate environment.


(b)	Represents Fund II’s cost-method investment in Albertson’s supermarkets (Note 4).

(c)

The Company determined the estimated fair value of the unsecured notes payable and unsecured line of credit using quoted market prices in an open market with limited trading volume where available. In cases where there was no trading volume, the Company determined the estimated fair value using a discounted cash flow model using a rate that reflects the average yield of similar market participants.