XML 94 R32.htm IDEA: XBRL DOCUMENT

DERIVATIVE INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2019

Schedule of the Company's Derivative Assets and Liabilities


	Fair Value
	At				At
	December 31, 2019				December 31, 2018
(in thousands)	Assets		Liabilities		Assets		Liabilities
Total return swaps	$	─	$	─	$	1,130	$	─
Basis swaps		318		─		808		─
Interest rate caps		227		─		998		─
Interest rate swaps		52		─		2,674		─
Foreign currency forward exchange		─		117		187		─
Total carrying value of derivative instruments	$	597	$	117	$	5,797	$	─

Schedule of Derivative Notional Amounts


	Notional Amounts
	At		At
	December 31,		December 31,
(in thousands)	2019		2018
Total return swaps	$	─	$	18,278
Basis swaps		35,000		35,000
Interest rate caps		35,000		80,000
Interest rate swaps		35,000		65,000
Foreign currency forward exchange		4,685		4,331
Total notional amount of derivative instruments	$	109,685	$	202,609

Schedule of notional amounts of company derivative instruments


	Notional
	Amounts
Balance, January 1, 2019	$	198,278
Impact from expirations		(46,714)
Impact from terminations		(46,528)
Impact from settlements		(36)
Balance, December 31, 2019	$	105,000

Schedule of Net Gains Recognized Recognized In Connection With Derivative Instruments


	For the year ended
	December 31,
(in thousands)	2019		2018
Total return swaps (1)	$	(42)	$	3,154
Basis swaps (2)		(270)		449
Interest rate caps		(771)		210
Interest rate swaps (3)		(2,341)		422
Foreign currency forward exchange		(299)		352
Total net (losses) gains of derivative instruments	$	(3,723)	$	4,587

⁽¹⁾

The accrual of net interest payments that are made in connection with TRS agreements that are reported as derivative instruments are classified as a component of “Net (losses) gains on derivatives” on the Consolidated Statements of Operations. Net cash received was $0.2 million and $2.5 million for the years ended December 31, 2019 and December 31, 2018, respectively.

⁽²⁾

The accrual of net interest payments that are made in connection with basis swaps is classified as a component of “Net (losses) gains on derivatives” on the Consolidated Statements of Operations. The net cash received was $0.2 million for the year ended December 31, 2019, while the net cash received was de minimis for the year ended December 31, 2018.

The accrual of net interest payments that are made in connection with interest rate swaps is classified as a component of “Net (losses) gains on derivatives” on the Consolidated Statements of Operations. Net cash received was $0.2 million and $0.5 million for the years ended December 31, 2019 and December 31, 2018, respectively. During the year ended December 31, 2018, the Company also received $0.3 million to amend two interest rate swaps and recorded $0.3 million through “Other assets” on the Consolidated Balance Sheets. The amount recorded to “Net (losses) gains on derivatives” on the Consolidated Statements of Operations was de minimis for the year ended December 31, 2018.