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Financial Instruments: Derivatives and Hedging
 3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Financial Instruments: Derivatives and Hedging Financial Instruments: Derivatives and Hedging
In the normal course of business, we use a variety of commonly used derivative instruments, such as interest rate swaps, caps, collar and floors, to manage, or hedge interest rate risk. We hedge our exposure to variability in future cash flows for forecasted transactions in addition to anticipated future interest payments on existing debt. We recognize all derivatives on the balance sheet at fair value. Derivatives that are not hedges are adjusted to fair value through earnings. If a derivative is a hedge, depending on the nature of the hedge, changes in the fair value of the derivative will either be offset against the change in fair value of the hedge asset, liability, or firm commitment through earnings, or recognized in other comprehensive income (loss) until the hedged item is recognized in earnings. Reported net income and equity may increase or decrease prospectively, depending on future levels of interest rates and other variables affecting the fair values of derivative instruments and hedged items, but will have no effect on cash flows. Currently, all of our designated derivative instruments are effective hedging instruments.
The following table summarizes the notional value at inception and fair value of our consolidated derivative financial instruments at March 31, 2021 based on Level 2 information. The notional value is an indication of the extent of our involvement in these instruments at that time, but does not represent exposure to credit, interest rate or market risks (dollars in thousands).
Notional
Value		Strike
Rate		Effective
Date		Expiration
Date		Balance Sheet LocationFair
Value
Interest Rate Swap$350,000 0.544 %April 2020August 2021Other Liabilities$(472)
Interest Rate Cap111,869 3.500 %December 2020November 2021Other Assets— 
Interest Rate Cap510,000 3.000 %June 2020December 2021Other Assets— 
Interest Rate Swap200,000 0.138 %February 2021February 2022Other Liabilities(3)
Interest Rate Swap100,000 0.136 %February 2021February 2022Other Assets— 
Interest Rate Cap85,000 4.000 %March 2021March 2022Other Assets— 
Interest Rate Swap100,000 0.212 %January 2021January 2023Other Assets95 
Interest Rate Swap400,000 0.160 %February 2021February 2023Other Assets270 
Interest Rate Swap200,000 1.131 %July 2016July 2023Other Liabilities(4,017)
Interest Rate Swap100,000 1.161 %July 2016July 2023Other Liabilities(2,077)
Interest Rate Swap150,000 2.696 %January 2019January 2024Other Liabilities(9,675)
Interest Rate Swap150,000 2.721 %January 2019January 2026Other Liabilities(13,117)
Interest Rate Swap200,000 2.740 %January 2019January 2026Other Liabilities(17,672)
$(46,668)
No gains or losses on the changes in the fair values were included in interest expense in the consolidated statements of operations during the three months ended March 31, 2021 or 2020.
The Company has agreements with each of its derivative counterparties that contain a provision where if the Company defaults on any of its indebtedness, then the Company could also be declared in default on its derivative obligations. As of March 31, 2021, the fair value of derivatives in a net liability position, including accrued interest but excluding any adjustment for nonperformance risk related to these agreements, was $48.3 million. As of March 31, 2021, the Company had not posted any collateral related to these agreements and was not in breach of any agreement provisions. If the Company had breached any of these provisions, it could have been required to settle its obligations under the agreements at their aggregate termination value of $49.0 million at March 31, 2021.
Gains and losses on terminated hedges are included in accumulated other comprehensive income (loss), and are recognized into earnings over the term of the related mortgage obligation. Over time, the realized and unrealized gains and losses held in accumulated other comprehensive loss will be reclassified into earnings as an adjustment to interest expense in the same periods in which the hedged interest payments affect earnings. We estimate that $16.6 million of the current balance held in accumulated other comprehensive loss will be reclassified into interest expense and $2.2 million of the portion related to
our share of joint venture accumulated other comprehensive loss will be reclassified into equity in net loss from unconsolidated joint ventures within the next 12 months.
The following table presents the effect of our derivative financial instruments and our share of our joint ventures' derivative financial instruments that are designated and qualify as hedging instruments on the consolidated statements of operations for the three months ended March 31, 2021 and 2020, respectively (in thousands):
 Amount of Gain (Loss)
Recognized in
Other Comprehensive
Income (Loss)		Location of Loss Reclassified from Accumulated Other Comprehensive Loss into Income Amount of Loss Reclassified from
Accumulated Other
Comprehensive Loss into Income
Three Months Ended March 31,Three Months Ended March 31,
Derivative2021202020212020
Interest Rate Swaps/Caps$10,220 $(45,082)Interest expense$(4,388)$(725)
Share of unconsolidated joint ventures' derivative instruments34,955 (7,089)Equity in net loss from unconsolidated joint ventures(1,700)(711)
$45,175 $(52,171)$(6,088)$(1,436)
The following table summarizes the notional value at inception and fair value of our joint ventures' derivative financial instruments at March 31, 2021 based on Level 2 information. The notional value is an indication of the extent of our involvement in these instruments at that time, but does not represent exposure to credit, interest rate or market risks (dollars in thousands).
Notional
Value		Strike
Rate		Effective
Date		Expiration
Date		ClassificationFair
Value
Interest Rate Swap$177,000 1.669 %March 2016February 2026Liability$(6,459)
Interest Rate Cap375,000 2.600 %August 2018September 2021Asset— 
Interest Rate Cap20,026 2.600 %April 2019September 2021Asset— 
Interest Rate Cap198,000 4.000 %August 2019August 2022Asset2 
Interest Rate Cap220,000 4.000 %February 2020February 2022Asset— 
Interest Rate Cap550,000 3.750 %August 2020September 2023Asset138 
Interest Rate Cap1,075,000 3.750 %September 2020September 2021Asset— 
Interest Rate Cap125,000 3.750 %September 2020September 2021Asset— 
Interest Rate Cap1,250,000 1.250 %November 2020October 2024Asset5,764 
Interest Rate Cap23,000 4.750 %January 2021January 2023Asset1 
Interest Rate Swap2,250,000 1.611 %June 2021June 2031Asset42,635 
$42,081