Derivative Instruments and Hedging

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging

Derivative Instruments and Hedging

Interest Rate Derivatives—We are exposed to risks arising from our business operations, economic conditions and financial markets. To manage these risks, we primarily use interest rate derivatives to hedge our debt and our cash flows. The interest rate derivatives currently include interest rate caps and interest rate floors. These derivatives are subject to master netting settlement arrangements. To mitigate the nonperformance risk, we routinely use a third party’s analysis of the creditworthiness of the counterparties, which supports our belief that the counterparties’ nonperformance risk is limited. All derivatives are recorded at fair value.

The following table presents a summary of our interest rate derivatives entered into over each applicable period:

	Three Months Ended March 31,
	2021				2020
Interest rate caps:
Notional amount (in thousands)	$	1,976,000		(1)	$	432,000		(1)
Strike rate low end of range	3.15		%		3.00		%
Strike rate high end of range	4.00		%		4.00		%
Effective date range	January 2021 - March 2021				January 2020
Termination date range	November 2021 - April 2022				February 2021 - February 2022
Total cost (in thousands)	$	291			$	63

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(1)These instruments were not designated as cash flow hedges.

We held interest rate instruments as summarized in the table below:

	March 31, 2021				December 31, 2020
Interest rate caps:
Notional amount (in thousands)	$	2,183,281		(1)	$	842,000		(1)
Strike rate low end of range	3.00		%		3.00		%
Strike rate high end of range	4.00		%		4.00		%
Termination date range	November 2021 - April 2022				February 2021 - February 2022
Aggregate principle balance on corresponding mortgage loans (in thousands)	$	2,030,281			$	697,000
Interest rate floors: (2)
Notional amount (in thousands)	$	25,000		(1)	$	25,000		(1)
Strike rate low end of range	1.25		%		1.25		%
Strike rate high end of range	1.25		%		1.25		%
Termination date range	November 2021				November 2021

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(1)These instruments were not designated as cash flow hedges.

(2)Cash collateral is posted by us as well as our counterparties. We offset the fair value of the derivative and the obligation/right to return/reclaim cash collateral.

Embedded Debt Derivative—Based on certain provisions in the Oaktree Credit Agreement, the Company is required to pay an exit fee, as described in note 7. Under the applicable accounting guidance, the exit fee is considered an embedded derivative liability that meets the criteria for bifurcation from the debt host. The embedded debt derivative will be initially measured at fair value and the fair value of the embedded debt derivative will be estimated at each reporting period.