Derivative Instruments

9 Months Ended

Sep. 30, 2012

Derivative Instruments

15. Derivative Instruments

The following table sets forth the terms of our interest rate swap derivative instruments at September 30, 2012 (amounts in thousands):

Type of Instrument	Notional Amount		Fair Value			Pay Fixed Rate			Receive Variable Rate			Maturity Date
Non-qualifying Interest Rate Swap on Thames Valley Retail Park debt(1)	$	9,107		(288	)		5.41	%		0.68	%		May 30, 2013
Non-qualifying Interest Rate Swap on Albion Mills debt(1)	$	9,227		(317	)		3.94	%		0.86	%		October 10, 2013
Qualifying Interest Rate Swap on Maskew Retail Park debt(1)	$	22,566		(1,170	)		3.42	%		0.78	%		August 10, 2014
Qualifying Interest Rate Swap on Pacific Corporate Park debt	$	79,750		(7,006	)		2.69	%		0.25	%		December 7, 2017
Qualifying Interest Rate Swap on 100 Kimball Drive debt	$	32,023		(4,869	)		3.50	%		0.23	%		March 1, 2021
Qualifying Interest Rate Swap on Kings Mountain III debt	$	11,401		(957	)		2.47	%		0.23	%		July 1, 2018

⁽¹⁾  Based on three month GBP-based LIBOR BBA Index with variable rate reset dates every 90 days during the term of the swaps.

The following table sets forth the terms of our interest rate swap derivative instruments at December 31, 2011 (amounts in thousands):

Type of Instrument	Notional Amount		Fair Value			Pay Fixed Rate			Receive Variable Rate			Maturity Date
Non-qualifying Interest Rate Swap on Thames Valley Drive Retail Park debt(1)	$	8,762		(520	)		5.41	%		1.04	%		May 30, 2013
Non-qualifying Interest Rate Swap on Albion Mills debt(1)	$	8,877		(438	)		3.94	%		0.96	%		October 10, 2013
Qualifying Interest Rate Swap on Maskew Retail Park debt(1)	$	21,710		(1,250	)		3.42	%		0.97	%		August 10, 2014
Qualifying Interest Rate Swap on Wells Fargo Credit Facility loan	$	15,000		(540	)		2.10	%		0.27	%		May 26, 2014
Qualifying Interest Rate Swap on Pacific Corporate Park debt	$	82,000		(5,721	)		2.69	%		0.32	%		December 7, 2017
Qualifying Interest Rate Swap on 100 Kimball Drive debt	$	32,521		(4,120	)		3.50	%		0.27	%		March 1, 2021
Qualifying Interest Rate Swap on Kings Mountain III debt	$	11,595		(709	)		2.47	%		0.27	%		July 1, 2018

⁽¹⁾  Based on three month GBP-based LIBOR BBA Index with variable-rate reset dates every 90 days during the term of the swaps.

We marked our two non-qualifying economic hedge interest rate swap instruments to their estimated liability value of $605,000 and $958,000 on the consolidated balance sheet at September 30, 2012 and December 31, 2011, respectively, which are included in Liabilities as Interest Rate Swaps at Fair Value. We recognized a gain on interest rate swaps of $380,000 and $177,000 for the nine months ended September 30, 2012 and 2011, respectively, included in Gain on Interest Rate Swaps on the Consolidated Statement of Operations.

Our $22,566,000 notional amount interest rate swap has been designated as a qualifying cash flow hedge of the LIBOR base payments due under our Maskew Retail Park variable-rate note payable from its inception on September 24, 2009. The estimated fair value of the interest rate swap liability value of $1,170,000 and $1,250,000 as of September 30, 2012 and December 31, 2011, respectively, has resulted in a swap fair value adjustment being recorded to other comprehensive (loss) gain totaling ($80,000) and $292,000 for the nine months ended September 30, 2012 and 2011, respectively.

Our $15,000,000 notional amount interest rate swap has been terminated under our Wells Fargo Credit Facility variable-rate loan payable on September 13, 2012. We incurred a $495,000 cost in relation to the termination of this swap arrangement.

Our $79,750,000 notional amount interest rate swap has been designated as a qualifying cash flow hedge of the LIBOR base payments due under our Pacific Corporate Park variable-rate loan payable from its inception on December 7, 2010. The estimated fair value of the interest rate swap value of $7,006,000 and $5,721,000 as of September 30, 2012 and December 31, 2011, respectively, has resulted in a swap fair value adjustment being recorded to other comprehensive loss totaling $1,285,000 and $5,013,000 for the nine months ended September 30, 2012 and 2011, respectively.

Our $32,023,000 notional amount interest rate swap has been designated as a qualifying cash flow hedge of the LIBOR base payments due under our 100 Kimball Drive variable-rate loan payable from its inception on March 1, 2011. The estimated fair value of the interest rate swap liability value of $4,869,000 and $4,120,000 as of September 30, 2012 and December 31, 2011, respectively, has resulted in a swap fair value adjustment being recorded to other comprehensive loss totaling $749,000 and $3,981,000 for the nine months ended September 30, 2012 and 2011, respectively.

Our $11,401,000 notional amount interest rate swap has been designated as a qualifying cash flow hedge of the LIBOR base payments due under our Kings Mountain III variable-rate loan payable from its inception on July 1, 2011. The estimated fair value of the interest rate swap liability value of $957,000 and $709,000 as of September 30, 2012 and December 31, 2011, respectively, has resulted in a swap fair value adjustment being recorded to other comprehensive loss totaling $248,000 and $656,000 for the nine months ended September 30, 2012 and 2011, respectively.

There was no measured ineffectiveness for any of our qualifying hedges during the nine months ended September 30, 2012 and 2011. There were no amounts of deferred gains or losses that are reported in AOCI that are expected to be reclassified into earnings in the next 12 months.