Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments

Schedule of Outstanding Derivative Instruments

As of September 30, 2020 and December 31, 2019, we had the following outstanding interest rate derivatives that were designated as effective cash flow hedges of interest rate risk (in thousands):

										Fair Value at Significant Other
Notional Amount										Observable Inputs (Level 2)
As of			As of							As of		As of
September 30,			December 31,			Type of	Strike	Effective	Expiration	September 30,		December 31,
2020			2019			Derivative	Rate	Date	Date	2020 (3)		2019 (3)
Currently-paying contracts
$	—		$	29,000	(1)	Swap	1.016	Apr 6, 2016	Jan 6, 2021	$	—	$	175
	—			75,000	(1)	Swap	1.164	Jan 15, 2016	Jan 15, 2021		—		345
	104,000	(1)		300,000	(1)	Swap	1.435	Jan 15, 2016	Jan 15, 2023		(3,138)		945
	73,944	(2)		75,825	(2)	Swap	0.779	Jan 15, 2016	Jan 15, 2021		(64)		931
$	177,944		$	479,825						$	(3,202)	$	2,396

(1) Represents debt which bears interest based on one-month U.S. LIBOR.

(2) Represents debt which bears interest based on one-month CDOR. Translation to U.S. dollars is based on exchange rates of $0.75 to 1.00 CAD as of September 30, 2020 and $0.77 to 1.00 CAD as of December 31, 2019.

(3) Balance recorded in other assets in the consolidated balance sheets if positive and recorded in accounts payable and other accrued liabilities in the consolidated balance sheets if negative.

On September 24, 2020, in connection with the paydown of our 2023 Term Loan, we terminated interest rate swap agreements with notional amounts in the aggregate of $300.0 million. As a result of the termination, the accumulated fair value of the interest rate swaps was reclassified from accumulated other comprehensive income to interest expense on the accompanying condensed consolidated income statements, which resulted in a realized loss of approximately $6.4 million.