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Derivative Contracts
 3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Contracts Derivative Contracts

We make use of interest rate swap contracts to manage the risk associated with changes in interest rates on our floating-rate debt. When we enter into a floating-rate term loan, we generally enter into an interest rate swap agreement for the equivalent principal amount, for a period covering the majority of the loan term, which effectively converts our floating-rate debt to a fixed-rate basis during that time. We do not speculate in derivatives and we do not make use of any other derivative instruments. See Note 7 regarding our debt, and our consolidated JVs' debt, that is hedged. See Note 15 regarding our unconsolidated Fund's debt that is hedged.

Derivative Summary

As of March 31, 2020, our interest rate swaps, which include the interest rate swaps of our consolidated JVs and our unconsolidated Fund, were designated as cash flow hedges:

 
Number of Interest Rate Swaps
 
Notional
  (In thousands)
 
 
 
 
Consolidated derivatives(1)(2)(4)(5)
47
 
$
5,517,400

Unconsolidated Fund's derivatives(3)(4)(5)
1
 
$
110,000


___________________________________________________
(1)
The notional amount reflects 100%, not our pro-rata share, of our consolidated JVs' derivatives.
(2)
The notional amount includes forward swaps with a total initial notional of $895.0 million, that will increase to $1.48 billion in the future to replace existing swaps as they expire.
(3)
The notional amount reflects 100%, not our pro-rata share, of our unconsolidated Fund's derivatives.
(4)
Our derivative contracts do not provide for right of offset between derivative contracts.
(5)
See Note 12 for our derivative fair value disclosures.


Credit-risk-related Contingent Features

Our swaps include credit-risk related contingent features. For example, we have agreements with certain of our interest rate swap counterparties that contain a provision under which we could be declared in default on our derivative obligations if repayment of the underlying indebtedness that we are hedging is accelerated by the lender due to our default on the indebtedness. As of March 31, 2020, there have been no events of default with respect to our interest rate swaps, our consolidated JVs' or our unconsolidated Fund's interest rate swaps. We do not post collateral for our interest rate swap contract liabilities. The fair value of our interest rate swap contract liabilities, including accrued interest and excluding credit risk adjustments, was as follows:
(In thousands)
March 31, 2020
 
December 31, 2019
 
 
 
 
Consolidated derivatives(1)
$
245,311

 
$
56,896

Unconsolidated Fund's derivatives(2)
$
496

 
$
—


___________________________________________________
(1)
The amounts reflect 100%, not our pro-rata share, of our consolidated JVs' derivatives.
(2)
The amounts reflect 100%, not our pro-rata share, of our unconsolidated Fund's derivatives.
 
Counterparty Credit Risk

We are subject to credit risk from the counterparties on our interest rate swap contract assets because we do not receive collateral. We seek to minimize that risk by entering into agreements with a variety of high quality counterparties with investment grade ratings. The fair value of our interest rate swap contract assets, including accrued interest and excluding credit risk adjustments, was as follows:
(In thousands)
March 31, 2020
 
December 31, 2019
 
 
 
 
Consolidated derivatives(1)
$
59

 
$
23,275

Unconsolidated Fund's derivatives(2)
$
—

 
$
963

___________________________________________________
(1)
The amounts reflect 100%, not our pro-rata share, of our consolidated JVs' derivatives.
(2)
The amounts reflect 100%, not our pro-rata share, of our unconsolidated Fund's derivatives.

Impact of Hedges on AOCI and the Consolidated Statements of Operations

The table below presents the effect of our derivatives on our AOCI and the consolidated statements of operations:

(In thousands)
Three Months Ended March 31,
 
2020
 
2019
Derivatives Designated as Cash Flow Hedges:
 
 
 
 
 
 
 
Consolidated derivatives:
 
 
 
Loss recorded in AOCI before reclassifications(1)
$
(206,597
)
 
$
(21,563
)
Gains reclassified from AOCI to Interest Expense(1)
$
(420
)
 
$
(8,724
)
Interest Expense presented in the consolidated statements of operations
$
(35,420
)
 
$
(33,293
)
Unconsolidated Funds' derivatives (our share)(2):
 
 
 
Loss recorded in AOCI before reclassifications(1)
$
(370
)
 
$
(2,405
)
Gains reclassified from AOCI to Income from unconsolidated Funds(1)
$
(72
)
 
$
(616
)
Income from unconsolidated Funds presented in the consolidated statements of operations
$
323

 
$
1,551

___________________________________________________
(1)
See Note 10 for our AOCI reconciliation.
(2)
We calculate our share by multiplying the total amount for each Fund by our equity interest in the respective Fund.

Future Reclassifications from AOCI

At March 31, 2020, our estimate of the AOCI related to derivatives designated as cash flow hedges that will be reclassified to earnings during the next twelve months as interest rate swap payments are made is as follows:

 
(In thousands)
 
 
Consolidated derivatives:
 
Losses to be reclassified from AOCI to Interest Expense
$
(62,013
)
Unconsolidated Fund's derivative (our share)(1):
 
Losses to be reclassified from AOCI to Income from unconsolidated Funds
$
(371
)

_________________________________________
(1)    We calculate our share by multiplying the total amount for the Fund by our equity interest in the Fund.