Derivative Financial Instruments

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments

Derivative Financial Instruments

The Company enters into interest rate derivative contracts to manage exposure to interest rate risks. The Company does not use derivative financial instruments for trading or speculative purposes. Derivative financial instruments are recognized at fair value and presented within other assets and other liabilities in the condensed consolidated balance sheets. Gains and losses resulting from changes in the fair value of derivatives that are neither designated nor qualify as hedging instruments are recognized within the change in fair value of interest rate derivatives in the condensed consolidated statements of comprehensive income. For derivatives that qualify as cash flow hedges, the gain or loss is reported as a component of other comprehensive income (loss) and reclassified into earnings in the periods during which the hedged forecasted transaction affects earnings.

As of March 31, 2021, the Company had the following LIBOR and Secured Overnight Financing Rate ("SOFR") interest rate caps ($ in thousands):

Effective Date	Maturity Date	Notional Amount			Strike Rate		Premium Paid
5/15/2019	6/1/2022	$	100,000		2.50% (LIBOR)		$	288
1/10/2020	2/1/2022	50,000		(b)	1.75% (LIBOR)		87
1/28/2020	2/1/2022	50,000		(b)	1.75% (LIBOR)		62
3/2/2020	3/1/2022	100,000		(b)	1.50% (LIBOR)		111
7/1/2020	7/1/2023	100,000		(b)	0.50% (LIBOR)		232
11/1/2020	11/1/2023	84,375		(b)	1.84% (SOFR)	(a)	91
2/2/2021	2/1/2023	100,000			0.50% (LIBOR)		45
3/4/2021	4/1/2023	14,479			2.50% (LIBOR)		4
Total		$	598,854				$	920

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(a) This interest rate cap is subject to SOFR, which has been identified as the alternative to LIBOR. LIBOR will be phased out beginning December 31, 2021.

(b) Designated as a cash flow hedge

As of March 31, 2021, the Company held the following floating-to-fixed interest rate swaps ($ in thousands):

Related Debt	Notional Amount			Index	Swap Fixed Rate		Debt effective rate		Effective Date	Expiration Date
Senior unsecured term loan	$	50,000		1-month LIBOR	2.78	%	4.23	%	5/1/2018	5/1/2023
John Hopkins Village	50,609		(a)	1-month LIBOR	2.94	%	4.19	%	8/7/2018	8/7/2025
Senior unsecured term loan	10,500		(a)	1-month LIBOR	3.02	%	4.47	%	10/12/2018	10/12/2023
249 Central Park Retail, South Retail, and Fountain Plaza Retail	33,750		(a)	1-month LIBOR	2.25	%	3.85	%	4/1/2019	8/10/2023
Senior unsecured term loan	50,000		(a)	1-month LIBOR	2.26	%	3.71	%	4/1/2019	10/26/2022
Thames Street Wharf	70,000		(a)	1-month LIBOR	0.51	%	1.81	%	3/26/2020	6/26/2024
Senior unsecured term loan	25,000		(a)	1-month LIBOR	0.50	%	1.95	%	4/1/2020	4/1/2024
Senior unsecured term loan	25,000		(a)	1-month LIBOR	0.50	%	1.95	%	4/1/2020	4/1/2024
Senior unsecured term loan	25,000		(a)	1-month LIBOR	0.55	%	2.00	%	4/1/2020	4/1/2024
Total	$	339,859

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(a) Designated as a cash flow hedge.

For the interest rate swaps and caps designated as cash flow hedges, realized losses are reclassified out of accumulated other comprehensive loss to interest expense in the Condensed Consolidated Statements of Comprehensive Income due to payments made to the swap counterparty. During the next 12 months, the Company anticipates reclassifying approximately $4.3 million of net hedging losses from accumulated other comprehensive loss into earnings to offset the variability of the hedged items during this period.

The Company’s derivatives were comprised of the following as of March 31, 2021 and December 31, 2020 (in thousands): 

	March 31, 2021						December 31, 2020
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Asset		Liability				Asset		Liability
Derivatives not designated as accounting hedges
Interest rate swaps	$	50,000	$	—	$	(2,665)	$	50,000	$	—	$	(3,056)
Interest rate caps	214,480		88		—		150,000		4		—
Total derivatives not designated as accounting hedges	264,480		88		(2,665)		200,000		4		(3,056)
Derivatives designated as accounting hedges
Interest rate swaps	289,859		—		(8,707)		290,231		—		(11,797)
Interest rate caps	384,375		292		—		384,375		86		—
Total derivatives	$	938,714	$	380	$	(11,372)	$	874,606	$	90	$	(14,853)

The changes in the fair value of the Company’s derivatives during the three months ended March 31, 2021 and 2020 were comprised of the following (in thousands): 

	Three Months Ended March 31,
	2021		2020
Interest rate swaps	$	2,462	$	(9,084)
Interest rate caps	241		(141)
Total change in fair value of interest rate derivatives	$	2,703	$	(9,225)
Comprehensive income statement presentation:
Change in fair value of derivatives and other	$	427	$	(1,736)
Unrealized cash flow hedge gains (losses)	2,276		(7,489)
Total change in fair value of interest rate derivatives	$	2,703	$	(9,225)