Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of LIBOR interest rate caps and floating to fixed interest rate swaps

As of September 30, 2022, the Company had the following London Inter-Bank Offered Rate (“LIBOR"), SOFR, and BSBY interest rate caps ($ in thousands):

Effective Date	Maturity Date	Notional Amount			Strike Rate		Premium Paid
11/1/2020	11/1/2023	$	84,375	(a)	1.84% (SOFR)		$	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
1/11/2022	2/1/2024	175,000			4.00% (BSBY)		154
4/7/2022	2/1/2024	175,000		(a)	1.00%-3.00% (BSBY)	(b)	3,595
7/1/2022	3/1/2024	200,000		(a)	1.00%-3.00% (SOFR)	(b)	352		(c)
7/5/2022	1/1/2024	50,000		(a)	1.00%-3.00% (SOFR)	(b)	143		(c)
7/5/2022	1/1/2024	35,100		(a)	1.00%-3.00% (SOFR)	(b)	120		(c)
9/1/2022	9/1/2024	73,562		(a)(d)	1.00%-3.00% (SOFR)	(b)	1,370
Total		$	907,516				$	5,874

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(a) Designated as a cash flow hedge.

(b) The Company purchased interest rate caps at 1.00% and sold interest rate caps at 3.00%, resulting in interest rate cap corridors of 1.00% and 3.00%. The intended goal of these corridors is to provide a level of protection from the effect of rising interest rates and reduce the all-in cost of the derivative instrument.

(c) This amount represents the sum of the premiums paid on the original instruments. The caps were blended and extended during the three months ended September 30, 2022.

(d) The notional amount represents the maximum notional amount that will eventually be in effect. The notional amount is scheduled to increase over the term of the corridor in accordance with projected borrowings on the associated loan.

As of September 30, 2022, 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	(a)	1-month LIBOR	2.26	%	3.71	%	4/1/2019	10/26/2022
Senior unsecured term loan	50,000			1-month LIBOR	2.78	%	4.23	%	5/1/2018	5/1/2023
249 Central Park Retail, South Retail, and Fountain Plaza Retail	32,979		(a)	1-month LIBOR	2.25	%	3.85	%	4/1/2019	8/10/2023
Senior unsecured term loan	10,500		(a)	1-month LIBOR	3.02	%	4.47	%	10/12/2018	10/12/2023
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
Thames Street Wharf	69,686		(a)	1-month BSBY	1.05	%	2.35	%	9/30/2021	9/30/2026
Total	$	288,165

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(a) Designated as a cash flow hedge.

Schedule of derivatives

The Company’s derivatives were comprised of the following as of September 30, 2022 and December 31, 2021 (in thousands): 

	September 30, 2022						December 31, 2021
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Asset		Liability				Asset		Liability
Derivatives not designated as accounting hedges
Interest rate swaps	$	50,000	$	390	$	—	$	50,000	$	—	$	(1,454)
Interest rate caps	289,479		2,726		—		399,579		1,019		—
Total derivatives not designated as accounting hedges	339,479		3,116		—		449,579		1,019		(1,454)
Derivatives designated as accounting hedges
Interest rate swaps	238,165		11,960		—		239,633		1,317		(2,013)
Interest rate caps	545,572		15,354		—		384,375		590		—
Total derivatives	$	1,123,216	$	30,430	$	—	$	1,073,587	$	2,926	$	(3,467)

Schedule of changes in fair value of derivatives

The changes in the fair value of the Company’s derivatives during the three and nine months ended September 30, 2022 and 2021 were comprised of the following (in thousands): 

	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Interest rate swaps	$	4,330	$	(60)	$	13,894	$	2,315
Interest rate caps	3,587		(234)		12,586		(27)
Total change in fair value of interest rate derivatives	$	7,917	$	(294)	$	26,480	$	2,288
Comprehensive income statement presentation:
Change in fair value of derivatives and other	$	809	$	166	$	7,700	$	941
Unrealized cash flow hedge gains (losses)	7,108		(460)		18,780		1,347
Total change in fair value of interest rate derivatives	$	7,917	$	(294)	$	26,480	$	2,288