Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Derivative Financial Instruments

Schedule of derivative instruments (dollars and GBP in thousands)

The following table summarizes the Company’s outstandinginterest-rate and foreign currency swap contracts as of June 30, 2015 (dollars and GBP in thousands):

			Fixed
		Hedge	Rate/Buy			Floating/Exchange	Notional/
Date Entered	Maturity Date	Designation	Amount			Rate Index	Sell Amount		Fair Value(1)
Interest rate:
July 2005(2)	July 2020	Cash Flow		3.82	%	BMA Swap Index	$	45,600	$	(5,718)
November 2008(3)	October 2016	Cash Flow		5.95	%	1 Month LIBOR+1.50%	$	25,500	$	(1,297)
July 2012(3)	June 2016	Cash Flow		1.81	%	1 Month GBP LIBOR+1.20%	£	137,000	$	43
January 2015(3)	October 2017	Cash Flow		1.79	%	1 Month GBP LIBOR+0.975%	£	220,000	$	1,481
Foreign currency:
July 2012(4)	June 2016	Cash Flow	$	22,700		Buy USD/Sell GBP	£	14,500	$	7
July 2014(5)	December 2015	Cash Flow	$	3,700		Buy USD/Sell GBP	£	2,200	$	296
January 2015(6)	October 2017	Cash Flow	$	44,600		Buy USD/Sell GBP	£	29,400	$	(1,570)

(1) Derivative assets are recorded in other assets, net and derivative liabilities are recorded in accounts payable and accrued liabilities on the consolidated balance sheets.

(2) Represents three interest-rate swap contracts, which hedge fluctuations in interest payments on variable-rate secured debt due to overall changes in hedged cash flows.

(3) Hedges fluctuations in interest payments on variable-rate unsecured debt due to fluctuations in the underlying benchmark interest rate.

(4) Currency swap contract (buy USD/sell GBP) hedges the foreign currency exchange risk related to a portion of the Company’s forecasted interest receipts on GBP denominated senior unsecured notes. Represents a currency swap to sell £7.2 million at a rate of 1.5695 on various dates through June 2016.

(5) Currency swap contract (buy USD/sell GBP) hedges the foreign currency exchange risk related to the Company’s forecasted GBP denominated interest receipts on intercompany loans. Represents a currency swap to sell £0.4 million at a rate of 1.7060 on various dates through December 2015.

(6) Currency swap contract (buy USD/sell GBP) hedges the foreign currency exchange risk related to the Company’s forecasted GBP denominated interest receipts on its HC-One Facility. Represents a currency swap to sell approximately £1.0million monthly at a rate of 1.5149through October 2017.

Schedule of effect of change in interest and foreign currency rate (dollars in thousands)

		Effects of Change in Interest and Foreign Currency Rates
		+50 Basis		-50 Basis		+100 Basis		-100 Basis
Date Entered	Maturity Date	Points		Points		Points		Points
Interest rate:
July 2005	July 2020	$	1,100	$	(1,055)	$	2,177	$	(2,132)
November 2008	October 2016		165		(161)		329		(325)
July 2012	June 2016		1,019		(1,045)		2,051		(2,078)
January 2015	October 2017		3,790		(4,210)		7,790		(8,209)
Foreign currency:
July 2012	June 2016		(169)		58		(283)		172
July 2014	December 2015		(23)		12		(40)		29
January 2015	October 2017		(364)		99		(595)		331