Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2016

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 March 31, 2016 (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	$	(5,487)
November 2008(3)	October 2016	Cash Flow		5.95	%	1 Month LIBOR+1.50%	$	24,900	$	(532)
July 2012(4)	June 2016	Cash Flow		1.81	%	1 Month GBP LIBOR+1.20%	£	137,000	$	(29)
January 2015(4)	October 2017	Cash Flow		1.79	%	1 Month GBP LIBOR+0.975%	£	220,000	$	(1,336)
Foreign currency:
July 2012(5)	June 2016	N/A	$	11,400		Buy USD/Sell GBP	£	7,200	$	964
January 2015(6)	October 2017	Cash Flow	$	30,300		Buy USD/Sell GBP	£	20,000	$	1,505

(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) Represents an interest-rate swap contract, which hedges fluctuations in interest payments on variable-rate secured debt due to overall changes in hedged cash flows.

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

(5) 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 British pound sterling (“GBP”) denominated senior notes. Represents a currency swap to sell £7.2 million at a rate of 1.5695 in June 2016.

(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 £1.0 million monthly at a rate of 1.5149through October 2017.

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

The following table summarizes the results of the analysis performed (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	$	1,066	$	(773)	$	1,986	$	(1,692)
November 2008	October 2016		67		(68)		135		(135)
July 2012	June 2016		209		(200)		417		(401)
January 2015	October 2017		2,486		(2,494)		4,976		(4,984)
Foreign currency:
July 2012	June 2016		(47)		57		(99)		109
January 2015	October 2017		(72)		216		(215)		360