Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2017

Derivative Financial Instruments

Schedule of derivative instruments (dollars and GBP in thousands)

The following table summarizes the Company’s outstanding interest-rate and foreign currency swap contracts at March 31, 2017 (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	$	44,300	$	(3,301)
January 2015(3)	October 2017	Cash Flow		1.79	%	1 Month GBP LIBOR+0.975%	£	220,000	$	(862)
Foreign currency:
January 2015(4)	October 2017	Cash Flow	$	11,300		Buy USD/Sell GBP	£	7,500	$	1,924

(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 the Company’s forecasted GBP denominated interest receipts on its HC-One Facility. Represents a currency swap to sell approximately £1.1 million monthly at a rate of 1.5149 through October 2017.