Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.21.1
Derivatives (Tables)
3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Offsetting Assets As of March 31, 2021, the information related to these offsetting arrangements were as follows (in thousands):
Instrument Description Gross Amounts of Recognized Assets / Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets / Liabilities Included in the Consolidated Balance Sheet
Notional Amount (1)
Assets:
Derivatives designated as hedging instruments $ 21,998  $ (235) $ 21,763  $ 323,303 
Derivatives not designated as hedging instruments 10,021  —  10,021  165,696 
Liabilities:
Derivatives designated as hedging instruments $ (84,940) $ 235  $ (84,705) $ 1,320,017 
Derivatives not designated as hedging instruments (17,280) —  (17,280) 352,381 
Total $ (70,201) $ —  $ (70,201) $ 2,161,397 

(1)    Comprised of 52 interest rate swaps which effectively fix the LIBOR portion of interest rates on outstanding balances of certain loans under the senior and securitized sections of the debt footnote table (see Note 8, Indebtedness) at 0.57% to 3.37% per annum. These swaps mature from August 31, 2022 to January 31, 2043.
As of December 31, 2020, the information related to these offsetting arrangements were as follows (in thousands):
Instrument Description Gross Amounts of Recognized Assets / Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets / Liabilities Included in the Consolidated Balance Sheet Notional Amount
Assets:
Derivatives designated as hedging instruments $ 4,293  $ (6) $ 4,287  $ 191,737 
Derivatives not designated as hedging instruments 925  (13) 912  166,138 
Liabilities:
Derivatives designated as hedging instruments (165,996) (165,990) 1,796,596 
Derivatives not designated as hedging instruments (9,448) 13  (9,435) 190,530 
Total $ (170,226) $ —  $ (170,226) $ 2,345,001 
Offsetting Liabilities As of March 31, 2021, the information related to these offsetting arrangements were as follows (in thousands):
Instrument Description Gross Amounts of Recognized Assets / Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets / Liabilities Included in the Consolidated Balance Sheet
Notional Amount (1)
Assets:
Derivatives designated as hedging instruments $ 21,998  $ (235) $ 21,763  $ 323,303 
Derivatives not designated as hedging instruments 10,021  —  10,021  165,696 
Liabilities:
Derivatives designated as hedging instruments $ (84,940) $ 235  $ (84,705) $ 1,320,017 
Derivatives not designated as hedging instruments (17,280) —  (17,280) 352,381 
Total $ (70,201) $ —  $ (70,201) $ 2,161,397 

(1)    Comprised of 52 interest rate swaps which effectively fix the LIBOR portion of interest rates on outstanding balances of certain loans under the senior and securitized sections of the debt footnote table (see Note 8, Indebtedness) at 0.57% to 3.37% per annum. These swaps mature from August 31, 2022 to January 31, 2043.
As of December 31, 2020, the information related to these offsetting arrangements were as follows (in thousands):
Instrument Description Gross Amounts of Recognized Assets / Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets / Liabilities Included in the Consolidated Balance Sheet Notional Amount
Assets:
Derivatives designated as hedging instruments $ 4,293  $ (6) $ 4,287  $ 191,737 
Derivatives not designated as hedging instruments 925  (13) 912  166,138 
Liabilities:
Derivatives designated as hedging instruments (165,996) (165,990) 1,796,596 
Derivatives not designated as hedging instruments (9,448) 13  (9,435) 190,530 
Total $ (170,226) $ —  $ (170,226) $ 2,345,001 
Schedule of cash flow hedges included in accumulated other comprehensive income (loss)
The losses (gains) on derivatives designated as cash flow hedges recognized into OCI, before tax effect, consisted of the following (in thousands):
Three months ended March 31,
2021 2020
Derivatives designated as cash flow hedges:
   Interest rate swaps $ (64,303) $ 99,049 
The losses (gains) on derivatives financial instruments recognized into the consolidated statements of operations, before tax effect, consisted of the following (in thousands):
Three months ended March 31,
2021 2020
Interest expense, net Other expense, net Interest expense, net Other expense, net
Derivatives designated as cash flow hedges:
   Interest rate swaps
      Losses (gains) reclassified from AOCI into income $ 3,902  $ —  $ 335  $ — 
Derivatives not designated as cash flow hedges:
   Interest rate swaps
      Gains recognized into income —  (32,614) —  — 
         Total losses (gains) $ 3,902  $ (32,614) $ 335  $ —