Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.21.2
Derivatives (Tables)
9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Offsetting Assets As of September 30, 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 $ 19,899  $ (1,617) $ 18,282  $ 425,472 
Derivatives not designated as hedging instruments 6,984  —  6,984  267,050 
Total derivative assets 26,883  (1,617) 25,266  692,522 
Liabilities:
Derivatives designated as hedging instruments (60,691) 1,617  (59,074) 1,068,791 
Derivatives not designated as hedging instruments (27,582) —  (27,582) 452,760 
Total derivative liabilities (88,273) 1,617  (86,656) 1,521,551 
Total derivative assets and liabilities $ (61,390) $ —  $ (61,390) $ 2,214,073 

(1)    Comprised of 55 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 3.18% 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 
Total derivative assets 5,218  (19) 5,199  357,875 
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 derivative liabilities (175,444) 19  (175,425) 1,987,126 
Total derivative assets and liabilities $ (170,226) $ —  $ (170,226) $ 2,345,001 
Offsetting Liabilities As of September 30, 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 $ 19,899  $ (1,617) $ 18,282  $ 425,472 
Derivatives not designated as hedging instruments 6,984  —  6,984  267,050 
Total derivative assets 26,883  (1,617) 25,266  692,522 
Liabilities:
Derivatives designated as hedging instruments (60,691) 1,617  (59,074) 1,068,791 
Derivatives not designated as hedging instruments (27,582) —  (27,582) 452,760 
Total derivative liabilities (88,273) 1,617  (86,656) 1,521,551 
Total derivative assets and liabilities $ (61,390) $ —  $ (61,390) $ 2,214,073 

(1)    Comprised of 55 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 3.18% 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 
Total derivative assets 5,218  (19) 5,199  357,875 
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 derivative liabilities (175,444) 19  (175,425) 1,987,126 
Total derivative assets and liabilities $ (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 September 30, Nine months ended September 30,
2021 2020 2021 2020
Derivatives designated as cash flow hedges:
   Interest rate swaps $ 1,315  $ 459  $ (23,748) $ 103,107 
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 September 30,
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 $ 6,434  $ —  $ 6,261  $ — 
Derivatives not designated as cash flow hedges:
   Interest rate swaps
      Gains recognized into income —  (4,261) —  — 
         Total losses (gains) $ 6,434  $ (4,261) $ 6,261  $ — 
Nine months ended September 30,
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 $ 15,646  $ —  $ 7,168  $ — 
Derivatives not designated as cash flow hedges:
   Interest rate swaps
      Gains recognized into income —  (23,520) —  — 
         Total losses (gains) $ 15,646  $ (23,520) $ 7,168  $ —