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Derivative Instruments, Hedging Activities and Other Comprehensive Income | 9 Months Ended
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Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments, Hedging Activities and Other Comprehensive Income | Derivative Instruments, Hedging Activities and Other Comprehensive Income In order to manage potential future variable interest rate risk, we enter into interest rate derivative agreements from time to time. All such agreements are designated as cash flow hedges. We do not use interest rate derivative agreements for trading or speculative purposes. The agreements with each of our derivative counterparties provide that, in the event of default on any of our indebtedness, we could also be declared in default on our derivative obligations. As of September 30, 2021, we were party to various cash flow derivative agreements with notional amounts totaling $250.0 million that fix the interest rate on variable rate debt. These derivative agreements effectively fix the interest rate underlying certain variable rate debt instruments over expiration dates through 2025. Utilizing a weighted average interest rate spread over LIBOR on all variable rate debt resulted in fixing the weighted average interest rate at 5.09%. As of September 30, 2021, we were also party to two interest rate swap contracts with notional amounts totaling $155.0 million. The derivative agreements swap a blended fixed rate of 4.52% for a blended floating rate of LIBOR + 3.70% with an expiration date of September 10, 2025. These interest rate derivative agreements are the only assets or liabilities that we record at fair value on a recurring basis. The valuation of these assets and liabilities is determined using widely accepted techniques including discounted cash flow analysis. These techniques consider the contractual terms of the derivatives (including the period to maturity) and use observable market-based inputs such as interest rate curves and implied volatilities. We also incorporate credit valuation adjustments into the fair value measurements to reflect nonperformance risk on both our part and that of the respective counterparties. We determined that the majority of the inputs used to value our derivatives fall within Level 2 of the fair value hierarchy, although the credit valuation adjustments associated with our derivatives utilize Level 3 inputs, such as estimates of current credit spreads to evaluate the likelihood of default by us and our counterparties. As of September 30, 2021 and December 31, 2020, we assessed the significance of the impact of the credit valuation adjustments on the overall valuation of our derivative positions and determined the credit valuation adjustments were not significant to the overall valuation of our derivatives. As a result, we determined our derivative valuations were classified within Level 2 of the fair value hierarchy. As of September 30, 2021, the estimated fair value of our interest rate derivatives represented a net liability of $24.2 million, including accrued interest payable of $0.6 million. As of September 30, 2021, this was reflected in accounts payable and accrued expenses on the accompanying consolidated balance sheets. At December 31, 2020, the estimated fair value of our interest rate hedges was a liability of $32.1 million, including accrued interest of $0.4 million. As of December 31, 2020, this was reflected in accounts payable and accrued expenses on the accompanying consolidated balance sheets. Amounts reported in accumulated other comprehensive income related to derivatives will be reclassified to earnings over time as the hedged items are recognized in earnings. Approximately $1.7 million and $1.3 million were reclassified as a decrease to earnings for the three months ended September 30, 2021 and 2020, respectively. Approximately $4.1 million and $2.7 million were reclassified as a decrease to earnings during each of the nine months ended September 30, 2021 and 2020. As the interest payments on our hedges are made over the next 12 months, we estimate the increase to interest expense to be $7.5 million, assuming the current LIBOR curve. Unrealized gains and losses on our interest rate derivative agreements are the only components of the change in accumulated other comprehensive loss.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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