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Derivative Financial Instruments | 3 Months Ended
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Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | Derivative Financial Instruments The Company enters into interest rate derivative contracts to manage exposure to interest rate risks. The Company does not use derivative financial instruments for trading or speculative purposes. Derivative financial instruments are recognized at fair value and presented within other assets and other liabilities in the condensed consolidated balance sheets. Gains and losses resulting from changes in the fair value of derivatives that are neither designated nor qualify as hedging instruments are recognized within the change in fair value of interest rate derivatives in the condensed consolidated statements of comprehensive income. For derivatives that qualify as cash flow hedges, the gain or loss is reported as a component of other comprehensive income (loss) and reclassified into earnings in the periods during which the hedged forecasted transaction affects earnings. As of March 31, 2021, the Company had the following LIBOR and Secured Overnight Financing Rate ("SOFR") interest rate caps ($ in thousands):
Effective Date |  | Maturity Date |  | Notional Amount |  | Strike Rate |  |  |  | Premium Paid
5/15/2019 |  | 6/1/2022 |  | $ | 100,000 |  |  | 2.50% (LIBOR) |  |  |  | $ | 288 |
1/10/2020 |  | 2/1/2022 |  | 50,000 |  | (b) | 1.75% (LIBOR) |  |  |  | 87 |
1/28/2020 |  | 2/1/2022 |  | 50,000 |  | (b) | 1.75% (LIBOR) |  |  |  | 62 |
3/2/2020 |  | 3/1/2022 |  | 100,000 |  | (b) | 1.50% (LIBOR) |  |  |  | 111 |
7/1/2020 |  | 7/1/2023 |  | 100,000 |  | (b) | 0.50% (LIBOR) |  |  |  | 232 |
11/1/2020 |  | 11/1/2023 |  | 84,375 |  | (b) | 1.84% (SOFR) |  |  | (a) | 91 |
2/2/2021 |  | 2/1/2023 |  | 100,000 |  |  | 0.50% (LIBOR) |  |  |  | 45 |
3/4/2021 |  | 4/1/2023 |  | 14,479 |  |  | 2.50% (LIBOR) |  |  |  | 4 |
Total |  |  |  | $ | 598,854 |  |  |  |  |  |  | $ | 920 |
________________________________________ (a) This interest rate cap is subject to SOFR, which has been identified as the alternative to LIBOR. LIBOR will be phased out beginning December 31, 2021. (b) Designated as a cash flow hedge As of March 31, 2021, the Company held the following floating-to-fixed interest rate swaps ($ in thousands):
Related Debt |  | Notional Amount |  |  | Index |  | Swap Fixed Rate |  | Debt effective rate |  | Effective Date |  | Expiration Date
Senior unsecured term loan |  | $ | 50,000 |  |  |  | 1-month LIBOR |  | 2.78 | % |  | 4.23 | % |  | 5/1/2018 |  | 5/1/2023
John Hopkins Village |  | 50,609 |  | (a) |  | 1-month LIBOR |  | 2.94 | % |  | 4.19 | % |  | 8/7/2018 |  | 8/7/2025
Senior unsecured term loan |  | 10,500 |  | (a) |  | 1-month LIBOR |  | 3.02 | % |  | 4.47 | % |  | 10/12/2018 |  | 10/12/2023
249 Central Park Retail, South Retail, and Fountain Plaza Retail |  | 33,750 |  | (a) |  | 1-month LIBOR |  | 2.25 | % |  | 3.85 | % |  | 4/1/2019 |  | 8/10/2023
Senior unsecured term loan |  | 50,000 |  | (a) |  | 1-month LIBOR |  | 2.26 | % |  | 3.71 | % |  | 4/1/2019 |  | 10/26/2022
Thames Street Wharf |  | 70,000 |  | (a) |  | 1-month LIBOR |  | 0.51 | % |  | 1.81 | % |  | 3/26/2020 |  | 6/26/2024
Senior unsecured term loan |  | 25,000 |  | (a) |  | 1-month LIBOR |  | 0.50 | % |  | 1.95 | % |  | 4/1/2020 |  | 4/1/2024
Senior unsecured term loan |  | 25,000 |  | (a) |  | 1-month LIBOR |  | 0.50 | % |  | 1.95 | % |  | 4/1/2020 |  | 4/1/2024
Senior unsecured term loan |  | 25,000 |  | (a) |  | 1-month LIBOR |  | 0.55 | % |  | 2.00 | % |  | 4/1/2020 |  | 4/1/2024
Total |  | $ | 339,859 |  |  |  |  |  |  |  |  |  |  |  |
________________________________________ (a) Designated as a cash flow hedge. For the interest rate swaps and caps designated as cash flow hedges, realized losses are reclassified out of accumulated other comprehensive loss to interest expense in the Condensed Consolidated Statements of Comprehensive Income due to payments made to the swap counterparty. During the next 12 months, the Company anticipates reclassifying approximately $4.3 million of net hedging losses from accumulated other comprehensive loss into earnings to offset the variability of the hedged items during this period. The Company’s derivatives were comprised of the following as of March 31, 2021 and December 31, 2020 (in thousands):
|  | March 31, 2021 |  | December 31, 2020
|  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  | Asset |  | Liability |  |  |  | Asset |  | Liability
Derivatives not designated as accounting hedges |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 50,000 |  |  | $ | — |  |  | $ | (2,665) |  |  | $ | 50,000 |  |  | $ | — |  |  | $ | (3,056) |
Interest rate caps |  | 214,480 |  |  | 88 |  |  | — |  |  | 150,000 |  |  | 4 |  |  | — |
Total derivatives not designated as accounting hedges |  | 264,480 |  |  | 88 |  |  | (2,665) |  |  | 200,000 |  |  | 4 |  |  | (3,056) |
Derivatives designated as accounting hedges |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | 289,859 |  |  | — |  |  | (8,707) |  |  | 290,231 |  |  | — |  |  | (11,797) |
Interest rate caps |  | 384,375 |  |  | 292 |  |  | — |  |  | 384,375 |  |  | 86 |  |  | — |
Total derivatives |  | $ | 938,714 |  |  | $ | 380 |  |  | $ | (11,372) |  |  | $ | 874,606 |  |  | $ | 90 |  |  | $ | (14,853) |
The changes in the fair value of the Company’s derivatives during the three months ended March 31, 2021 and 2020 were comprised of the following (in thousands):
|  | Three Months Ended March 31, |  |
|  | 2021 |  | 2020 |  |  |  |
Interest rate swaps |  | $ | 2,462 |  |  | $ | (9,084) |  |  |  |  |
Interest rate caps |  | 241 |  |  | (141) |  |  |  |  |
Total change in fair value of interest rate derivatives |  | $ | 2,703 |  |  | $ | (9,225) |  |  |  |  |
Comprehensive income statement presentation: |  |  |  |  |  |  |  |
Change in fair value of derivatives and other |  | $ | 427 |  |  | $ | (1,736) |  |  |  |  |
Unrealized cash flow hedge gains (losses) |  | 2,276 |  |  | (7,489) |  |  |  |  |
Total change in fair value of interest rate derivatives |  | $ | 2,703 |  |  | $ | (9,225) |  |  |  |  |

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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 + Details
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