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Derivative Instruments | 9 Months Ended
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Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | Derivative Instruments Interest Rate Derivatives—We are exposed to risks arising from our business operations, economic conditions and financial markets. To manage these risks, we primarily use interest rate derivatives to hedge our debt and our cash flows. The interest rate derivatives include interest rate caps and interest rate floors, which are subject to master netting settlement arrangements. All derivatives are recorded at fair value. During the nine months ended September 30, 2017, we entered into interest rate caps with notional amounts totaling $659.5 million and strike rates ranging from 3.00% to 5.35%. These interest rate caps have effective dates from January 2017 to August 2017, maturity dates from March 2018 to September 2019, and a total cost of $347,000. These instruments were not designated as cash flow hedges. We also entered into an interest rate floor with a notional amount and strike rate of $1.6 billion and 1.00%, respectively, which had an effective date of September 2017 and a maturity date of December 2018, for a total cost of $65,000. During the nine months ended September 30, 2016, concurrent with the extension of our $80.0 million mortgage loan, we extended our existing interest rate cap with a notional amount of $80.0 million, maturity date of March 2017 and a strike rate of 5.78% for a total cost of $5,000. This instrument was not designated as a cash flow hedge. As of September 30, 2017, we held interest rate caps with notional amounts totaling $887.5 million and strike rates ranging from 2.00% to 5.43%. These instruments cap the interest rates on our mortgage loans with an aggregate principal balance of $914.1 million and maturity dates from December 2017 to August 2022. These instruments have maturity dates ranging from December 2017 to September 2019. As of September 30, 2017, we held interest rate floors with notional amounts totaling $4.6 billion and strike rates ranging from -0.25% to 1.00%. These instruments have termination dates ranging from March 2019 to July 2020. Credit Default Swap Derivatives—We use credit default swaps to hedge financial and capital market risk. A credit default swap is a derivative contract that functions like an insurance policy against the credit risk of an entity or obligation. The seller of protection assumes the credit risk of the reference obligation from the buyer (us) of protection in exchange for annual premium payments. If a default or a loss, as defined in the credit default swap agreements, occurs on the underlying bonds, then the buyer of protection is protected against those losses. The only liability for us, the buyer, is the annual premium and any change in value of the underlying CMBX index (if the trade is terminated prior to maturity). For all CMBX trades completed to date, we were the buyer of protection. Credit default swaps are subject to master-netting settlement arrangements and credit support annexes. As of September 30, 2017, we held a credit default swap with a notional amount of $50.0 million, an effective date of August 2017 and an expected maturity date of October 2026. Assuming the underlying bonds pay off at par over their remaining average life, our total exposure for these trades was approximately $2.8 million as of September 30, 2017. Cash collateral is posted by us as well as our counterparties. We offset the fair value of the derivative and the obligation/right to return/reclaim cash collateral. The change in market value of credit default swaps is settled net through posting cash collateral or reclaiming cash collateral between us and our counterparties when such change in market value is over $250,000. Options on Futures Contracts—During the nine months ended September 30, 2016, we purchased options on Eurodollar futures for a total cost of $124,000 and a maturity date of June 2017. During the nine months ended September 30, 2017, we made no such purchases.

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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://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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