XML 28 R17.htm IDEA: XBRL DOCUMENT
v3.10.0.1

Derivative Instruments | 9 Months Ended
--- | ---
Sep. 30, 2018
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, 2018 and 2017, we entered into interest rate derivatives as summarized in the table below:
| Nine Months Ended September 30,
Interest rate caps: | 2018 |  | 2017
Notional amount (in thousands) | $ | 685,000 |  |  | $ | 659,500 |
Strike rate low end of range | 2.43 | % |  | 3.00 | %
Strike rate high end of range | 7.80 | % |  | 5.35 | %
Effective date range | February 2018 - May 2018 |  |  | January 2017 - August 2017 |
Maturity date range | March 2019 - June 2020 |  |  | March 2018 - September 2019 |
Total cost of interest rate cap (in thousands) | $ | 348 |  |  | $ | 347 |
Interest rate floors: |  |  |
Notional amount (in thousands) | $ | 4,000,000 |  |  | $ | 1,600,000 |
Strike rate low end of range | 1.38 | % |  | 1.00 | %
Strike rate low end of range | 2.00 | % |  | 1.00 | %
Effective date | July 2018 |  |  | September 2017 |
Maturity date range | June 2019 - September 2019 |  |  | December 2018 |
Total cost of interest rate floors (in thousands) | $ | 138 |  |  | $ | 65 |
_______________ No instruments were designated as cash flow hedges As of September 30, 2018, we held interest rate instruments as summarized in the table below:
Interest rate caps: (1) |  |
Notional amount (in thousands) |  | $ | 1,393,200 |
Strike rate low end of range |  | 2.43 | %
Strike rate low end of range |  | 11.61 | %
Effective date range |  | January 2017 - May 2018 |
Maturity date range |  | November 2018 - June 2020 |
Aggregate principal balance on corresponding mortgage loans (in thousands) |  | $ | 993,334 |
Interest rate floors: (1) (2) |  |
Notional amount (in thousands) |  | $ | 10,850,000 |
Strike rate low end of range |  | (0.25 | )%
Strike rate low end of range |  | 2.00 | %
Effective date range |  | July 2015 - July 2018 |
Maturity date range |  | March 2019 - July 2020 |
_______________
(1) | No instruments were designated as cash flow hedges.
(2) | 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.
Credit Default Swap Derivatives—We use credit default swaps, tied to the CMBX index, 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, 2018, 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 estimated total exposure for these trades was approximately $2.3 million as of September 30, 2018. 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.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration