XML 26 R15.htm IDEA: XBRL DOCUMENT
v3.20.2

Derivative Instruments | 6 Months Ended
--- | ---
Jun. 30, 2020
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. The following table summarizes the interest rate derivatives we entered into over the applicable periods:
| Six Months Ended June 30,
Interest rate caps: | 2020 |  | 2019
Notional amount (in thousands) | $ | 602,500 |  |  | $ | 228,500 |
Strike rate low end of range | 3.00 | % |  | 3.00 | %
Strike rate high end of range | 4.00 | % |  | 7.80 | %
Effective date range | March 2020 - June 2020 |  |  | January 2019 - April 2019 |
Termination date range | April 2021 - June 2021 |  |  | March 2020 - February 2021 |
Total cost of interest rate caps (in thousands) | $ | 92 |  |  | $ | 62 |
Interest rate floors: |  |  |
Notional amount (in thousands) | $ | — |  |  | $ | 2,000,000 |
Strike rate |  |  |  | 1.63 | %
Effective date |  |  | January 2019 |
Termination date |  |  | March 2020 |
Total cost of interest rate floors (in thousands) | $ | — |  |  | $ | 75 |
_______________ No instruments were designated as cash flow hedges for during the six months ended June 30, 2020 and 2019. Interest rate derivatives consisted of the following:
Interest rate caps: (1) | June 30, 2020 |  | December 31, 2019
Notional amount (in thousands) | $ | 819,000 |  |  | $ | 968,000 |
Strike rate low end of range | 3.00 | % |  | 3.00 | %
Strike rate high end of range | 4.00 | % |  | 7.80 | %
Termination date range | September 2020 - October 2021 |  |  | January 2020 - October 2021 |
Aggregate principal balance on corresponding mortgage loans (in thousands) | $ | 819,000 |  |  | $ | 870,000 |
Interest rate floors: (1) (2) |  |  |
Notional amount (in thousands) | $ | 3,000,000 |  |  | $ | 5,000,000 |
Strike rate low end of range | (0.25 | )% |  | (0.25 | )%
Strike rate high end of range | (0.25 | )% |  | 1.63 | %
Termination date range | July 2020 |  |  | March 2020 - 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 June 30, 2020, 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 $1.2 million as of June 30, 2020. 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