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10-Q - FORM 10-Q - Chesapeake Lodging Trustd226408d10q.htm
EX-31.2 - EXHIBIT 31.2 - Chesapeake Lodging Trustd226408dex312.htm
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EX-32.1 - EXHIBIT 32.1 - Chesapeake Lodging Trustd226408dex321.htm
EX-32.2 - EXHIBIT 32.2 - Chesapeake Lodging Trustd226408dex322.htm
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EX-31.1 - EXHIBIT 31.1 - Chesapeake Lodging Trustd226408dex311.htm
v2.3.0.15
Fair Value Measurements And Derivative Instruments
9 Months Ended
Sep. 30, 2011
Fair Value Measurements And Derivative Instruments [Abstract] 
Fair Value Measurements And Derivative Instruments

10. Fair Value Measurements and Derivative Instruments

The following table sets forth the Trust's financial assets and liabilities measured at fair value by level within the fair value hierarchy. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

 

    Fair Value at September 30, 2011  
  Total     Level 1     Level 2     Level 3  

Assets:

       

Interest rate cap (included within prepaid expenses and other assets)

  $ 83        —        $ 83        —     
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 83        —        $ 83        —     
 

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

       

Interest rate swap (included within accounts payable and accrued expenses)

  $ 1,238        —        $ 1,238        —     
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 1,238        —        $ 1,238        —     
 

 

 

   

 

 

   

 

 

   

 

 

 

Derivative instruments are classified within Level 2 of the fair value hierarchy as they are valued using third-party pricing models which contain inputs that are derived from observable market data. Where possible, the values produced by the pricing models are verified to market prices. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit spreads, measure of volatility, and correlations of such inputs.

The change in fair value of derivative instruments designated as cash flow hedging instruments was a loss of $1.4 million for the three and nine months ended September 30, 2011 and is reported in accumulated other comprehensive loss on the consolidated balance sheet. No amount of ineffectiveness was recorded for the three and nine months ended September 30, 2011. Amounts reported in accumulated other comprehensive loss related to these cash flow hedging instruments are reclassified to interest expense as interest payments are made on the variable-rate debt being hedged. For the three and nine months ended September 30, 2011, $0.2 million was reclassified into interest expense.

The Trust's financial instruments in addition to those disclosed in the table above include cash and cash equivalents, restricted cash, accounts receivable, accounts payable and accrued expenses, and long-term debt. The carrying values reported in the consolidated balance sheets for cash and cash equivalents, restricted cash, accounts receivable, and accounts payable and accrued expenses approximate fair value. The Trust estimates the fair value of its fixed rate debt by discounting the future cash flows of each instrument using estimated market rates of debt instruments with similar maturities and credit profiles. As of September 30, 2011, the carrying value reported in the consolidated balance sheet for long-term debt approximated its fair value.