DERIVATIVE AND HEDGING ACTIVITIES

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The Company from time to time enters into derivative financial instruments, such as interest rate collar agreements (“Collars”), to manage its exposure to fluctuations in interest rates under the Company’s variable rate debt.

Hedge Accounting Treatment

As of March 31, 2022, the Company had the following derivative outstanding, which was designated as a cash flow hedge that qualified for hedge accounting treatment:

Type
Of
Hedge

Notional
Amount

Effective
Date

Collar

Fixed
LIBOR
Rate

Expiration
Date

Notional
Amount
Decreases

Amount
After
Decrease

(amounts
in millions)

Cap

2.75%

Jun. 28, 2022

220.0

Collar

340.0

Jun. 25, 2019

Floor

0.402%

Jun. 28, 2024

Jun. 28, 2023

90.0

Total

340.0

For the three months ended March 31, 2022, the Company recorded the net change in the fair value of this derivative as a gain of $1.2 million (net of tax benefit of $0.4 million as of March 31, 2022) to the condensed consolidated statement of comprehensive income (loss). The fair value of this derivative was determined using observable market-based inputs (a Level 2 measurement) and the impact of credit risk on a derivative’s fair value (the creditworthiness of the Company for liabilities). As of March 31, 2022, the fair value of these derivatives was an asset of $1.3 million, and is recorded within other assets, net of accumulated amortization on the condensed consolidated balance sheet. The Company does not expect to reclassify any of this amount to the condensed consolidated statement of operations over the next twelve months.

The following table presents the accumulated derivative gain (loss) recorded in other comprehensive income (loss) as of March 31, 2022 and December 31, 2021:


	Accumulated Derivative Gain (Loss)
Description	March 31, 2022		December 31, 2021
	(amounts in thousands)
Accumulated derivative unrealized gain (loss)	$	934	$	(289)

The following tables presents the accumulated net derivative gain (loss) recorded in other comprehensive income (loss) for the three months ended March 31, 2022 and March 31, 2021:


Other Comprehensive Income (Loss)
Net Change in Accumulated Derivative Unrealized Gain (Loss)				Net Amount of Accumulated Derivative Gain (Loss) Reclassified to the Condensed Consolidated Statement of Operations
Three Months Ended March 31,
2022		2021		2022		2021
(amounts in thousands)
$	1,223	$	553	$	232	$	307

Undesignated Derivatives

The Company is subject to equity market risks due to changes in the fair value of the notional investments selected by its employees as part of its non-qualified deferred compensation plans. During the quarter ended June 30, 2020, the Company entered into a Total Return Swap ("TRS") in order to manage the market risks associated with its non-qualified deferred compensation plan liabilities. The Company pays a floating rate, based on the Secured Overnight Financing Rate ("SOFR"), on the notional amount of the TRS. The TRS is designed to substantially offset changes in its non-qualified deferred compensation plan's liabilities due to changes in the value of the investment options made by employees. As of March 31, 2022, the notional investments underlying the TRS amounted to $24.0 million. The contract term of the TRS is through March 2023 and is settled on a monthly basis, therefore limiting counterparty performance risk. The Company did not designate the TRS as an accounting hedge. Rather, the Company records all changes in the fair value of the TRS to earnings to offset the market value changes of its non-qualified deferred compensation plan liabilities.

For the three months ended March 31, 2022, the Company recorded the net change in the fair value of the TRS in station operating expenses and corporate, general and administrative expenses in the amount of a $1.4 million expense. Of this amount, a $0.5 million expense was recorded in corporate, general and administrative expenses and a $0.9 million expense was recorded in station operating expenses.