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Derivative Instruments
 3 Months Ended
Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments Derivative Instruments
Interest rate swaps
During October 2021, the Company entered into four interest rate swaps for the notional amount of $300.0 million of the Term Facility under the Credit Agreement for the Global Ultraco Debt Facility at a fixed interest rate ranging between 0.83% and 1.06% to hedge the LIBOR-based floating interest rate.
During 2020, the Company entered into a series of interest rate swap agreements to effectively convert a portion of its debt under the New Ultraco Debt Facility, excluding any amounts outstanding under the revolving credit facility as well as any new term loan borrowings from a floating to a fixed-rate basis. In August 2021, the Company cancelled the New Ultraco Debt Facility interest rate swaps. Concurrent with the cancellation, the Company entered into another interest rate swap which was subsequently cancelled on October 1, 2021 upon repayment of the New Ultraco Debt Facility.

The interest rate swaps were designated and qualified as cash flow hedges. The Company uses interest rate swaps for the management of interest rate risk exposure, as an interest rate swap effectively converts a portion of the Company’s debt from a floating to a fixed rate. The interest rate swap is an agreement between the Company and counterparties to pay, in the future, a fixed-rate payment in exchange for the counterparties paying the Company a variable payment. The amount of the net payment obligation is based on the notional amount of the interest rate swap and the prevailing market interest rates. The Company may terminate the interest rate swaps prior to their expiration dates, at which point a realized gain or loss may be recognized, or may be amortized over the original life of the interest rate swap if the hedged debt remains outstanding. The value of the Company’s commitment would increase or decrease based primarily on the extent to which interest rates move against the rate fixed for each swap.
Tabular disclosure of derivatives location
The following table summarizes the interest rate swaps in place as of March 31, 2022 and December 31, 2021:
Interest Rate Swap detailNotional Amount outstanding (in thousands)
Trade dateFixed rateStart dateEnd dateMarch 31, 2022December 31, 2021
October 07, 20210.83 %October 12, 2021December 15, 2025$206,325 $215,663 
October 13, 20210.94 %October 15, 2021December 15, 202522,925 23,963 
October 14, 20210.93 %October 18, 2021December 15, 202522,925 23,963 
October 22, 20211.06 %October 26, 2021December 15, 202522,925 23,963 
$275,100 $287,552 
The Company records the fair value of the interest rate swap as an asset or liability on its balance sheet. The effective portion of the swap is recorded in Accumulated other comprehensive income. The estimated income that is currently recorded in Accumulated other comprehensive income as of March 31, 2022 that is expected to be reclassified into the earnings within the next twelve months is $2.4 million. No portion of the cash flow hedges were ineffective during the three months ended March 31, 2022.

The effect of derivative instruments on the Condensed Consolidated Statements of Operations for the three months ended March 31, 2022 and 2021 is below:
Derivatives designated as hedging instrumentsLocation of loss in Statements of OperationsEffective portion of loss reclassified from Accumulated other comprehensive income (in thousands)
Three Months Ended
March 31, 2022March 31, 2021
Interest rate swapsInterest expense$397 $145 
The following table shows the interest rate swap assets and liabilities as of March 31, 2022 and December 31, 2021:
Derivatives designated as hedging instruments (in thousands)Balance Sheet locationMarch 31, 2022December 31, 2021
Interest rate swapFair value of derivative assets - current $2,371 $— 
Interest rate swapFair value of derivative assets - noncurrent$8,476 $3,112 
Interest rate swap Fair value of derivative liabilities - current$— $885 
Forward freight agreements and bunker swaps
The Company trades in forward freight agreements (“FFAs”) and bunker swaps, with the objective of utilizing this market as economic hedging instruments that reduce the risk of specific vessels to changes in the freight market. The Company’s FFAs and bunker swaps have not qualified for hedge accounting treatment. As such, unrealized and realized gains are recognized as a component of Other expense, net in the Condensed Consolidated Statements of Operations and Other current assets and Fair value of derivatives in the Condensed Consolidated Balance Sheets. Derivatives are considered to be Level 2 instruments in the fair value hierarchy. For our bunker swaps, the Company may enter into master netting, collateral and offset agreements with counterparties.

As of March 31, 2022, the Company had International Swaps and Derivatives Association ("ISDA") agreements with five applicable banks and financial institutions, which contain netting provisions. In addition to a master agreement with the Company supported by a primary parent guarantee on either side, the Company also has associated credit support agreements in place with the two counterparties which, among other things, provide the circumstances under which either party is required to post eligible
collateral, when the market value of transactions covered by these agreements exceeds specified thresholds. The Company does not anticipate non-performance by any of the counterparties.

As of March 31, 2022, the Company had outstanding bunker swap agreements to purchase 25,250 metric tons of high and low sulfur fuel oil with prices ranging between $486 and $798 that are expiring at March 31, 2023. The volume represents less than 10% of our estimated consumption on our fleet for the year.

The following table shows our open positions on FFAs as of March 31, 2022:

FFA PeriodNumber of Days HedgedAverage FFA Contract Price
Quarter ending June 30, 2022405$16,672 
Quarter ending September 30, 20221125$22,503 
Quarter ending December 31, 2022990$20,914 

The Company will realize a gain or loss on these FFAs based on the price differential between the average daily BSI rate and the FFA contract price. The gains or losses are recorded in Other expense, net in the Condensed Consolidated Statements of Operations.

The effect of non-designated derivative instruments on the Condensed Consolidated Statements of Operations and Balance Sheets is as follows:

(In thousands)For the Three Months Ended
Derivatives not designated as hedging instrumentsLocation of loss/(gain) in Statements of OperationsMarch 31, 2022March 31, 2021
FFAs - realized (gain)/lossRealized and unrealized loss on derivative instruments, net$(1,772)$1,966 
FFAs - unrealized loss/(gain)Realized and unrealized loss on derivative instruments, net14,252 (277)
Bunker swaps - realized gainRealized and unrealized loss on derivative instruments, net(1,774)(753)
Bunker swaps - unrealized gainRealized and unrealized loss on derivative instruments, net(2,803)(226)
Total$7,903 $710 


Derivatives not designated as hedging instruments (in thousands)Balance Sheet locationMarch 31, 2022December 31, 2021
FFAs - Unrealized lossFair value of derivative liabilities - current$13,111 $3,368 
FFAs - Unrealized gainFair value of derivative assets - current— 4,326 
Bunker swaps - Unrealized gainFair value of derivative assets - current3,145 343 
Cash Collateral Disclosures
The Company does not offset fair value amounts recognized for derivatives by the right to reclaim cash collateral or the obligation to return cash collateral. The amount of collateral to be posted is defined in the terms of respective master agreements executed with counterparties or exchanges and is required when agreed upon threshold limits are exceeded. As of March 31, 2022 and December 31, 2021, the Company posted cash collateral related to derivative instruments under its collateral security arrangements of $21.3 million and $15.1 million, respectively, which is recorded as a Current asset in the Condensed Consolidated Balance Sheets.