Derivatives |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives | (11) Derivatives Interest Rate Swaps In April 2019, we entered into $850.0 million of interest rate swaps to manage the interest rate risk associated with our floating-rate, LIBOR-based borrowings. Under this arrangement, we pay a fixed interest rate of 2.28% in exchange for LIBOR-based variable interest through December 2021. There was no ineffectiveness related to this hedge. In December 2020, in connection with the partial repayment of the Term Loan, we paid $10.9 million to terminate $500.0 million of the $850.0 million interest rate swaps and settled the outstanding derivative liability of $10.9 million. The unrealized loss remains in accumulated other comprehensive loss and will amortize into “Interest expense” on the consolidated statements of operations until the original maturity date of the Term Loan. For the three months ended March 31, 2021, we amortized $2.9 million into interest expense out of accumulated other comprehensive income (loss) related to the termination of the interest rate swaps. The remaining $350.0 million interest rate swaps were re-designated as a cash flow hedge on LIBOR-based borrowings and continue to be effective. The components of the gain (loss) on designated cash flow hedge related to changes in the fair value of our interest rate swaps were as follows (in millions):
The interest expense, recognized from accumulated other comprehensive loss from the monthly settlement of our interest rate swaps and amortization of the termination payment, included in our consolidated statements of operations were as follows (in millions):
We expect to recognize an additional $13.5 million of interest expense out of accumulated other comprehensive loss over the next twelve months. The fair value of our interest rate swaps included in our consolidated balance sheets were as follows (in millions):
Commodity Swaps The components of gain (loss) on derivative activity in the consolidated statements of operations related to commodity swaps are (in millions):
The fair value of derivative assets and liabilities related to commodity swaps are as follows (in millions):
Set forth below are the summarized notional volumes and fair values of all instruments related to commodity swaps that we held for price risk management purposes and the related physical offsets at March 31, 2021 (in millions). The remaining term of the contracts extend no later than December 2022.
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