Derivative financial instruments

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Effective March 29, 2018, we entered into two interest rate swaps to mitigate the interest rate risk inherent to our floating rate debt. The interest rate swaps are not for trading purposes and have fixed notional values of $200.0 million and $600.0 million. The fixed rate paid by us is 2.85% and the variable rate received resets monthly to the one-month LIBOR rate, which results in us fixing LIBOR at 2.85% on $800.0 million of our Term Loan. The interest rate swaps mature on March 31, 2023.

Our interest rate swaps are designated as cash flow hedges, but are deemed ineffective due to the decrease in interest rates. All changes in fair value are recognized through interest expense in the Condensed Consolidated Statements of Operations.

The following tables present the effect of our interest rate swaps, net of tax, in the Condensed Consolidated Statements of Comprehensive Loss and Condensed Consolidated Statements of Operations for the three and nine months ended September 30, 2021 and 2020 ($ in thousands):


	2021		2020
AOCI from our cash flow hedges as of January 1	$	26,369	$	20,164
Change in fair value	—		16,956
Reclassification from AOCI to interest expense	(2,894)		(1,908)
OCI related to our cash flow hedges for the three months ended March 31	(2,894)		15,048
Change in fair value	—		—
Reclassification from AOCI to interest expense	(2,926)		(2,926)
OCI related to our cash flow hedges for the three months ended June 30	(2,926)		(2,926)
Change in fair value	—		—
Reclassification from AOCI to interest expense	(2,958)		(2,958)
OCI related to our cash flow hedges for the three months ended September 30	(2,958)		(2,958)
AOCI from our cash flow hedges as of September 30(1)	$	17,591	$	29,328

________

(1) As of September 30, 2021, the total amount expected to be reclassified from AOCI to interest expense during the next twelve months is $11.7 million.


Derivative Liabilities for Ineffective Hedges	Financial Statement Classification	Three Months Ended September 30,				Nine Months Ended September 30,
		2021		2020		2021		2020
Interest rate swaps (1)	Interest expense	$	3,807	$	3,803	$	10,209	$	22,306

________

(1) Includes the change in fair value of our interest rate swaps and the cash interest paid for the monthly settlements of the derivative.

The following table presents the effect of our interest rate swaps in the Condensed Consolidated Balance Sheet as of September 30, 2021 and December 31, 2020 ($ in thousands):


Derivative Liabilities for Ineffective Hedges	Financial Statement Classification	As of September 30,		As of December 31,
		2021		2020
Interest rate swaps	Derivative financial instruments	$	31,136	$	46,340

Derivative financial instruments expose us to credit risk in the event of non-performance by the counterparty under the terms of the interest rate swaps. We incorporate these counterparty credit risks in our fair value measurements (see Note 13) and believe we minimize this credit risk by transacting with major creditworthy financial institutions.