Derivative financial instruments

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Our two interest rate swaps mitigate the interest rate risk inherent to our floating rate debt, including the Revolving Credit Facility and Term Loan. 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.

As of March 20, 2019, we elected to adopt hedge accounting and designate our interest rate swaps as cash flow hedges. Following adoption, the change in the fair value of our interest rate swaps that qualifies as effective cash flow hedges was recorded through other comprehensive loss (“OCI”) in the Consolidated Statements of Comprehensive Loss. Since February 29, 2020, our interest rate swaps have been deemed ineffective due to the decrease in interest rates and all subsequent changes in fair value were recognized through interest expense in the Consolidated Statements of Operations.

The following table presents the effect of our interest rate swaps, net of tax, in the Consolidated Statements of Comprehensive Loss and Consolidated Statements of Operations for the years ended December 31, 2021, 2020 and 2019 ($ in thousands):


Derivative Liabilities Designated as Hedging Instruments	2021		2020		2019
AOCI from our cash flow hedges as of January 1	$	26,369	$	20,164	$	—
Change in fair value	—		16,956		5,834
Reclassification from AOCI to interest expense	(2,894)		(1,908)		24
OCI related to our cash flow hedges for the three months ended March 31	(2,894)		15,048		5,858
Change in fair value	—		—		14,648
Reclassification from AOCI to interest expense	(2,926)		(2,926)		136
OCI related to our cash flow hedges for the three months ended June 30	(2,926)		(2,926)		14,784
Change in fair value	—		—		4,912
Reclassification from AOCI to interest expense	(2,958)		(2,958)		(324)
OCI related to our cash flow hedges for the three months ended September 30	(2,958)		(2,958)		4,588
Change in fair value	—		—		(3,907)
Reclassification from AOCI to interest expense	(2,959)		(2,959)		(1,159)
AOCI from our cash flow hedges as of December 31(1)	$	14,632	$	26,369	$	20,164

________

(1) As of December 31, 2021, the total amount expected to be reclassified from AOCI to interest expense during the next twelve months is $11.7 million, which represents prior losses recognized in AOCI when our interest rate swaps were deemed effective hedges.


Derivative Liabilities for Ineffective Hedges(1)	Financial Statement Classification	Year Ended December 31,
		2021		2020		2019
Interest rate swaps(2)	Interest expense	$	10,223	$	26,299	$	2,715

________

(1) Beginning on February 29, 2020, our interest rate swaps were deemed ineffective.

(2) 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 Consolidated Balance Sheet as of December 31, 2021 and December 31, 2020 ($ in thousands):


Derivative Liabilities for Ineffective Hedges	Financial Statement Classification	As of December 31,
		2021		2020
Interest rate swaps	Derivative financial instruments	$	22,543	$	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 15) and believe we minimize this credit risk by transacting with major creditworthy financial institutions.