Derivative Financial Instruments

9 Months Ended

Sep. 30, 2020

Derivative Financial Instruments

Derivative Financial Instruments

Note N — Derivative Financial Instruments

Cash Flow Hedges of Interest Rate Risk

In March 2018, we entered into interest rate swap agreements with notional values of $325.0 million at inception, which reduces $12.5 million annually until the swaps mature on March 6, 2024.  As of September 30, 2020 and December 31, 2019, our swaps had a notional value outstanding of $300.0 million and $312.5 million, respectively.

Change in Net Loss on Cash Flow Hedges Including Accumulated Other Comprehensive Income (Loss)

The following table presents the activity of cash flow hedges included in accumulated other comprehensive loss for the three months ended September 30, 2020 and 2019, respectively:

(in thousands)	Cash Flow Hedges
Balance as of June 30, 2020	$	(19,612)
Unrealized loss recognized in other comprehensive loss, net of tax		(455)
Reclassification to interest expense, net		1,997
Balance as of September 30, 2020	$	(18,070)
Balance as of June 30, 2019	$	(10,560)
Unrealized loss recognized in other comprehensive loss, net of tax		(2,060)
Reclassification to interest expense, net		419
Balance as of September 30, 2019	$	(12,201)

The following table presents the activity of cash flow hedges included in accumulated other comprehensive loss for the nine months ended September 30, 2020 and 2019, respectively:

(in thousands)	Cash Flow Hedges
Balance as of December 31, 2019	$	(10,137)
Unrealized loss recognized in other comprehensive loss, net of tax		(12,518)
Reclassification to interest expense, net		4,585
Balance as of September 30, 2020	$	(18,070)
Balance as of December 31, 2018	$	(2,936)
Unrealized loss recognized in other comprehensive loss, net of tax		(10,135)
Reclassification to interest expense, net		870
Balance as of September 30, 2019	$	(12,201)

The following table presents the fair value of derivative assets and liabilities within the condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019:

	As of September 30, 2020				As of December 31, 2019
(in thousands)	Assets		Liabilities		Assets		Liabilities
Derivatives designated as cash flow hedging instruments:
Accrued expenses and other current liabilities	$	—	$	7,704	$	—	$	3,516
Other liabilities		—		16,075		—		9,821