Derivative Financial Instruments

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

We previously entered into floating-to-fixed interest rate swaps through January 2022 with respect to an aggregate of $50.0 million LIBOR-based borrowings. These swaps effectively fixed the underlying one month LIBOR rate at a weighted average rate of 1.693%. During the first quarter of 2022, these interest rate swaps expired.

Our interest rate swaps were designated as and accounted for as cash flow hedges with changes in fair value recorded in other comprehensive income/(loss) each reporting period. We had no collateral requirements related to our interest rate swaps.

Amounts reported in accumulated other comprehensive income/(loss) related to derivatives are reclassified to interest expense as interest payments are made on our debt. During the period from October 1, 2022 through September 30, 2023, we estimate that $0.3 million will be reclassified as a net decrease to interest expense.

The following table sets forth the fair value of our derivatives:


	September 30, 2022		December 31, 2021
Derivatives:


Derivatives designated as cash flow hedges in accounts payable, accrued expenses and other liabilities:
Interest rate swaps	$	—	$	60

The following table sets forth the effect of our cash flow hedges on accumulated other comprehensive loss and interest expense:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Derivatives Designated as Cash Flow Hedges:
Amount of unrealized losses recognized in accumulated other comprehensive loss on derivatives:
Interest rate swaps	$	—	$	(6)	$	—	$	(17)
Amount of (gains)/losses reclassified out of accumulated other comprehensive loss into interest expense:
Interest rate swaps	$	(75)	$	129	$	(164)	$	377