Derivative Instruments

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives Instruments

9. Derivative Instruments

Cash flow hedges

We generally use derivative instruments to manage our variable interest rate risk. We have entered into interest rate swap agreements, which effectively convert portions of our variable rate debt under the 2020 Credit Facility to a fixed rate for the term of the swap agreements. We designated each of the interest rate swap agreements as a cash flow hedge at the inception of the contracts.

The terms and notional values of our derivative instruments were as follows as of March 31, 2022:

(dollars in thousands)	Term of derivative instrument	Notional value
Derivative instruments designated as hedging instruments:
Interest rate swap	November 2020 - October 2024	$	60,000
Interest rate swap	November 2020 - October 2024	60,000
Interest rate swap	June 2021 - October 2024	120,000
Interest rate swap	July 2021 - October 2024	120,000
Interest rate swap	July 2021 - October 2024	75,000
		$	435,000

The fair values of our derivative instruments were as follows as of:

		Asset derivatives
(dollars in thousands)	Balance sheet location	March 31, 2022		December 31, 2021
Derivative instruments designated as hedging instruments:
Interest rate swaps, long-term	Other assets	21,947		7,160
Total derivative instruments designated as hedging instruments		$	21,947	$	7,160

The effects of derivative instruments in cash flow hedging relationships were as follows:

	Gain (loss) recognized in accumulated other comprehensive loss as of		Location of gain (loss) reclassified from accumulated other comprehensive loss into income	Gain (loss) reclassified from accumulated  other comprehensive loss into income
(dollars in thousands)	March 31, 2022			Three months ended March 31, 2022
Interest rate swaps	$	21,947	Interest expense	$	(358)
	March 31, 2021			Three months ended March 31, 2021
Interest rate swaps	$	1,420	Interest expense	$	(1,376)

Our policy requires that derivatives used for hedging purposes be designated and effective as a hedge of the identified risk exposure at the inception of the contract. Accumulated other comprehensive income (loss) includes unrealized gains or losses from the change in fair value measurement of our derivative instruments each reporting period and the related income tax expense or benefit. Changes in the fair value measurements of the derivative instruments and the related income tax expense or benefit are reflected as adjustments to accumulated other comprehensive income (loss) until the actual hedged expense is incurred or until the hedge is terminated at which point the unrealized gain (loss) is reclassified from accumulated other comprehensive income (loss) to current earnings. The estimated accumulated other comprehensive income as of March 31, 2022 that is expected to be reclassified into earnings within the next twelve months is $5.7 million. There were no ineffective portions of our interest rate swap derivatives during the three months ended March 31, 2022 and 2021. See Note 12 for a summary of the changes in accumulated other comprehensive income (loss) by component.