DERIVATIVE FINANCIAL INSTRUMENTS

12 Months Ended

Dec. 31, 2021

DERIVATIVE FINANCIAL INSTRUMENTS

DERIVATIVE FINANCIAL INSTRUMENTS

9.DERIVATIVE FINANCIAL INSTRUMENTS

We may utilize interest rate swap agreements to mitigate risk associated with fluctuations in interest rates related to our variable rate debt obligations under the Credit Agreement. Derivative financial instruments are recorded at fair value in our consolidated balance sheets.

The following interest rate swaps were outstanding at December 31, 2021:

	Notional
(In thousands)	Amount		2021 Balance Sheet Location	Fair Value
Cash Flow Hedges:
Fixed to 1-month floating LIBOR (with floor)	$	500,000	Other long-term liabilities	$	(12,813)

Our interest rate swap agreements mature on July 31, 2023.  

The following interest rate swaps were outstanding at December 31, 2020:

	Notional
(In thousands)	Amount		2020 Balance Sheet Location	Fair Value
Cash Flow Hedges:
Fixed to 1-month floating LIBOR (with floor)	$	705,000	Accrued expense	$	(6,297)
Fixed to 1-month floating LIBOR (with floor)	$	500,000	Other long-term liabilities		(22,958)
Total Fair Values				$	(29,255)

The counterparties to our various swaps are highly rated financial institutions.  None of the swap agreements provide for either us or the counterparties to post collateral nor do the agreements include any covenants related to the financial condition of Consolidated or the counterparties.  The swaps of any counterparty that is a lender, as defined in our credit facility, are secured along with the other creditors under the credit facility.  Each of the swap agreements provides that in the event of a bankruptcy filing by either Consolidated or the counterparty, any amounts owed between the two parties would be offset in order to determine the net amount due between parties.  

At December 31, 2021 and 2020, the total pre-tax unrealized loss related to our interest rate swap agreements included in AOCI was $(10.1) million and $(25.2) million, respectively.  From the balance in AOCI as of December 31, 2021, we expect to recognize a loss of approximately $7.1 million in earnings as interest expense in the next twelve months.

Information regarding our cash flow hedge transactions is as follows:

	Year Ended December 31,
(In thousands)	2021		2020		2019
Unrealized gain (loss) recognized in AOCI, pretax	$	1,174	$	(18,398)	$	(26,013)
Deferred loss reclassified from AOCI to interest expense	$	(13,964)	$	(15,683)	$	(1,108)