Derivative Instruments

12 Months Ended

Dec. 31, 2021

Derivative Instrument Detail [Abstract]

NOTE 10. DERIVATIVE INSTRUMENTS

From time to time, we enter into derivative financial instruments to manage certain cash flow and fair value risks.

Derivatives designated and qualifying as a hedge of the exposure to variability in the cash flows of a specific asset or liability that is attributable to a particular risk, such as interest rate risk, are considered cash flow hedges. As of December 31, 2021, we have nine interest rate swaps associated with $403.5 million of term loan debt. These cash flow hedges convert variable rates ranging from one-month and three-month LIBOR plus 1.85% to 2.10%, to fixed rates ranging from 3.04% to 4.75%. Our cash flow hedges are expected to be highly effective in achieving the offsetting of cash flows attributable to the hedged interest rate risk through the term of the hedge. At December 31, 2021, the amount of net losses expected to be reclassified into earnings in the next 12 months is approximately $6.9 million. However, this expected amount to be reclassified into earnings is subject to volatility as the ultimate amount recognized in earnings is based on the LIBOR rate at the time of net swap cash payments.

In December 2021, we refinanced $40.0 million of existing term loans that matured with a new term loan maturing November 2031. Upon completing the refinance of the term loans, we redesignated $40.0 million of forward starting interest rate swaps with terms consistent with the new term loan, which fixed the rate on the borrowing at 3.10% before patronage credits from lenders.

At December 31, 2021, we hold $567.5 million of forward starting interest rate swaps designated as cash flow hedges. These forward starting interest rate swaps effectively hedge the variability in future benchmark interest payments attributable to changes in interest rates on $567.5 million of future debt refinances through January 2029 by converting the benchmark interest rates to fixed interest rates. In addition, these cash flow hedges for future debt refinances require settlement on the stated maturity date.

The gross fair values of our cash flow derivative instruments on our Consolidated Balance Sheets as of December 31 are as follows:


		Asset Derivatives					Liability Derivatives
(in thousands)	Location	2021		2020		Location	2021		2020
Derivatives designated in cash flow hedging relationships:
Interest rate contracts	Other assets, current1	$	2,191	$	63	Accounts payable and accrued liabilities1	$	—	$	1,010
Interest rate contracts	Other assets, non-current		31,306		18,466	Other long-term obligations		24,060		45,100
		$	33,497	$	18,529		$	24,060	$	46,110


1	Derivative instruments that mature within one year, as a whole, are classified as current.

The following table details the effect of derivatives on our Consolidated Statements of Operations:


		Year Ended December 31,
(in thousands)	Location	2021			2020			2019
Derivatives designated in cash flow hedging relationships:
Interest rate contracts
Income (loss) recognized in other comprehensive income (loss), net of tax		$	26,206		$	(14,632	)	$	(19,824	)
Amounts reclassified from accumulated other comprehensive loss, net of tax1	Interest expense	$	(9,106	)	$	(7,451	)	$	(1,384	)

Interest expense, net		$	29,275		$	29,463		$	30,361


1	Realized gains and losses on interest rate contracts consist of net cash received or paid and interest accruals on the interest rate swaps during the periods. Net cash received or paid is included in the supplemental cash flow information within interest, net of amounts capitalized in the Consolidated Statements of Cash Flows.