Derivative Instruments

3 Months Ended

Mar. 31, 2021

Derivative Instrument Detail [Abstract]

NOTE 6. 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 March 31, 2021, we have interest rate swaps associated with $403.5 million of term loan debt. These swaps are cash flow hedges that convert variable rates ranging from three-month and one-month LIBOR plus 1.85% to 2.15%, to fixed rates ranging from 3.04% to 4.82%. Our cash flow hedges are expected to be highly effective in achieving offsetting cash flows attributable to the hedged interest rate risk through the term of the hedges. At March 31, 2021, the amount of net losses expected to be reclassified into earnings in the next 12 months is approximately $8.7 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.

We also hold $607.5 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 $607.5 million of future debt refinances through January 2029 by converting the benchmark interest rates to fixed interest rates. In addition, the cashflow hedges for future debt refinances require settlement on the stated maturity date. At March 31, 2021, we have recorded derivative assets of $64.6 million associated with these forward starting interest rate swaps.

The following table presents the gross fair values of derivative instruments on our Condensed Consolidated Balance Sheets:

		Asset Derivatives					Liability Derivatives
(in thousands)	Location	March 31, 2021		December 31, 2020		Location	March 31, 2021		December 31, 2020
Derivatives designated in cash flow hedging relationships:
Interest rate contracts	Other assets, current¹	$	3,227	$	63	Accounts payable and accrued liabilities¹	$	737	$	1,010
Interest rate contracts	Other assets, non-current		64,543		18,466	Other long-term obligations		26,475		45,100
		$	67,770	$	18,529		$	27,212	$	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 Condensed Consolidated Statements of Operations:

		Three Months Ended March 31,
(in thousands)	Location	2021			2020
Derivatives designated in cash flow hedging relationships:
Interest rate contracts
Income (loss) recognized in other comprehensive income (loss), net of tax		$	61,875		$	(39,363	)
Amounts reclassified from accumulated other comprehensive loss, net of tax¹	Interest expense	$	(2,232	)	$	(838	)

Interest expense, net		$	3,574		$	3,698

Realized 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 Condensed Consolidated Statements of Cash Flows.