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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING
 3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING
 
Information about our derivative financial instruments at March 31, 2021 and December 31, 2020 is as follows (dollars in thousands): 
Notional AmountFair Value
Contract dateEffective DateExpiration DateAverage Annual Effective Fixed RateMarch 31, 2021December 31, 2020March 31, 2021December 31, 2020
October 2, 2017January 29, 2018January 31, 20231.98 %$100,000 $100,000 $(3,287)$(3,831)
October 2, 2017January 29, 2018January 31, 20231.98 %100,000 100,000 (3,305)(3,853)
June 11, 2018September 28, 2018September 30, 20242.87 %75,000 75,000 (6,066)(7,371)
June 11, 2018December 31, 2018December 31, 20252.93 %125,000 125,000 (11,989)(15,795)
$400,000 $400,000 $(24,647)$(30,850)

Our interest rate swaps have been designated as cash flow hedges and are valued using a market approach, which is a Level 2 valuation technique. At March 31, 2021 and December 31, 2020, all of our interest rate swaps were in a liability position as a result of a decline in short-term interest rates and a continued flattening of the forward yield curve. Our interest rate swaps are recorded in Accrued expenses and other in our Condensed Consolidated Balance Sheets. We are not required to post any collateral related to these agreements and are not in breach of any financial provisions of the agreements.

Changes in the fair value of the hedging instruments are deferred in Other comprehensive income and are reclassified to Interest expense in our Condensed Consolidated Statements of Operations in the period in which the hedged item affects earnings. In the next twelve months, we estimate that $9.3 million will be reclassified from Other comprehensive income and recorded as an increase to Interest expense.
 
The table below details the location in the financial statements of the gain or loss recognized on derivative financial instruments designated as cash flow hedges (in thousands):
 
 For the
Three Months Ended
March 31,
 20212020
Gain (loss) recognized in Other comprehensive income on derivative financial instruments$3,885 $(19,823)
Loss reclassified from Other comprehensive income to Interest expense$(2,318)$(779)
Total Interest expense in which the effects of cash flow hedges are recorded$(10,788)$(11,012)