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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING
 3 Months Ended
Mar. 31, 2022
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, 2022 and December 31, 2021 is as follows (dollars in thousands): 
Notional AmountFair Value
Contract dateEffective DateExpiration DateAverage Annual Effective Fixed RateMarch 31, 2022December 31, 2021March 31, 2022December 31, 2021
October 2, 2017January 29, 2018January 31, 20231.98 %$100,000 $100,000 $(310)$(1,617)
October 2, 2017January 29, 2018January 31, 20231.98 %100,000 100,000 (319)(1,629)
June 11, 2018September 28, 2018September 30, 20242.87 %75,000 75,000 (794)(3,831)
June 11, 2018December 31, 2018December 31, 20252.93 %125,000 125,000 (2,187)(8,646)
$400,000 $400,000 $(3,610)$(15,723)

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, 2022 and December 31, 2021, all of our interest rate swaps were in a liability position. The liability related to our interest rate swaps has decreased substantially during the first quarter of 2022 due to increases in interest rates. 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 $2.3 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,
 20222021
Gain recognized in Other comprehensive income on derivative financial instruments$9,813 $3,885 
Loss reclassified from Other comprehensive income to Interest expense$(2,300)$(2,318)
Total Interest expense in which the effects of cash flow hedges are recorded$(13,439)$(10,788)