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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING
 9 Months Ended
Sep. 30, 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 September 30, 2022 and December 31, 2021 is as follows (dollars in thousands): 
Notional AmountFair Value
Contract dateEffective DateExpiration DateAverage Annual Effective Fixed RateSeptember 30, 2022December 31, 2021September 30, 2022December 31, 2021
October 2, 2017January 29, 2018January 31, 20231.98 %$100,000 $100,000 $623 $(1,617)
October 2, 2017January 29, 2018January 31, 20231.98 %100,000 100,000 615 (1,629)
June 11, 2018September 28, 2018September 30, 20242.87 %75,000 75,000 2,006 (3,831)
June 11, 2018December 31, 2018December 31, 20252.93 %125,000 125,000 4,395 (8,646)
July 26, 2022January 31, 2023January 31, 20272.60 %100,000 — 4,533 — 
July 26, 2022January 31, 2023January 31, 20292.56 %100,000 — 5,821 — 
$600,000 $400,000 $17,993 $(15,723)

In July 2022, we entered into two new interest rate swap agreements. One interest rate swap agreement has a notional amount of $100.0 million and an effective date of January 31, 2023 with a term of six years. Regions Bank is the counterparty and the swap provides for a fixed rate of 2.5625%. The second interest rate swap has a notional amount of $100.0 million and an effective date of January 31, 2023 with a term of four years. Capital One Bank, N.A. is the counterparty and the swap provides for a fixed rate of 2.6%.

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 September 30, 2022, our six interest rate swaps were in an asset position. At December 31, 2021, all of our interest rate swaps were in a liability position. The substantial change in value related to our interest rate swaps during the first and second quarters of 2022 was due to increases in interest rates. Derivative assets related to our interest rate swaps are recorded in Other assets, and other and derivative liabilities are included 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 $6.3 million will be reclassified from Other comprehensive income and recorded as an decrease to Interest expense.
 
The table below details the location in the financial statements of the realized and unrealized gain or loss related to derivative financial instruments designated as cash flow hedges (in thousands):
 
 For the
Three Months Ended
September 30,		For the
Nine Months Ended
September 30,
 2022202120222021
Unrealized gain (loss) recorded in Other comprehensive income on derivative financial instruments$16,536 $(138)$29,560 $2,743 
Loss reclassified from Other comprehensive income to Interest expense$(171)$(2,403)$(4,156)$(7,087)
Total interest expense in which the effects of cash flow hedges are recorded$(17,645)$(10,817)$(46,202)$(32,567)