Derivative Instruments

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE INSTRUMENTS

The Company is exposed to interest rate risk related to its variable rate interest debt. The Company balances its cost of debt and exposure to interest rates primarily through its mix of fixed and variable rate debt. From time to time, the Company may use interest rate swaps to manage its exposure to interest rate risk.

Cash Flow Hedges of Interest Rate Risk

As of March 31, 2020, the Company has two interest rate swap agreements designated as a cash flow hedges whose key terms are as follows (dollars in millions):


Effective	Maturity	Fixed Interest	Notional Amount at		Fair Value at					Classification on
Date	Date	Rate	3/31/2020		3/31/2020		12/31/2019		Balance Sheet
4/7/2016	8/1/2029	3.14%	$	59.1	$	(5.7)	$	(0.2)	Accrued and other liabilities
02/13/2020	02/27/2023	1.35%	$	50.0	$	(1.4)	$	—	Accrued and other liabilities

The changes in fair value of the cash flow hedge are recorded in accumulated other comprehensive income (loss) and subsequently reclassified into interest expense as interest is incurred on the related-variable rate debt.

Non-designated Hedges

As of March 31, 2020, the Company has one interest rate swap that has not been designated as a cash flow hedge whose key terms are as follows (dollars in millions):

Effective

Maturity

Fixed Interest

Notional Amount at

Fair Value at

Classification on

Date

Rate

3/31/2020

12/31/2019

Balance Sheet

1/1/2014

9/1/2021

5.95%

10.1

(0.6)

(0.5)

Accrued and other liabilities

The following table represents the pre-tax effect of the derivative instruments in the Company's condensed consolidated statement of comprehensive income (loss) (in millions):


	Three Months Ended March 31,
	2020		2019
Derivatives in Designated Cash Flow Hedging Relationships:
Amount of gain (loss) recognized in OCI on derivatives	$	(6.9)	$	(1.5)
Impact of reclassification adjustment to interest expense included in Net Income (Loss)	$	—	$	(0.1)

The Company records gains or losses related to interest rate swaps that have not been designated as cash flow hedges in Interest and other income in its condensed consolidated statements of operations. There were $0.1 million of losses recognized in the three months ended March 31, 2020 and no amounts recognized in the three months ended March 31, 2019 related to changes in fair value.

The Company measures all of its interest rate swaps at fair value. The fair values of the Company's interest rate swaps (Level 2) are based on the estimated amounts that the Company would receive or pay to terminate the contracts at the reporting date and are determined using interest rate pricing models and interest rate related observable inputs.