Derivatives

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

On November 6, 2018, the Company entered into an interest rate swap agreement (the “Swap Agreement”) with a financial counterparty that effectively converts $400.0 million in aggregate notional amount of variable-rate debt under the Company’s ABL facility into fixed-rate debt. The Swap Agreement will terminate on May 29, 2022. Under the terms of the Swap Agreement, the Company receives a floating rate equal to one-month LIBOR and makes payments based on a fixed rate of 3.06% on the notional amount. The receive rate under the terms of the Swap Agreement was 0.39% and 0.11% at March 31, 2022 and December 31, 2021, respectively. The Swap Agreement was designated and qualified as a hedge of the Company’s exposure to changes in interest payment cash flows created by fluctuations in variable interest rates on the ABL facility.

The location and the fair value of derivative instruments designated as hedges, at the respective balance sheet dates, were as follows:


(in thousands)	Balance Sheet Account	March 31, 2022		December 31, 2021
Cash Flow Hedges:
Interest rate swap	Accrued expenses	$	2,105	$	5,259

The fair value of the interest rate swap was based on dealer quotes of market forward rates, a Level 2 input on the fair value hierarchy, and reflected the amount that the Company would receive or pay as of March 31, 2022 and December 31, 2021, respectively, for contracts involving the same attributes and maturity dates.

The following table discloses the impact of the interest rate swap, excluding the impact of income taxes, on other comprehensive income (“OCI”), AOCI and the Company’s combined consolidated statements of operations for the three months ended March 31,:


(in thousands)	2022		2021
Gain recognized in OCI	$	3,098	$	2,844
Location of gain recognized in income	Interest expense, net		Interest expense, net
Loss reclassified from AOCI into income (effective portion)	$	2,890	$	2,937