In the normal course of business, we are exposed to financial market risks, including interest rate risk on our interest bearing liabilities. We attempt to limit these risks by following established risk management policies, procedures and strategies, including the use of financial instruments such as derivatives. We do not use financial instruments for trading or speculative purposes.

For derivatives that have been designated and that qualify as cash flow hedges of interest rate risk, the gain or loss on the derivative is recorded in “Accumulated other comprehensive (loss) income” and subsequently reclassified into “Interest expense, net” in the same periods during which the hedged transaction affects earnings. Through December 10, 2020, all of our derivatives were designated and qualified as cash flow hedges of interest rate risk.

On December 10, 2020 as a result of the Financial Restructuring, we de-designated seven of our interest rate swaps which were previously designated cash flow hedges against the 2018 Credit Facility and 7-year Term Loan, as the hedged forecasted transactions were no longer probable to occur during the hedged time period due to the financial restructuring as described in Note 1. As such, the Company accelerated the reclassification of a portion of the amounts in other comprehensive (loss) income to earnings which resulted in a loss of $2.8 million that was recorded within interest expense, net in the consolidated statement of operations. Additionally, on December 10, 2020, the Company voluntarily de-designated the remaining 13 interest swaps that were also previously designated as cash flow hedges against the 2018 Credit Facility and 7-year Term Loan. Upon de-designation, the accumulated other comprehensive (loss) income balance of each of these de-designated derivatives will be separately reclassified to earnings as the originally hedged forecasted transactions affect earnings. Through December 10, 2020, the changes in fair value of the derivatives were recorded to accumulated other comprehensive (loss) income in the consolidated balance sheets.

On December 22, 2020, we re-designated nine interest rate swaps with a notional amount of $375.0 million as cash flow hedges of interest rate risk against the First Lien Term Loan Facility. These interest rate swaps qualified for hedge accounting treatment with changes in the fair value of the derivatives recorded through accumulated other comprehensive (loss) income.

As of December 31, 2021, we had seven total derivatives with a notional amount of $300.0 million, which were designated as cash flow hedges.

We recognize all derivatives at fair value as either assets or liabilities in the accompanying consolidated balance sheets. Our derivative assets are recorded in “Deferred costs and other assets” and our derivative liabilities are recorded in “Fair value of derivative instruments.”

During 2022, we estimate that $6.6 million will be reclassified as an increase to interest expense in connection with our designated derivatives. The recognition of these amounts could be accelerated in the event that we repay amounts outstanding on the debt instruments and do not replace them with new borrowings.

Derivatives not designated as hedges are not speculative and were also used to manage the Company’s exposure to interest rate movements and other identified risks but do not meet the strict hedge accounting requirements. For the eleven remaining interest rate swaps that were not re-designated subsequent to December 10, 2020 and matured during 2021, changes in the fair value of derivatives are recorded directly in earnings as interest expense in the consolidated statement of operations.

As of December 31, 2021, we had interest rate swap agreements designated in qualifying hedging relationships outstanding with a weighted average base interest rate of 2.70% on a notional amount of $300.0 million, maturing in May 2023. We originally entered into these interest rate swap agreements in order to hedge the interest payments associated with our issuances of variable interest rate long term debt. The interest rate swap agreements are net settled monthly.

The following table summarizes the terms and estimated fair values of our interest rate swap derivative instruments as of December 31, 2021 and 2020 based on the year they mature. The notional values provide an indication of the extent of our involvement in these instruments, but do not represent exposure to credit, interest rate or market risks.


Maturity Date	Aggregate Notional Value at December 31, 2021 (in millions of dollars)		Aggregate Fair Value at December 31, 2021 (1) (in millions of dollars)			Aggregate Fair Value at December 31, 2020 (1) (in millions of dollars)			Weighted Average Interest Rate
Derivatives in Cash Flow Hedging Relationships
Interest rate Swaps
2021	N/A		N/A			$	(3.0	)	N/A
2023	$	300.0	$	(8.1	)		(17.2	)		2.70	%
Non-designated Hedges
Interest rate Swaps
2021		—		—			(3.1	)	N/A
Total	$	300.0	$	(8.1	)	$	(23.3	)		2.70	%

(1) As of December 31, 2021 and 2020, derivative valuations in their entirety were classified in Level 2 of the fair value hierarchy and we did not have any significant recurring fair value measurements related to derivative instruments using significant unobservable inputs (Level 3).

The tables below present the effect of derivative financial instruments on accumulated other comprehensive (loss) income and on our consolidated statements of operations for the years ended December 31, 2021 and 2020:


	Amount of Gain or (Loss) Recognized in Other Comprehensive Income on Derivative Instruments						Amount of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Interest Expense
	Year Ended December 31,
(in millions of dollars)	2021			2020			2021		2020
Derivatives in Cash Flow Hedging Relationships
Interest rate products	$	(11.4	)	$	(21.6	)	$	11.9	$	10.4	(1)

(1)

Includes $2.8 million of accelerated reclassification of a portion of amounts in other comprehensive (loss) income to earnings.


	Year Ended December 31,
(in millions of dollars)	2021			2020
Total interest expense presented in the consolidated statements of operations in which the effects of cash flow hedges are recorded	$	(128.0	)	$	(84.3	)
Amount of gain (loss) reclassified from accumulated other comprehensive income into interest expense	$	11.9		$	10.4

The impact of our non-designated swaps resulted in a loss of approximately $0.1 million for the year ended December 31, 2021, which is recognized in interest expense, net in the consolidated statement of operations.

We have agreements with some of our derivative counterparties that contain a provision pursuant to which, if our entity that originated such derivative instruments defaults on any of its indebtedness, including default where repayment of the indebtedness has not been accelerated by the lender, then we could also be declared to be in default on our derivative obligations. On December 10, 2020, we amended our agreements with our derivative counterparties so that our November 1, 2020 bankruptcy filing was not considered a default under our agreements. As of December 31, 2021, we were not in default on any of our derivative obligations.

We have an agreement with a derivative counterparty that incorporates the loan covenant provisions of our loan agreement with a lender affiliated with the derivative counterparty. Failure to comply with the loan covenant provisions would result in our being in default on any derivative instrument obligations covered by the agreement.

As of December 31, 2021, the fair value of derivatives in a liability position, which excludes accrued interest but includes any adjustment for nonperformance risk related to these agreements, was $8.4 million. If we had breached any of the default provisions in these agreements as of December 31, 2021, we might have been required to settle our obligations under the agreements at their termination value (including accrued interest) of $9.4 million. We had not breached any of these provisions as of December 31, 2021.