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Derivative Instruments
 9 Months Ended
Sep. 30, 2019
Derivative Instrument Detail [Abstract]  
Derivative Instruments

NOTE 10. DERIVATIVE INSTRUMENTS

From time to time, we enter into derivative financial instruments to manage certain cash flow and fair value risks. Derivatives designated and qualifying as a hedge of the exposure to changes in the fair value of an asset or liability to a particular risk are considered fair value hedges. Derivatives designated and qualifying as a hedge of the exposure to variability in the cash flows of a specific asset or liability that is attributable to a particular risk, such as interest rate risk, are considered cash flow hedges.

We have a $40.0 million term loan that matures in December 2019. In September 2019, we entered into a $40.0 million interest rate swap, the objective which is to lock in the index component rate on an expected new term loan in December 2019. This cash flow hedge requires settlement in December 2019.

Additionally, at September 30, 2019, we have five interest rate swaps associated with $357.5 million of term loan debt.  These cash flow hedges convert variable rates ranging from three-month and one-month LIBOR plus 1.85% to 2.15%, to fixed rates ranging from 3.88% to 4.82%. Our cash flow hedges are expected to be highly effective in achieving offsetting cash flows attributable to the hedged interest rate risk through the term of the hedge. At September 30, 2019, the amount of net losses expected to be reclassified into earnings in the next 12 months is approximately $3.6 million.

The following table presents the gross fair values of derivative instruments on our Condensed Consolidated Balance Sheets:

 

 

 

 

 

Asset Derivatives

 

 

 

 

Liability Derivatives

 

(in thousands)

 

Location

 

September 30, 2019

 

 

December 31, 2018

 

 

Location

 

September 30, 2019

 

 

December 31, 2018

 

Derivatives designated in cash flow hedging relationships:

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Other assets,

non-current

 

$

736

 

 

$

1,510

 

 

Other long-term obligations

 

$

29,322

 

 

$

2,888

 

 

The following table details the effect of derivatives on our Condensed Consolidated Statements of Income:

 

 

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

(in thousands)

 

Location

 

2019

 

 

2018

 

 

2019

 

 

2018

 

Derivatives designated in fair value hedging relationships:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized loss on interest rate contracts1

 

Interest expense

 

$

—

 

 

$

(52

)

 

$

(18

)

 

$

(138

)

Loss on hedged debt basis adjustment included in debt extinguishment

 

 

 

 

—

 

 

 

—

 

 

 

(165

)

 

 

—

 

 

 

 

 

$

—

 

 

$

(52

)

 

$

(183

)

 

$

(138

)

Derivatives designated in cash flow hedging relationships:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Loss) income recognized in other comprehensive income, net of tax

 

 

 

$

(7,384

)

 

$

1,330

 

 

$

(26,576

)

 

$

1,394

 

Loss reclassified from accumulated other comprehensive income1

 

Interest expense

 

$

(406

)

 

$

(261

)

 

$

(668

)

 

$

(456

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest expense, net

 

 

 

$

8,475

 

 

$

10,109

 

 

$

21,821

 

 

$

25,125

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Realized gain (loss) on hedging instruments consist of net cash settlements and interest accruals on interest rate swaps during the periods.