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.

At March 31, 2020, we have six interest rate swaps associated with $397.5 million of term loan debt. The 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 3.17% 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 hedges.

In March 2020, we entered into $653.5 million of forward starting interest rate swaps. These forward starting interest rate swaps effectively hedge the variability in future benchmark interest payments attributable to changes in interest rates on future debt refinancing. We entered into these forward starting interest rate swaps in order to lock in fixed rates on our anticipated future refinancing of $653.5 million of term loan debt maturing December 2020 through January 2029. The fixed interest rates for these forward swaps range from 0.85% to 1.17%. The variable rate component on these forward interest rate swaps is one-month LIBOR. Accordingly, the forward rate swaps were designated as cash flow hedges. In addition, these cash flow hedges require settlement on the stated maturity date for each respective term loan currently outstanding.

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

		Asset Derivatives					Liability Derivatives
(in thousands)	Location	March 31, 2020		December 31, 2019		Location	March 31, 2020		December 31, 2019
Derivatives designated in cash flow hedging relationships:
Interest rate contracts	Other assets, current¹	$	—	$	—	Accounts payable and accrued liabilities¹	$	1,368	$	—
Interest rate contracts	Other assets, non-current		—		1,601	Other long-term obligations		59,764		22,398
		$	—	$	1,601		$	61,132	$	22,398

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

		Three Months Ended March 31,
(in thousands)	Location	2020			2019
Derivatives designated in fair value hedging relationships:
Interest rate contracts
Realized loss on interest rate contracts¹	Interest expense	$	—		$	(18	)
Loss on hedged debt basis adjustment included in debt extinguishment			—			(165	)
		$	—		$	(183	)
Derivatives designated in cash flow hedging relationships:
Interest rate contracts
Loss recognized in other comprehensive loss, net of tax		$	(39,363	)	$	(8,594	)
Loss reclassified from accumulated other comprehensive loss¹	Interest expense	$	(838	)	$	(81	)

Interest expense, net		$	3,698		$	5,464

¹Realized loss on hedging instruments consist of net cash settlements and interest accruals on interest rate swaps during the periods.

At March 31, 2020, approximately $8.3 million of net losses are expected to be reclassified into earnings over the next 12 months. However, this expected amount to be reclassified into earnings is subject to volatility as the ultimate amount recognized in earnings is based on the market LIBOR rate at the time of cash settlement.