Derivatives

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Note 7. Derivatives

In June 2021, our financial guarantee of the personal loan of a former executive officer was waived and we recognized a gain of $0.1 million from the cancellation of our financial guarantee derivative in other income (expense), net in the accompanying condensed consolidated statements of operations for the three months ended June 30, 2021. The associated restricted cash equivalent of $25.0 million became unrestricted and was reclassified to cash and cash equivalents.

Due to the impact of

COVID-19

and decreases in LIBOR, in March 2020, we entered into two

blend-and-extend

transactions to modify our initial swaps where the derivative liability of $12.3 million was carried over to the modified swaps, the fixed rate of 2.3% on the initial swaps was modified to a new average fixed interest rate of 1.7% and the maturity date was extended by two years to April 2024. The notional amount of each modified swap was $96.6 million. At the time of modification, the initial swaps were

de-designated

as cash flow hedges and amounts in other comprehensive income were frozen and are amortized to interest expense over the life of the original hedge relationship. As the modified swaps were considered

off-market,

they were accounted for as a debt host, and an embedded

at-market

derivative was bifurcated from the debt host. The

at-market

portion of the modified swaps were designated as cash flow hedges. The hybrid debt host is accounted for at amortized cost basis and will be amortized as we settle our modified swaps over the extended term with related interest recognized in interest expense, net in the accompanying condensed consolidated statements of operations.

Derivative financial instruments and hybrid debt consisted of the following (in thousands):


	June 30, 2021		December 31, 2020
Interest rate swap derivative liability, current portion	$	2,289	$	2,177

Interest rate swaps		395		3,640
Financial guarantee		—		150

Total derivative liability, net of current portion	$	395	$	3,790


Hybrid debt, current portion	$	3,265	$	2,954

Hybrid debt, net of current portion	$	6,510	$	8,152

The impact from losses from our interest rate cap, interest rate swaps, and hybrid debt on our condensed consolidated statements of operations were as follows (in thousands):


	Three Months Ended June 30				Six Months Ended June 30
	2021		2020		2021		2020
Net payments upon settlement of interest rate swaps	$	608	$	113	$	1,052	$	442
Amortization of prior hedge effectiveness		1,748		996		3,076		996
Amortization of interest rate cap premium		—		53		28		115
Interest expense on hybrid debt		180		211		368		222

Total, recorded in interest expense, net	$	2,536	$	1,373	$	4,524	$	1,775