XML 46 R16.htm IDEA: XBRL DOCUMENT v3.22.2
Derivative instruments and hedging activities
 6 Months Ended
Jun. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative instruments and hedging activities Derivative instruments and hedging activities
Risk management objective of using derivatives
The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company principally manages its exposures to a wide variety of business and operational risks through management of its core business activities. The Company manages economic risks, including interest rate, liquidity and credit risk primarily by managing the amount, sources and duration of its assets and liabilities and the use of derivative financial instruments. Specifically, the Company has entered into interest rate swaps to manage exposures that arise from the Company's senior secured credit agreement's payments of variable interest rate debt.
If current fair values of designated interest rate swaps remained static over the next twelve months, the Company would reclassify $4.8 million of net deferred gains from accumulated other comprehensive loss into the condensed consolidated statement of operations over the next twelve-month period. All outstanding cash flow hedges mature in October 2023.
As of June 30, 2022, the Company had the following outstanding interest rate derivatives that were designated as cash flow hedges of interest rate risk:
(in millions, except number of instruments)Number of InstrumentsNotional
Interest rate swaps7$350.0 
The table below presents the fair value of the Company’s derivative financial instruments designated as hedges as well as their classification on the balance sheets:
Asset DerivativesLiability Derivatives
 
June 30, 2022December 31, 2021June 30, 2022December 31, 2021
Balance Sheet LocationFair ValueBalance Sheet LocationFair ValueBalance Sheet LocationFair ValueBalance Sheet LocationFair Value
Interest Rate SwapsOther Current Assets$4.8 Other Current Assets$— Other Current Liabilities $— Other Current Liabilities$4.5 
Other Assets$1.5 Other Assets$— Other Liabilities$— Other Liabilities$1.6 
The valuation of the interest rate swaps is determined using widely accepted valuation techniques, including discounted cash flow analysis on the expected cash flows of each interest rate swap. This analysis reflects the contractual terms of the interest rate swaps, including the period to maturity, and uses observable market-based inputs, including interest rate curves and implied volatilities. The fair values of interest rate swaps are determined using the market standard methodology of netting the discounted future fixed cash payments (or receipts) and the discounted expected variable cash receipts (or payments). The variable cash payments (or receipts) are based on an expectation of future interest rates (forward curves) derived from observable market interest rate curves. We incorporate credit valuation adjustments in the fair value measurements to appropriately reflect both our own nonperformance risk and the respective counterparty’s nonperformance risk. These credit valuation adjustments were not significant inputs for the fair value calculations for the periods presented. In adjusting the fair value of our derivative contracts for the effect of nonperformance risk, we have considered the impact of netting and any applicable credit enhancements, such as the posting of collateral, thresholds, mutual puts and guarantees. The valuation of interest rate swaps fall into Level 2 in the fair value hierarchy.
The table below presents the effect of cash flow hedge accounting on accumulated other comprehensive loss.
Cumulative Amount of Gain/(Loss) Recognized in OCI on Derivative
Location of Gain or (Loss) Reclassified from Accumulated OCL into Income
Amount of Gain/(Loss) Reclassified from Accumulated OCL into Income
June 30,December 31,Six Months Ended June 30,
2022202120222021
Interest Rate Swaps$6.3 $(6.1)Interest expense$(2.3)$(3.0)