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Derivative Instruments | 9 Months Ended
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Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | Derivative Instruments Interest Rate Swaps / Caps The Company enters into derivative agreements to manage interest rate risk exposure. Interest rate swap agreements are utilized to limit the Company's exposure to interest rate risk by converting a portion of its floating-rate debt to a fixed rate basis, thus reducing the impact of interest rate changes on future interest expense. Interest rate swaps involve the receipt of floating-rate amounts in exchange for fixed-rate interest payments over the lives of the agreements without an exchange of the underlying principal amounts. The Company also utilizes interest rate cap agreements to manage the Company's exposure to rising interest rates by placing a ceiling on the rate that will be paid under certain floating-rate debt agreements. The counterparties to these agreements are highly rated financial institutions. In the unlikely event that the counterparties fail to meet the terms of these agreements, the Company's exposure is limited to the interest rate differential on the notional amount at each monthly settlement period over the life of the agreements. The Company does not anticipate any non-performance by the counterparties. Certain assets of the Company's subsidiaries are pledged as collateral for various credit facilities and the amounts payable under certain derivative agreements. Additionally, the Company may be required to post cash collateral on these agreements. Any amounts of cash collateral posted are included in Other assets on the consolidated balance sheet and are presented in operating activities of the consolidated statements of cash flows. As of September 30, 2021, the Company has cash collateral of $23.5 million related to interest rate swap contracts. In conjunction with the issuance of ABS notes, the Company canceled the following interest rate swaps that were in place to hedge the impact of interest rate changes on fixed-rate debt issuances:
Derivative Instrument |  | Date Canceled |  | Notional Amount |  | Funds Received
Interest rate swap |  | January 25, 2021 |  | $150.0 million |  | $0.3 million
Interest rate swap |  | January 27, 2021 |  | $150.0 million |  | $0.3 million
Interest rate swap |  | February 19, 2021 |  | $150.0 million |  | $2.4 million
Interest rate swap |  | February 19, 2021 |  | $150.0 million |  | $2.4 million
On April 15, 2021, the Company cancelled and simultaneously entered into an interest rate swap with a notional amount of $93.8 million. The Company paid $0.1 million for the cancellation of the existing contract. The new contract has a scheduled maturity date of April 20, 2024 and is indexed to 1 month LIBOR with a fixed leg interest rate of 0.25%. In conjunction with the redemption of the institutional notes, the Company entered into and subsequently canceled the following interest rate swaps that were in place to hedge the impact of interest rate changes related to the make-whole premium payment during the notification period. The settlement of these swaps is presented in debt termination expense on the consolidated statement of operations and in payments under debt facilities and finance lease obligations within the financing section of the consolidated statement of cash flows.
Derivative Instrument |  | Date Canceled |  | Notional Amount |  | Funds Received (Paid)
Interest rate swap |  | June 25, 2021 |  | $72.5 million |  | $— million
Interest rate swap |  | June 25, 2021 |  | $195.9 million |  | $(0.9) million
During the nine months ended September 30, 2021, the Company entered into the following hedging instruments:
Derivative Instrument |  | Date Effective |  | Notional Amount |  | Fixed Leg (Pay) Interest Rate |  | Indexed To |  | Scheduled Maturity
Interest rate cap |  | May 24, 2021 |  | $200.0 million |  | n/a |  | 1 month LIBOR |  | November 13, 2023
Forward starting interest rate swap |  | October 29, 2021 |  | $150.0 million |  | 1.21% |  | 1 month LIBOR |  | October 29, 2031(1)
Forward starting interest rate swap |  | October 29, 2021 |  | $150.0 million |  | 1.21% |  | 1 month LIBOR |  | October 29, 2031(1)
(1) Mandatory termination date of July 29, 2022. As of September 30, 2021, the Company had interest rate swap and cap agreements in place to fix or limit the floating interest rates on a portion of the borrowings under its debt facilities summarized below:
Derivatives |  | Notional Amount |  | Weighted Average Fixed Leg (Pay) Interest Rate |  | Cap Rate |  | Weighted Average Remaining Term
Interest Rate Swap(1) |  | $1,654.1 Million |  | 2.02% |  | n/a |  | 4.4 years
Interest Rate Cap |  | $400.0 Million |  | n/a |  | 5.5% |  | 2.2 years
(1) The impact of forward starting swaps will increase total notional amount by $650.0 million and increase the weighted average remaining term to 7.2 years. Unrealized losses of $31.3 million related to interest rate swap and cap agreements included in accumulated other comprehensive income (loss) are expected to be recognized in Interest and debt expense over the next twelve months. The following table summarizes the impact of derivative instruments on the consolidated statements of operations and the consolidated statements of comprehensive income on a pretax basis (in thousands):
|  |  | Three Months Ended September 30, |  | Nine Months Ended September 30,
| Financial statement caption |  | 2021 |  | 2020 |  | 2021 |  | 2020
Non-Designated Derivative Instruments |  |  |  |  |  |  |  |  |
Realized (gains) losses | Other (income) expense, net |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (224) |
Realized (gains) losses | Debt termination expense |  | $ | — |  |  | $ | — |  |  | $ | 883 |  |  | $ | — |
Unrealized (gains) losses | Other (income) expense, net |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 286 |
Designated Derivative Instruments |  |  |  |  |  |  |  |  |
Realized (gains) losses | Interest and debt (income) expense |  | $ | 7,583 |  |  | $ | 7,834 |  |  | $ | 22,592 |  |  | $ | 15,282 |
Unrealized (gains) losses | Comprehensive (income) loss |  | $ | (8,176) |  |  | $ | (852) |  |  | $ | (49,298) |  |  | $ | 146,386 |
Fair Value of Derivative Instruments The Company has elected to use the income approach to value its interest rate swap and cap agreements, using Level 2 market expectations at the measurement date and standard valuation techniques to convert future values to a single discounted present value. The Level 2 inputs for the interest rate swap and cap valuations are inputs other than quoted prices that are observable for the asset or liability (specifically LIBOR and swap rates and credit risk at commonly quoted intervals). In response to the expected phase out of LIBOR, the Company continues to work with its counterparties to identify an alternative reference rate. Substantially all of the Company's debt agreements already include transition language, and the Company also adopted various practical expedients which will facilitate the transition. The Company presents the fair value of derivative financial instruments on a gross basis as a separate line item on the consolidated balance sheet. As of September 30, 2021 and December 31, 2020, the Company has no material non-designated instruments.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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