Quarterly report pursuant to Section 13 or 15(d)

Derivatives

v3.20.2
Derivatives
9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives Derivatives
Interest Rate Swaps
The Company uses interest rate swaps to hedge variable interest payments due on certain of its term loans and aggregation facility. These swaps allow the Company to incur fixed interest rates on these loans and receive payments based on variable interest rates with the swap counterparty based on the one- or three-month LIBOR on the notional amounts over the life of the swaps.
The interest rate swaps have been designated as cash flow hedges. The credit risk adjustment associated with these swaps is the risk of non-performance by the counterparties to the contracts. In the nine months ended September 30, 2020, the majority of hedge relationships on the Company’s interest rate swaps have been assessed as highly effective as the critical terms of the interest rate swaps match the critical terms of the underlying forecasted hedged transactions. Accordingly, changes in the fair value of these derivatives are recorded as a component of accumulated other comprehensive income, net of income taxes. Changes in the fair value of these derivatives are subsequently reclassified into earnings, and are included in interest expense, net in the Company’s statements of operations, in the period that the hedged forecasted transactions affects earnings. To the extent that the hedge relationships are not effective, changes in the fair value of these derivatives are recorded in other expenses, net in the Company's statements of operations on a prospective basis.
All amounts in Accumulated other comprehensive income (loss) ("AOCI") in the consolidated statements of redeemable noncontrolling interests and equity relate to derivatives, refer to the consolidated statements of comprehensive (loss) income. The net (loss) gain on derivatives includes the tax effect of $1.6 million and $9.1 million for the three months ended September 30, 2020 and 2019, respectively, and $25.7 million and $25.0 million for the nine months ended September 30, 2020 and 2019, respectively.
During the next 12 months, the Company expects to reclassify $17.8 million of net losses on derivative instruments from accumulated other comprehensive income to earnings. There were no undesignated derivative instruments recorded by the Company as of September 30, 2020.
The Company’s master netting and other similar arrangements allow net settlements under certain conditions. When those conditions are met, the Company presents derivatives at net fair value. As of September 30, 2020, the information related to these offsetting arrangements were as follows (in thousands):
Instrument Description Gross Amounts of Recognized Assets / Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets / Liabilities Included in the Consolidated Balance Sheet
Assets:
Derivatives $ 160  $ (160) $ — 
Liabilities:
Derivatives (142,874) 160  (142,714)
Total $ (142,714) $ —  $ (142,714)
As of December 31, 2019, the information related to these offsetting arrangements were as follows (in thousands):
Instrument Description Gross Amounts of Recognized Assets / Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets / Liabilities Included in the Consolidated Balance Sheet
Assets:
Derivatives $ 683  $ (615) $ 68 
Liabilities:
Derivatives (64,361) 615  (63,746)
Total $ (63,678) $ —  $ (63,678)
At September 30, 2020, the Company had the following derivative instruments (dollars in thousands):
Type Quantity Effective Dates Maturity Dates Hedge Interest Rates Notional Amount Fair Market Value
Interest rate swap 1/31/2020 4/30/2021
2.80%
$ 100,000  $ (1,488)
Interest rate swap
4/29/2016
8/31/2022
1.27% - 1.29%
10,541  (222)
Interest rate swaps
7/31/2017 - 1/31/2018
4/30/2024 - 10/20/2024
2.16% - 2.39%
276,982  (20,212)
Interest rate swaps 4/30/2021
10/30/2026 - 10/31/2026
2.89% - 3.08%
102,720  (14,865)
Interest rate swaps
10/31/2019 - 10/30/2020
4/30/2027 - 8/13/2027
0.57% - 1.89%
156,156  (2,132)
Interest rate swaps
10/31/2019
10/31/2031
1.44% - 1.50%
22,696  (1,332)
Interest rate swaps
1/31/2018 - 7/31/2027
4/30/2034 - 10/31/2034
2.62% - 3.33%
356,652  (52,689)
Interest rate swaps
7/31/2017 - 10/18/2024
4/30/2035 - 10/31/2035
2.56% - 2.95%
275,317  (33,299)
Interest rate swap
10/18/2024
1/31/2036
2.95%
14,656  (1,686)
Interest rate swaps
10/30/2026 - 10/31/2026
1/31/2038
3.01% - 3.16%
101,135  (14,198)
Interest rate swaps
10/30/2020 - 8/13/2027
1/31/2043
1.02% - 1.43%
122,030  (591)
Total $ 1,538,885  $ (142,714)