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Derivative Instruments | 12 Months Ended
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Dec. 31, 2022
Interest Rate Derivatives [Abstract] |
Derivative Instruments | 17. Derivative Instruments The Partnership’s derivative instruments are not designated as hedging instruments and are recorded at fair value. Changes in fair value are included in current period earnings as “Interest expense” in the Partnership's consolidated statements of operations. The value of the Partnership’ interest rate swaps are subject to mark-to-market collateral posting provisions in conjunction with the Partnership’s ISDA master agreement with Mizuho (Note 15). See Note 23 for a description of the methodology and significant assumptions for determining the fair value of the derivatives. The derivative instruments are presented within “Other assets” in the Partnership's consolidated balance sheets. Interest Rate Swap Agreements During 2022, the Partnership entered into multiple interest rate swap agreements to mitigate interest rate risk associated with the variable rate TOB trust financings (Note 15). No fees were paid to Mizuho upon closing of the interest rate swaps. The following table summarizes the Partnership's interest rate swap agreements as of December 31, 2022:
Trade Date |  | Notional Amount |  |  | Effective Date |  | Termination Date |  | Fixed Rate Paid |  |  | Period End Variable Rate Received |  |  | Variable Rate Index |  | Variable Debt Financing Hedged (1) |  | Counterparty |  | Fair Value as of December 31, 2022 |
February 2022 |  |  | 55,990,000 |  |  | 2/9/2022 |  | 2/1/2024 |  |  | 1.40 | % |  |  | 4.09 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  | $ | 2,205,130 |
March 2022 |  |  | 47,850,000 |  |  | 3/3/2022 |  | 3/1/2027 |  |  | 1.65 | % |  |  | 4.09 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 4,048,961 |
October 2022 |  |  | 34,436,088 |  | (2) | 4/1/2023 |  | 4/1/2025 |  |  | 3.92 | % |  | N/A |  |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 131,427 |
December 2022 |  |  | 10,880,000 |  | (3) | 1/1/2023 |  | 12/1/2029 |  |  | 3.27 | % |  | N/A |  |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 370,342 |
December 2022 |  |  | 45,500,000 |  |  | 1/3/2023 |  | 1/1/2030 |  |  | 3.47 | % |  | N/A |  |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 443,339 |
|  |  | 194,656,088 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 7,199,199 |
(1) See Notes 15 and 23 for additional details. (2) The notional amount increases according to a schedule in accordance with the terms of the interest rate swap agreement up to a maximum notional amount of $99.6 million. (3) The notional amount increases according to a schedule in accordance with the terms of the interest rate swap agreement up to a maximum notional amount of $47.8 million. Total Return Swap Agreements The following table summarizes the terms of the Partnership’s total return swaps as of December 31, 2022 and 2021:
Trade Date |  | Notional Amount |  |  | Effective Date |  | Termination Date |  | Period End Variable Rate Paid |  |  | Period End Variable Rate Received |  |  | Variable Rate Index |  | Counterparty |  | Fair Value as of December 31, 2022 |
December 2022 |  |  | 102,690,670 |  |  | December 2022 |  | Sept 2025 |  |  | 7.80 | % | (1) |  | 13.05 | % | (2) | SOFR |  | Mizuho Capital Markets |  | $ | 239,612 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 239,612 |
(1) Variable rate equal to SOFR + 4.00%, subject to an all-in floor of 4.25%. (2) Variable rate equal to SOFR + 9.25%.
Trade Date |  | Notional Amount |  |  | Effective Date |  | Termination Date |  | Period End Variable Rate Paid |  | Period End Variable Rate Received |  | Variable Rate Index |  | Counterparty |  | Fair Value as of December 31, 2021 |
September 2020 |  |  | 39,607,744 |  |  | September 2020 |  | Sept 2025 |  | 4.25% (1) |  | 9.20% (3) |  | 3-month LIBOR |  | Mizuho Capital Markets |  | $ | 77,061 |
September 2020 |  |  | 63,500,000 |  |  | September 2020 |  | Mar 2022 |  | 1.00% (2) |  | 9.20% (3) |  | 3-month LIBOR |  | Mizuho Capital Markets |  |  | 215,267 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 292,328 |
(1) Variable rate equal to 3-month LIBOR + 3.75%, subject to a floor of 4.25%. (2) Variable rate equal to 3-month LIBOR + 0.50%, subject to a floor of 1.00%. (3) Variable rate equal to 3-month LIBOR + 9.00%. The total return swap has the Partnership’s Secured Notes with Mizuho as the specified reference security (Note 15), with the total return swap notional amount equal to the outstanding principal on the Secured Notes. The rate received on the total return swap is equal to the interest rate on the Secured Notes such that they offset one another, resulting in a net interest cost equal to the rate paid under the total return swap. Under the total return swap, the Partnership is liable for any decline in the value of the Secured Notes under the ISDA master agreement with Mizuho, when netted with the value of Partnership’s other positions with Mizuho. The Partnership was required to initially fund cash collateral with Mizuho for each total return swap. The total return swap with a notional amount of $102.7 million, requires the Partnership to maintain cash collateral equal to 35% of the notional amount. The second total return swap, which was terminated in March 2022, required the Partnership to maintain cash collateral equal to 100% of the notional amount. In March 2022, the Partnership allocated the notional amount of $63.5 million from the second total return swap to the first total return swap which resulted in an increase in unrestricted cash of approximately $41.3 million. In December 2022, the Partnership amended certain terms associated with the remaining total return swap, including an update in the variable rate index from 3-month LIBOR to SOFR. There were no fees associated with the amendment. Interest Rate Cap Agreement The Partnership has entered into an interest rate cap agreement to mitigate exposure to interest rate risk associated with variable-rate debt financing facilities. The following tables summarize the Partnership’s interest rate cap agreement as of December 31, 2022 and 2021:
Purchase Date |  | Notional Amount |  |  | Maturity Date |  | Effective Capped Rate (1) |  |  | Index |  | Variable Debt Financing Hedged (1) |  | Counterparty |  | Fair Value as of December 31, 2022 |
August 2019 |  |  | 75,014,903 |  |  | Aug 2024 |  |  | 4.5 | % |  | SIFMA |  | M31 TEBS |  | Barclays Bank PLC |  | $ | 91,627 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 91,627 |
(1) See Notes 15 and 23 for additional details.
Purchase Date |  | Notional Amount |  |  | Maturity Date |  | Effective Capped Rate (1) |  |  | Index |  | Variable Debt Financing Hedged (1) |  | Counterparty |  | Fair Value as of December 31, 2021 |
August 2019 |  |  | 76,544,336 |  |  | Aug 2024 |  |  | 4.5 | % |  | SIFMA |  | M31 TEBS |  | Barclays Bank PLC |  | $ | 51,090 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 51,090 |
(1) See Notes 15 and 23 for additional details.

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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 https://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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