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Derivative Instruments | 6 Months Ended
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Jun. 30, 2023
Interest Rate Derivatives [Abstract] |
Derivative Instruments | 18. 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’s interest rate swaps are subject to mark-to-market collateral posting provisions in conjunction with the Partnership’s ISDA master agreement with Mizuho (Note 16). 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” or “Accounts payable, accrued expenses and other liabilities”, as appropriate, in the Partnership's condensed consolidated balance sheets. Interest Rate Swap Agreements The Partnership has entered into multiple interest rate swap agreements to mitigate interest rate risk associated with variable rate TOB trust financings (Note 16). 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 June 30, 2023 and 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 |  | Counterparty |  | Fair Value as of June 30, 2023 |
February 2022 |  |  | 55,990,000 |  |  | 2/9/2022 |  | 2/1/2024 |  |  | 1.40 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  | $ | 1,482,242 |
March 2022 |  |  | 47,850,000 |  |  | 3/3/2022 |  | 3/1/2027 |  |  | 1.65 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 4,140,683 |
October 2022 |  |  | 39,795,288 |  | (1) | 4/1/2023 |  | 4/1/2025 |  |  | 3.92 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 1,148,455 |
December 2022 |  |  | 15,153,143 |  | (2) | 1/1/2023 |  | 12/1/2029 |  |  | 3.27 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 767,254 |
December 2022 |  |  | 45,500,000 |  |  | 1/3/2023 |  | 1/1/2030 |  |  | 3.47 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 750,088 |
January 2023 |  |  | 12,065,200 |  |  | 1/19/2023 |  | 1/1/2030 |  |  | 3.35 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 278,458 |
January 2023 |  |  | 8,027,600 |  |  | 2/1/2023 |  | 2/1/2030 |  |  | 3.29 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 190,855 |
March 2023 |  |  | 4,961,000 |  | (3) | 4/1/2023 |  | 6/1/2029 |  |  | 3.37 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 284,806 |
April 2023 |  |  | 4,508,000 |  |  | 5/1/2023 |  | 5/1/2033 |  |  | 3.49 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 195,998 |
May 2023 |  |  | 9,170,000 |  |  | 6/1/2023 |  | 6/1/2030 |  |  | 3.15 | % |  |  | 5.07 | % |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 316,883 |
June 2023 |  |  | 12,800,000 |  |  | 6/1/2023 |  | 6/1/2028 |  |  | 3.46 | % |  |  | 5.06 | % |  | SOFR |  | TOB Trusts |  | Barclays Bank PLC |  |  | 241,975 |
|  |  | 255,820,231 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 9,797,697 |
(1) The notional amount increases according to a schedule up to a maximum notional amount of $99.6 million. (2) The notional amount increases according to a schedule up to a maximum notional amount of $47.8 million. (3) The notional amount increases according to a schedule up to a maximum notional amount of $21.6 million.
Trade Date |  | Notional Amount |  |  | Effective Date |  | Termination Date |  | Fixed Rate Paid |  |  | Period End Variable Rate Received |  |  | Variable Rate Index |  | Variable Debt Financing Hedged |  | 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 |  | (1) | 4/1/2023 |  | 4/1/2025 |  |  | 3.92 | % |  | N/A |  |  | Compounded SOFR |  | TOB Trusts |  | Mizuho Capital Markets |  |  | 131,427 |
December 2022 |  |  | 10,880,000 |  | (2) | 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) The notional amount increases according to a schedule up to a maximum notional amount of $99.6 million. (2) The notional amount increases according to a schedule up to a maximum notional amount of $47.8 million. Total Return Swap Agreement The following table summarizes the terms of the Partnership’s total return swap as of June 30, 2023 and December 31, 2022:
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 June 30, 2023 |
December 2022 |  |  | 102,489,657 |  |  | December 2022 |  | Sept 2025 |  |  | 9.07 | % | (1) |  | 14.32 | % | (2) | SOFR |  | Mizuho Capital Markets |  | $ | 224,196 |
(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, 2022 |
December 2022 |  |  | 102,690,670 |  |  | December 2022 |  | Sept 2025 |  |  | 7.80 | % | (1) |  | 13.05 | % | (2) | SOFR |  | Mizuho Capital Markets |  | $ | 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%. The total return swap has the Partnership’s Secured Notes with Mizuho as the specified reference security (Note 16), 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 the Partnership's other positions with Mizuho. The Partnership was required to initially maintain cash collateral with Mizuho equal to 35% of the notional amount of the total return swap. In February 2023, the cash collateral requirement was reduced to 30% of the notional amount. 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 amendments. Interest Rate Cap Agreement The Partnership has entered into an interest rate cap agreement to mitigate our exposure to interest rate risk associated with a variable-rate debt financing facility. The following tables summarize the Partnership’s interest rate cap agreement as of June 30, 2023 and December 31, 2022:
Purchase Date |  | Notional Amount |  |  | Maturity Date |  | Effective Capped Rate |  |  | Index |  | Variable Debt Financing Hedged |  | Counterparty |  | Fair Value as of June 30, 2023 |
August 2019 |  |  | 74,247,101 |  |  | Aug 2024 |  |  | 4.5 | % |  | SIFMA |  | M31 TEBS |  | Barclays Bank PLC |  | $ | 77,427 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 77,427 |
Purchase Date |  | Notional Amount |  |  | Maturity Date |  | Effective Capped Rate |  |  | Index |  | Variable Debt Financing Hedged |  | 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 |

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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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