Derivative Instruments

9 Months Ended

Sep. 30, 2023

Interest Rate Derivatives [Abstract]

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) and a mortgage payable (Note 17). No fees were paid to the counterparties upon closing of the interest rate swaps. The following table summarizes the Partnership’s interest rate swap agreements as of September 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 September 30, 2023
February 2022		55,990,000		2/9/2022	2/1/2024		1.40	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets	$	962,186
March 2022		47,850,000		3/3/2022	3/1/2027		1.65	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		4,450,130
October 2022		47,892,888	(1)	4/1/2023	4/1/2025		3.92	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		1,448,907
December 2022		20,400,000	(2)	1/1/2023	12/1/2029		3.27	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		1,459,311
December 2022		45,500,000		1/3/2023	1/1/2030		3.47	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		2,145,007
January 2023		12,065,200		1/19/2023	1/1/2030		3.35	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		644,852
January 2023		8,027,600		2/1/2023	2/1/2030		3.29	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		439,945
March 2023		8,342,000	(3)	4/1/2023	6/1/2029		3.37	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		910,969
April 2023		4,508,000		5/1/2023	5/1/2033		3.49	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		291,192
May 2023		9,170,000		6/1/2023	6/1/2030		3.15	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		618,485
June 2023		12,800,000		6/1/2023	6/1/2028		3.46	%		5.30	%	SOFR	TOB Trusts	Barclays Bank PLC		487,877
July 2023		6,240,000		8/1/2023	6/1/2030		3.65	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		240,490
August 2023		11,000,000		8/8/2023	2/1/2025		5.05	%		5.32	%	Compounded SOFR	TOB Trusts	Mizuho Capital Markets		24,256
September 2023		25,000,000		9/19/2023	3/19/2024		5.54	%		5.33	%	CME Term SOFR	TOB Trusts	Raymond James Bank		(12,927	)
		314,785,688													$	14,110,680

(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 September 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 
September 30, 2023

December 2022

102,386,966

December 2022

Sept 2025

9.32

(1)

14.57

(2)

SOFR

Mizuho Capital Markets

223,971

(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 September 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 
September 30, 2023

August 2019

73,853,153

Aug 2024

4.5

SIFMA

M31 TEBS

Barclays Bank PLC

1,041

1,041

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