Derivative Financial Instruments

3 Months Ended

Mar. 31, 2022

Interest Rate Derivatives [Abstract]

Derivative Financial Instruments

17. Derivative Financial Instruments

The Partnership’s derivative financial 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 condensed 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 TOB trust financings (Note 15). See Note 22 for a description of the methodology and significant assumptions for determining the fair value of the derivatives. The derivative financial instruments are presented within “Other assets” in the Partnership's condensed consolidated balance sheets.

Interest Rate Swap Agreements

During the first quarter of 2022, the Partnership entered into two interest rate swap agreements to mitigate interest 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 March 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 of Asset as of March 31, 2022
February 2022		55,990,000	2/9/2022	2/1/2024		1.40	%		0.16	%	SOFR	TOB Trusts	Mizuho Capital Markets	$	911,775
March 2022		47,850,000	3/3/2022	3/1/2027		1.65	%		0.17	%	SOFR	TOB Trusts	Mizuho Capital Markets		1,428,971
														$	2,340,746

(1)See Notes 15 and 22 for additional details.

Total Return Swap Agreements

The following table summarizes the terms of the Partnership’s total return swaps as of March 31, 2022 and December 31, 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 March 31, 2022
September 2020		102,982,129	September 2020	Sept 2025	4.58% (1)	9.83% (2)	3-month LIBOR	Mizuho Capital Markets	$	212,183
									$	212,183

(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 + 9.00%.

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). The notional amount of the total return swaps is $103.0 million. The rate received 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 on the total return swap. Under the total return swap, the Partnership is liable for any decline in the value of the Secured Notes. If the fair value of the underlying Secured Notes is less than the outstanding principal balance, the Partnership is required to post additional cash collateral equal to the amount of the deficit. Such a deficit will also be reflected in the fair value of the total return swaps.

The Partnership was required to initially fund cash collateral with Mizuho for each total return swap. The total return swap with a current notional amount of $103.0 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.

Interest Rate Cap Agreement

The Partnership has entered into an interest rate cap agreement to mitigate our exposure to interest rate fluctuations on variable-rate debt financing facilities. The following tables summarize the Partnership’s interest rate cap agreement as of March 31, 2022 and December 31, 2021:

Purchase Date	Notional Amount		Maturity Date	Effective Capped Rate (1)			Index	Variable Debt Financing Hedged (1)	Counterparty	Fair Value as of March 31, 2022
August 2019		76,184,554	Aug 2024		4.5	%	SIFMA	M31 TEBS	Barclays Bank PLC	$	185,475
										$	185,475

(1)See Notes 15 and 22 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 22 for additional details.