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Derivative Instruments
 6 Months Ended
Jun. 30, 2024
Interest Rate Derivatives [Abstract]  
Derivative Instruments

15. 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 “Net result from derivative transactions” in the Partnership's condensed consolidated

statements of operations, with gains reported as a reduction to expenses. The following tables are a summary of the unrealized and realized gains and losses of the Partnership's derivative instruments for the three and six months ended June 30, 2024 and 2023:

 

 

For the Three Months ended June 30, 2024

 

 

For the Six Months ended June 30, 2024

 

 

 

Realized (gains) losses on derivatives, net

 

 

Unrealized (gains) losses on derivatives, net

 

 

Net result from derivative transactions

 

 

Realized (gains) losses on derivatives, net

 

 

Unrealized (gains) losses on derivatives, net

 

 

Net result from derivative transactions

 

Interest rate swaps

 

$

(1,674,351

)

 

$

(210,618

)

 

$

(1,884,969

)

 

$

(3,337,800

)

 

$

(4,815,063

)

 

$

(8,152,863

)

Interest rate cap

 

 

-

 

 

 

35

 

 

 

35

 

 

 

-

 

 

 

265

 

 

 

265

 

Total

 

$

(1,674,351

)

 

$

(210,583

)

 

$

(1,884,934

)

 

$

(3,337,800

)

 

$

(4,814,798

)

 

$

(8,152,598

)

 

 

 

For the Three Months ended June 30, 2023

 

 

For the Six Months ended June 30, 2023

 

 

 

Realized (gains) losses on derivatives, net

 

 

Unrealized (gains) losses on derivatives, net

 

 

Net result from derivative transactions

 

 

Realized (gains) losses on derivatives, net

 

 

Unrealized (gains) losses on derivatives, net

 

 

Net result from derivative transactions

 

Interest rate swaps

 

$

(1,273,493

)

 

$

(6,028,500

)

 

$

(7,301,993

)

 

$

(2,102,973

)

 

$

(2,598,498

)

 

$

(4,701,471

)

Interest rate cap

 

 

-

 

 

 

8,235

 

 

 

8,235

 

 

 

-

 

 

 

14,200

 

 

 

14,200

 

Total return swaps

 

 

(1,319,989

)

 

 

-

 

 

 

(1,319,989

)

 

 

(2,643,340

)

 

 

-

 

 

 

(2,643,340

)

Total

 

$

(2,593,482

)

 

$

(6,020,265

)

 

$

(8,613,747

)

 

$

(4,746,313

)

 

$

(2,584,298

)

 

$

(7,330,611

)

The value of the Partnership’ interest rate swaps are subject to mark-to-market collateral posting provisions in conjunction with the Partnership’s respective ISDA master agreements (Note 13). See Note 20 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” and “Accounts payable, accrued expenses and other liabilities” in the Partnership's condensed consolidated balance sheets.

The Partnership has entered into multiple interest rate swap agreements with large financial institutions to mitigate interest rate risk associated with variable rate TOB trust financings (Note 13). No fees were paid to the counterparties upon closing of the interest rate swaps. 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 derivative instruments as of June 30, 2024 and December 31, 2023:

 

 

 

 

 

Fair Value as of
June 30, 2024

 

 

 

 

Contract Type

 

Notional Amount

 

 

Asset

 

 

Liability

 

 

Weighted Average
Remaining Maturity (Years)

 

Swaps

 

 

 

 

 

 

 

 

 

 

 

 

SOFR

 

 

365,678,394

 

 

$

9,679,247

 

 

$

(418,075

)

 

 

3.11

 

Cap

 

 

 

 

 

 

 

 

 

 

 

 

4.5% SIFMA Rate Cap

 

 

72,578,127

 

 

 

-

 

 

 

-

 

 

 

0.17

 

 

 

 

438,256,521

 

 

$

9,679,247

 

 

$

(418,075

)

 

 

 

 

 

 

 

 

 

Fair Value as of
December 31, 2023

 

 

 

 

Contract Type

 

Notional Amount

 

 

Asset

 

 

Liability

 

 

Weighted Average
Remaining Maturity (Years)

 

Swaps

 

 

 

 

 

 

 

 

 

 

 

 

SOFR

 

 

333,250,226

 

 

$

5,254,398

 

 

$

(705,694

)

 

 

3.48

 

Cap

 

 

 

 

 

 

 

 

 

 

 

 

4.5% SIFMA Rate Cap

 

 

73,393,729

 

 

 

265

 

 

 

-

 

 

 

0.67

 

 

 

 

406,643,955

 

 

$

5,254,663

 

 

$

(705,694

)

 

 

 

 

The following table summarizes the average notional amount and weighted average fixed rate by year for our interest rate swaps as of June 30, 2024:

Year

 

Average Notional

 

 

Weighted Average
Fixed Rate Paid

 

Remainder of 2024

 

$

391,117,465

 

 

 

3.52

%

2025

 

 

322,456,631

 

 

 

3.39

%

2026

 

 

272,318,799

 

 

 

3.36

%

2027

 

 

186,920,466

 

 

 

3.44

%

2028

 

 

150,622,132

 

 

 

3.54

%

2029

 

 

114,067,299

 

 

 

3.45

%

2030

 

 

14,317,800

 

 

 

3.74

%