In September 2020, the Partnership entered into two total return swap transactions. The following table summarizes the terms of the Partnership’s total return swaps as of December 31, 2020:

Purchase 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, 2020

Sept 2020

39,970,485

Sept 2020

Sept 2025

4.25% ⁽¹⁾

9.22%⁽³⁾

3-month LIBOR

Mizuho Capital Markets

77,995

Sept 2020

63,500,000

Sept 2020

Mar 2022

1.00% ⁽²⁾

9.22%⁽³⁾

3-month LIBOR

Mizuho Capital Markets

215,631

293,626

Each of the total return swaps have the Partnership’s Secured Notes with Mizuho as the specified reference security (see Note 16). The combined notional amount of the total return swaps is $103.5 million, which is the same as the principal balance of the Secured Notes. The rate received on each 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 each total return swap. Under the total return swaps, 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 notional amount of $40.0 million, requires the Partnership to maintain cash collateral equal to 35% of the notional amount, which was approximately $14.0 million as of December 31, 2020. The second total return swap with a notional amount of $63.5 million, requires the Partnership to maintain cash collateral equal to 100% of the notional amount, which was approximately $63.5 million as of December 31, 2020. Through March 2022, the Partnership has the option to allocate notional amounts from the second total return swap to the first total return swap, in minimum increments of $10.0 million, and receive net cash proceeds of approximately 65% of the reallocated notional amount. The second total return swap terminates in March 2022 and any remaining cash collateral will be used to pay down the principal balance of the Secured Notes.

The following tables summarize the Partnership’s interest rate cap agreements as of December 31, 2020 and 2019:

Purchase

Date

Notional Amount

Maturity

Date

Effective

Capped

Rate ⁽¹⁾

Index

Variable Debt

Financing Facility

Hedged ⁽¹⁾

Counterparty

Fair Value as of

December 31, 2020

Aug 2019

77,979,924

Aug 2024

4.5

SIFMA

M31 TEBS

Barclays Bank PLC

27,877

Purchase Date	Notional Amount		Maturity Date	Effective Capped Rate ⁽¹⁾			Index	Variable Debt Financing Facility Hedged ⁽¹⁾	Counterparty	Fair Value as of December 31, 2019
July 2015		27,033,788	Aug 2020		3.0	%	SIFMA	TOB Trusts	Wells Fargo Bank	$	-
July 2015		27,033,788	Aug 2020		3.0	%	SIFMA	TOB Trusts	Royal Bank of Canada		-
July 2015		27,033,788	Aug 2020		3.0	%	SIFMA	TOB Trusts	SMBC Capital Markets, Inc		-
June 2017		81,101,364	Aug 2020		1.5	%	SIFMA	TOB Trusts	Barclays Bank PLC		4,090
Sept 2017		58,090,000	Sept 2020		4.0	%	SIFMA	TOB Trusts	Barclays Bank PLC		-
Aug 2019		79,333,280	Aug 2024		4.5	%	SIFMA	M31 TEBS	Barclays Bank PLC		6,821
										$	10,911

In August 2019, the Partnership purchased an interest rate derivative intended to cap the variable interest rate component of the M31 TEBS Financing at 4.5%. The Partnership paid approximately $30,000 for the interest rate derivative.

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” on the Partnership’s consolidated statements of operations. See Note 24 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” on the Partnership’s consolidated balance sheets.