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Derivative Instruments
 9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives Instruments Derivative Instruments
Interest rate swaps
During 2020, the Company entered into a series of interest rate swap agreements ("IRS") to effectively convert a portion of its debt under the New Ultraco Debt Facility excluding any amounts outstanding under the revolving credit facility as well as any new term loan borrowings from a floating to a fixed-rate basis. The IRS was designated and qualified as a cash flow hedge. The Company uses the IRS for the management of interest rate risk exposure, as the IRS effectively converts a portion of the Company’s debt from a floating to a fixed rate. The IRS is an agreement between the Company and counterparties to pay, in the future, a fixed-rate payment in exchange for the counterparties paying the Company a variable payment. The amount of the net payment obligation is based on the notional amount of the IRS and the prevailing market interest rates. The Company may terminate the IRS prior to their expiration dates, at which point a realized gain or loss may be recognized, or may be amortized over the original life of the IRS if the hedged debt remains outstanding. The value of the Company’s commitment would increase or decrease based primarily on the extent to which interest rates move away from the rate fixed for each swap.

Tabular disclosure of derivatives location
The following table summarizes the interest rate swaps in place as of September 30, 2021 and December 31, 2020.
Interest Rate Swap detailNotional Amount outstanding
Trade dateFixed rateStart dateEnd date
September 30, 2021 (1)
December 31, 2020
March 31, 20200.64 %July 27, 2020January 26, 2024$— $72,452,297 
April 15, 20200.58 %July 27, 2020January 26, 2024— 36,226,149 
June 25, 20200.50 %July 27, 2020January 26, 2024— 57,751,148 
$— $166,429,594 
(1) In August 2021, the Company cancelled the interest rate swaps with a notional amount of $150.8 million and incurred $0.2 million loss which will be amortized as interest expense over the original life of the cancelled swaps. Concurrent with the cancellation, the Company entered into an interest rate swap with a notional amount of $143.0 million which was subsequently cancelled on September 30, 2021. The Company incurred an additional $0.2 million loss which will be amortized as interest expense over the original life of the cancelled swaps.

The Company records the fair value of the interest rate swap as an asset or liability on its balance sheet. The effective portion of the swap is recorded in Accumulated other comprehensive loss. The estimated loss that is currently recorded in Accumulated other comprehensive loss as of September 30, 2021 that is expected to be reclassified into the earnings within the next twelve months is $0.2 million. No portion of the cash flow hedges was ineffective during the three and nine months ended September 30, 2021.
The effect of derivative instruments on the Statement of Operations for the three and nine months ended September 30, 2021 and 2020 is below:
Derivatives designated as hedging instrumentsLocation of loss in Statements of OperationsEffective portion of loss reclassified from Accumulated other comprehensive income/(loss)
Three Months EndedNine Months Ended
September 30, 2021September 30, 2020September 30, 2021September 30, 2020
Interest rate swapsInterest expense$(150,585)$105,114 $(446,549)$105,114 
The following table shows the interest rate swap asset and liabilities as of September 30, 2021 and December 31, 2020:
Derivatives designated as hedging instrumentsBalance Sheet locationSeptember 30, 2021December 31, 2020
Interest rate swap Fair value of derivatives - current/Current liabilities$— $481,791 
Interest rate swap Fair value of derivatives - noncurrent/Noncurrent liabilities$— $650,607 
Forward freight agreements and bunker swaps
The Company trades in forward freight agreements (“FFAs”) and bunker swaps, with the objective of utilizing this market as economic hedging instruments that reduce the risk of specific vessels to changes in the freight market. The Company’s FFAs and bunker swaps have not qualified for hedge accounting treatment. As such, unrealized and realized gains are recognized as a component of Other expense, net in the condensed consolidated statement of operations and Other current assets and Fair value of derivatives in the Condensed Consolidated Balance Sheets. Derivatives are considered to be Level 2 instruments in the fair value hierarchy. For our bunker swaps, the Company may enter into master netting, collateral and offset agreements with counterparties.

As of September 30, 2021, the Company has International Swaps and Derivatives Association ("ISDA") agreements with two applicable banks and financial institutions, which contain netting provisions. In addition to a master agreement with the Company supported by a primary parent guarantee on either side, the Company also has associated credit support agreements in place with the two counterparties which, among other things, provide the circumstances under which either party is required to post eligible collateral, when the market value of transactions covered by these agreements exceeds specified thresholds. The Company does not anticipate non-performance by any of the counterparties.

As of September 30, 2021, the Company had outstanding bunker swap agreements to purchase 10,750 metric tons of high and low sulfur fuel oil with prices ranging between $272 and $453 that are expiring at December 31, 2021. The volume represents less than 10% of our estimated consumption on our fleet for the year.

The following table shows our open positions on FFAs as of September 30, 2021:

FFA PeriodAverage FFA Contract PriceNumber of Days Hedged
Quarter ending December 31, 2021$18,689 1260
Quarter ending March 31, 202222,407 315
Quarter ending June 30, 202222,086 315
Quarter ending September 30, 202221,735 315
Quarter ending December 31, 202221,486 315

The Company will realize a gain or loss on these FFAs based on the price differential between the average daily BSI rate and the FFA contract price. The gains or losses are recorded in Other expense, net in the condensed consolidated statements of operations.

The effect of non-designated derivative instruments on the Condensed Consolidated Statements of Operations and Balance Sheets is as follows:
For the Three Months EndedFor the Nine Months Ended
Derivatives not designated as hedging instrumentsLocation of loss/(gain) in Statements of OperationsSeptember 30, 2021September 30, 2020September 30, 2021September 30, 2020
FFAs - realized lossRealized and unrealized loss/(gain) on derivative instruments, net$16,138,822 $2,088,537 $23,493,503 $1,404,060 
FFAs - unrealized (gain)/lossRealized and unrealized loss/(gain) on derivative instruments, net(6,787,069)1,230,727 24,381,810 3,327,509 
Bunker swaps - realized gainRealized and unrealized loss/(gain) on derivative instruments, net(800,807)(1,059,570)(2,099,177)(8,295,136)
Bunker swaps - unrealized loss/(gain)Realized and unrealized loss/(gain) on derivative instruments, net439,622 711,659 (188,337)(467,107)
Total$8,990,568 $2,971,353 $45,587,799 $(4,030,674)


Derivatives not designated as hedging instrumentsBalance Sheet locationSeptember 30, 2021December 31, 2020
FFAs - Unrealized lossFair value of derivatives - current/Current liabilities24,381,091 — 
Bunker swaps - Unrealized gainOther current assets1,097,484 352,399 
Cash Collateral Disclosures
The Company does not offset fair value amounts recognized for derivatives by the right to reclaim cash collateral or the obligation to return cash collateral. The amount of collateral to be posted is defined in the terms of respective master agreements executed with counterparties or exchanges and is required when agreed upon threshold limits are exceeded. As of September 30, 2021 and December 31, 2020, the Company posted cash collateral related to derivative instruments under its collateral security arrangements of $31.4 million and $0.1 million, respectively, which is recorded as a Current asset in the Condensed Consolidated Balance Sheets.