We record all derivatives on our consolidated balance sheets at fair value in accordance with Accounting Standards Codification (“ASC”) Topic 815, Derivatives and Hedging. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative and whether we have designated a derivative as a hedge and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. We use derivative financial instruments in the normal course of business to selectively manage or hedge a portion of the risk associated with our indebtedness and interest payments. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposure to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps and interest rate caps. Interest rate swaps and interest rate caps that are designated as hedges are so designated at the inception of the contract. We require that hedging derivative instruments be highly effective in reducing the risk exposure that they are designated to hedge. The changes in the fair value of interest rate swaps and interest rate caps that are designated as hedges are recognized in “other comprehensive loss” (outside of earnings) and subsequently reclassified to earnings over the term that the hedged transaction affects earnings.

On July 29, 2021, we completed an $860,000,000 refinancing of 1301 Avenue of the Americas. In connection with the refinancing, we entered into interest rate swap agreements on the loan with an aggregate notional amount of $500,000,000 to fix LIBOR at 0.46% through August 2024. We also entered into interest rate cap agreements with an aggregate notional amount of $360,000,000 to cap LIBOR at 2.00% through August 2023. These interest rate swaps and interest rate caps are designated as cash flow hedges and therefore changes in their fair values are recognized in other comprehensive income or loss (outside of earnings). We recognized other comprehensive income of $995,000 for the three and nine months ended September 30, 2021, from the changes in fair value of these derivative financial instruments. See Note 10, Accumulated Other Comprehensive Loss. During the next twelve months, we estimate that $1,687,000 of the amounts to be recognized in accumulated other comprehensive loss will be reclassified as an increase to interest expense.

The table below provide additional details on our interest rate swaps that are designated as cash flow hedges.

Notional

Strike

Fair Value as of

Property

Amount

Effective Date

Maturity Date

Rate

September 30, 2021

(Amounts in thousands)

1301 Avenue of the Americas

500,000

Jul-2021

Aug-2024

0.46

1,053

Total interest rate swap assets designated as cash flow hedges (included in "other assets")

1,053

We have agreements with various derivative counterparties that contain provisions wherein a default on our indebtedness could be deemed a default on our derivative obligations, which would require us to settle our derivative obligations for cash. As of September 30, 2021, we did not have any obligations relating to our interest rate swaps or interest rate caps that contained such provisions.