Note 5 - Derivatives

9 Months Ended

Sep. 30, 2023

Notes to Financial Statements

Derivative Instruments and Hedging Activities Disclosure [Text Block]

Note 5 — Derivatives

In July 2023, Rio Grande entered into interest rate swaps agreements (the “Swaps”) to protect against interest rate volatility by hedging a portion of the floating-rate interest payments associated with the credit facilities described in Note 9 — Debt. As of  September 30, 2023, Rio Grande has the following Swaps outstanding (in thousands):

Initial Notional Amount		Maximum Notional Amount		Maturity		Weighted Average Fixed Interest Rate Paid			Variable Interest Rate Received
$	123,000	$	8,500,000		July 12, 2030		3.4	%		USD - SOFR

The Swaps are not designated as cash flow hedging instruments, and changes in fair value are recorded within our Consolidated Statements of Operations.

The Company values the Swaps using an income-based approach based on observable inputs to the valuation model including interest rate curves, risk adjusted discount rates, credit spreads and other relevant data.  The fair value of the Swaps is approximately $151.7 million as of September 30, 2023, and is classified as Level 2 in the fair value hierarchy.