Derivatives

12 Months Ended

Dec. 31, 2023

Derivative [Abstract]

Derivatives

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 December 31, 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 $48.9 million as of December 31, 2023, and is classified as Level 2 in the fair value hierarchy.