Derivatives

3 Months Ended

Mar. 31, 2024

Derivative [Abstract]

Derivatives

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 6 — Debt. As of March 31, 2024, Rio Grande has the following Swaps outstanding (in thousands):

Initial Notional Amount		Maximum Notional Amount		Maturity (1)	Weighted Average Fixed Interest Rate Paid		Variable Interest Rate Received
$	123,000	$	8,500,000	2048	3.4	%	USD - SOFR

(1) Swaps have an early mandatory termination date in July 2030.

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 $205.0 million as of March 31, 2024, and is classified as Level 2 in the fair value hierarchy.