Quarterly report pursuant to Section 13 or 15(d)

Interest Rate Derivatives

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Interest Rate Derivatives
3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Interest Rate Derivatives Interest Rate Derivatives
 
The following table sets forth the key terms and fair values of our interest rate swap derivatives (dollars in thousands):
          Fair Value at
Notional Amount   Fixed Rate Floating Rate Index Effective Date Expiration Date March 31,
2024
December 31,
2023
$ 10,580  (1) 1.678%
SOFR + 0.10%
8/1/2019 8/1/2026 $ 639  $ 571 
$ 22,400  (2) 0.573%
SOFR + 0.10%
4/1/2020 3/26/2025 963  1,084 
$ 150,000  3.742% One-Month SOFR 2/1/2023 2/2/2026 2,071  681 
$ 50,000  3.747% One-Month SOFR 2/1/2023 2/2/2026 686  222 
            $ 4,359  $ 2,558 
(1)The notional amount of this instrument is scheduled to amortize to $10.0 million.
(2)The notional amount of this instrument is scheduled to amortize to $22.1 million.

Each of these swaps was designated as a cash flow hedge of interest rate risk.

The table below sets forth the fair value of our interest rate derivatives as well as their classification on our consolidated balance sheets (in thousands):
  Fair Value at
Derivatives Balance Sheet Location March 31,
2024
December 31,
2023
Interest rate swaps designated as cash flow hedges Prepaid expenses and other assets, net $ 4,359  $ 2,558 
 
The table below presents the effect of our interest rate derivatives on our consolidated statements of operations and comprehensive income (in thousands):
Amount of Income (Loss)
Recognized in
AOCI on Derivatives
Amount of Income Reclassified from AOCI into Interest Expense on Statement of Operations
Derivatives in Hedging Relationships For the Three Months Ended March 31, For the Three Months Ended March 31,
2024 2023 2024 2023
Interest rate derivatives $ 2,981  $ (215) $ 1,180  $ 591 

Based on the fair value of our derivatives as of March 31, 2024, we estimate that approximately $3.6 million of gains will be reclassified from accumulated other comprehensive income (“ AOCI”) as a decrease to interest expense over the next 12 months.
We have agreements with each of our interest rate derivative counterparties that contain provisions under which, if we default or are capable of being declared in default on defined levels of our indebtedness, we could also be declared in default on our derivative obligations. Failure to comply with the loan covenant provisions could result in our being declared in default on any derivative instrument obligations covered by the agreements. As of March 31, 2024, we were not in default with any of these provisions. As of March 31, 2024, we did not have any derivatives in liability positions.