APARTMENT INVESTMENT & MANAGEMENT CO 10-Q

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK As of March 31, 2021, on a consolidated basis, we had approximately $55.0 million of variable-rate property-level debt. We estimate that a change in 30-day LIBOR of 100 basis points with constant credit risk spreads would reduce or increase interest expense by approximately $0.6 million. In 2020, we paid an upfront premium of $12.1 million for the option to enter into an interest rate swap at a future date. This interest rate option, or swaption, provides partial protection against our refinancing interest rate risk and is intended to mitigate interest rate increases between now and October 2024. We receive a cash settlement in the future if the prevailing interest rate is higher than the 1.68% strike price. The amount of a future cash settlement is capped if the prevailing interest rate exceeds 2.78%. Alternatively, if interest rates were to decrease below the specified strike price, we would not receive a cash settlement nor would we have any liability to make a payment. During the three months ended March 31, 2021, we paid an upfront premium of $5.6 million (including transaction costs) for the option to enter into an interest rate swap at a future date. This interest rate option, or swaption, provides partial protection against our refinancing interest rate risk relative to our notes payable to AIR and is intended to mitigate interest rate increases between now and January 2024. We receive a cash settlement in the future if the prevailing interest rate is higher than the 3% five year swap strike price. Alternatively, if interest rates were to decrease below the specified strike price, we would not receive a cash settlement nor would we have any liability to make a payment. As of March 31, 2021, the estimated fair value of total indebtedness, including our notes payable to AIR, was approximately $985.8 million.