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We will not hold or issue these derivative contracts for trading or speculative purposes.
−Removed: As of December 31, 2021, we had entered into nine non-designated interest rate caps with a notional amount of approximately $355.2 million and nine designated interest rate swaps with a notional amount of $578.5 million.
+Added: As of December 31, 2022, we had entered into seven non-designated interest rate caps with a current notional amount of approximately $354.6 million (of which six caps were active as of December 31, 2022 and one has a forward start date as of April 2023), two LIBOR-based designated interest rate swaps with a notional amount of $50.0 million and seven SOFR-based designated interest rate swaps with a notional amount of $528.5 million.
+Added: Subsequent to December 31, 2022, we terminated our two LIBOR-based designated interest rate swaps with a notional amount of $50.0 million (see Note 17 — Subsequent Events to our consolidated financial statements).
We do not have any foreign operations and thus we are generally not directly exposed to foreign currency fluctuations.
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Sensitivity Analysis - Interest Expense
−Removed: Interest rate volatility associated with all of our variable-rate borrowings, which totaled $0.9 billion as of December 31, 2021, affects interest expense incurred and cash flow to the extent they are not fixed via interest rate swap.
−Removed: As noted above, we have nine designated interest rate swaps with a notional amount of $578.5 million, which effectively creates a fixed interest rate for a portion of our variable-rate debt.
−Removed: We also have six non-designated interest rate cap contracts, which are substantially out of the money and, therefore do not currently affect our near-term interest rate sensitivity.
−Removed: The sensitivity analysis related to the portion of our variable-rate debt that is not fixed via designated interest rate swaps assumes an immediate 100 basis point move in interest rates from their December 31, 2021 levels, with all other variables held constant.
−Removed: A 100 basis point increase and decrease in variable interest rates on the portion of our variable-rate debt that is not fixed via designated interest rate swaps would increase and decrease our interest expense by $3.1 million.
+Added: Interest rate volatility associated with all of our variable-rate borrowings affects interest expense incurred and cash flow to the extent they are not fixed via interest rate swap or capped via interest rate cap contracts.
+Added: Interest Rate Swaps
+Added: As noted above, we have two LIBOR-based designated interest rate swaps with a notional amount of $50.0 million and seven SOFR-based designated interest rate swaps with a notional amount of $528.5 million, which effectively create a fixed interest rate for a portion of our variable-rate debt.
+Added: These interest rate swaps effectively hedge all of our variable rate debt with the exception of our Fannie Mae Master Credit Facilities discussed below.
+Added: Interest Rate Caps
+Added: We also have entered into seven non-designated interest rate cap contracts with a current notional amount of $354.6 million as of December 31, 2022 (of which six caps were active as of December 31, 2022 and one has a forward start date as of April 2023), which limits 30-day LIBOR exposure on our Fannie Mae Master Credit Facilities to 3.50%.
+Added: The active caps began limiting 30-day LIBOR during the fourth quarter of 2022 as 30-day LIBOR rates exceeded the strike price of 3.50% and we are receiving monthly cash payments on these contracts.
+Added: Because these are non-designated derivatives, the amounts received are included in gain on non-designated derivatives in our statement of operations and comprehensive loss.
+Added: As of December 31, 2022, we are not currently negatively exposed to rising interest rates.
+Added: Assuming all other variables besides interest rates remain constant, a 100 basis point increase in variable interest rates would not impact our interest expense due to our interest rate swaps and effective interest rate caps as of December 31, 2022.
+Added: Assuming all other variables besides interest rates remain constant, a 100 basis point decrease in variable interest rates would also not impact our swapped debt, and based on the SOFR/LIBOR rate as of December 31, 2022, a 100 basis point decrease would not have a material impact on our net interest payments (inclusive of cash received from our non-designated derivatives included in gain on non-designated derivatives).
Sensitivity Analysis - Fair Value of Debt
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Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.