In January 2023, we entered into a $400.0 million interest rate swap to manage the interest rate risk associated with our floating-rate, SOFR-based borrowings. Under this arrangement, we pay a fixed interest rate of 3.8565% in exchange for SOFR-based variable interest through February 2026. Assets or liabilities related to this interest rate swap contract are included in the fair value of derivative assets and liabilities on the consolidated balance sheets, and the change in fair value of this contract is recorded net as gain or loss on designated cash flow hedges on the consolidated statements of comprehensive income. Monthly, upon settlement, we reclassify the gain or loss associated with the interest rate swap into interest expense from accumulated other comprehensive income (loss). We designated this interest rate swap as a cash flow hedge in accordance with ASC 815. There is no ineffectiveness related to this hedge.

The components of the unrealized gain (loss) on designated cash flow hedge related to changes in the fair value of our interest rate swaps were as follows (in millions):


	Three Months Ended March 31,
	2023		2022
Change in fair value of interest rate swaps	$	(1.6)	$	0.1
Tax benefit	0.4		—
Unrealized gain (loss) on designated cash flow hedge	$	(1.2)	$	0.1


	March 31, 2023		December 31, 2022
Fair value of derivative assets—current	$	3.1	$	—


Fair value of derivative liabilities—long-term	(4.7)		—
Net fair value of interest rate swaps	$	(1.6)	$	—

The interest expense, recognized from accumulated other comprehensive loss from the monthly settlement of our interest rate swaps and amortization of the termination payments, included in our consolidated statements of operations were as follows (in millions):


	Three Months Ended March 31,
	2023		2022
Interest expense (income)	$	(0.5)	$	0.1

The components of gain (loss) on derivative activity in the consolidated statements of operations related to commodity derivatives are as follows (in millions):


	Three Months Ended March 31,
	2023		2022
Change in fair value of derivatives	$	(1.4)	$	(15.1)
Realized gain (loss) on derivatives	13.3		(16.1)
Gain (loss) on derivative activity	$	11.9	$	(31.2)

The fair value of derivative assets and liabilities related to commodity derivatives are as follows (in millions):


	March 31, 2023		December 31, 2022
Fair value of derivative assets—current	$	65.4	$	68.4
Fair value of derivative assets—long-term	13.6		2.9
Fair value of derivative liabilities—current	(41.1)		(42.9)
Fair value of derivative liabilities—long-term	(13.6)		(2.7)
Net fair value of commodity derivatives	$	24.3	$	25.7

Set forth below are the summarized notional volumes and fair values of all instruments related to commodity derivatives that we held for price risk management purposes and the related physical offsets at March 31, 2023 (in millions, except volumes). The remaining term of the contracts extend no later than January 2028.

Commodity

Instruments

Unit

Volume

Net Fair Value

NGL (short contracts)

Swaps

MMgals

(144.3)

9.1

Natural gas (short contracts)

Swaps and futures

Bbtu

(118.6)

37.4

Natural gas (long contracts)

Swaps and futures

Bbtu

89.3

(21.4)

Crude and condensate (short contracts)

Swaps and futures

MMbbls

(8.9)

4.3

Crude and condensate (long contracts)

Swaps and futures

MMbbls

1.2

(5.1)

Total fair value of commodity derivatives

24.3

On all transactions where we are exposed to counterparty risk, we analyze the counterparty’s financial condition prior to entering into an agreement, establish limits, and monitor the appropriateness of these limits on an ongoing basis. We primarily deal with financial institutions when entering into financial derivatives on commodities. We have entered into Master ISDAs that allow for netting of swap contract receivables and payables in the event of default by either party. Additionally, we have entered into FCDTCs that allow for netting of futures contract receivables and payables in the event of default by either party. If our counterparties failed to perform under existing commodity swap and futures contracts, the maximum loss on our gross receivable position of $79.0 million as of March 31, 2023 would be reduced to $27.5 million due to the offsetting of gross fair value payables against gross fair value receivables as allowed by the ISDAs and the FCDTCs.