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FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Interest rate swap transactions

As of December 31, 2020 and 2019, we were party to the following interest rate swap transactions involving the payment of fixed rates in exchange for LIBOR as summarized below:

Instrument (in thousands of $)

Year end

Notional value

Maturity dates

Fixed interest rates

Interest rate swaps:

Receiving floating, pay fixed

2020

597,500

2021/2029

1.69% to 2.37%

Receiving floating, pay fixed

2019

737,500

2020/2029

1.68% to 2.37%

Fair value hierarchy of derivative and non-derivative financial instruments

The carrying value and fair value of our financial instruments at December 31, 2020 and 2019 are as follows:

						2020			2020			2019			2019
(in thousands of $)			Fair value hierarchy			Carrying value			Fair value			Carrying value			Fair value
Non-derivatives:
Cash and cash equivalents			Level 1			127,691			127,691			222,123			222,123
Restricted cash and short-term deposits			Level 1			163,181			163,181			188,289			188,289
Current portion of long-term debt and short-term debt (1)			Level 2			(984,510)			(984,510)			(1,244,599)			(1,244,599)
Long-term debt – convertible bonds (2)			Level 2			(383,740)			(366,581)			(368,134)			(355,943)
Long-term debt (1)			Level 2			(1,011,281)			(1,011,281)			(956,018)			(956,018)
Derivatives:
Oil derivative instrument			Level 2			540			540			45,640			45,640
Interest rate swaps asset (2)			Level 2			—			—			84			84
Interest rate swaps liability (2)			Level 2			(44,315)			(44,315)			(5,798)			(5,798)
Foreign exchange swaps asset (2)			Level 2			—			—			1,246			1,246
Foreign exchange swaps liability (2)			Level 2			(1,310)			(1,310)			—			—
Total return equity swap liability (2) (3)			Level 2			—			—			(50,407)			(50,407)

(1) Our debt obligations are recorded at amortized cost in the consolidated balance sheets. The amounts presented in the table, are gross of the deferred charges amounting to $28.7 million and $32.9 million at December 31, 2020 and December 31, 2019, respectively.

(2) The fair value of certain derivative instruments is the estimated amount that we would receive or pay to terminate the agreements at the reporting date, taking into account current interest rates, foreign exchange rates, closing quoted market prices and our creditworthiness and that of our counterparties.

(3) The fair value of our total return equity swap is calculated using the closing prices of the underlying listed shares and units, dividends paid since inception and the interest rate charged by the counterparty.

Fair value of derivative instruments on a gross basis

The following table summarizes the fair value of our derivative instruments on a gross basis (none of which have been designated as hedges) recorded in our consolidated balance sheets as of December 31, 2020 and 2019:

			Balance sheet classification			2020						2019
(in thousands of $)
Asset derivatives
Oil derivative instrument			Other non-current assets			540						45,640
Foreign exchange swaps			Other current and non-current assets			—						1,246
Interest rate swaps			Other current and non-current assets			—						84
Total asset derivatives						540						46,970
Liability derivatives
Total return equity swap			Other current liabilities			—						(50,407)
Interest rate swaps			Other current liabilities			(44,315)						(5,798)
Foreign exchange swaps			Other current liabilities			(1,310)						—
Total liability derivatives						(45,625)						(56,205)

Offsetting assets and liabilities

We have elected not to offset the fair values of derivative assets and liabilities executed with the same counterparty that are generally subject to enforceable master netting arrangements. However, if we were to offset and record the asset and liability balances of derivatives on a net basis, the amounts presented in our consolidated balance sheets as of December 31, 2020 and 2019 would be adjusted as detailed in the following table:

			2020									2019
			Gross amounts presented in the consolidated balance sheet			Gross amounts not offset in the consolidated balance sheet subject to netting agreements			Net amount			Gross amounts presented in the consolidated balance sheet			Gross amounts not offset in the consolidated balance sheet subject to netting agreements			Net amount
(in thousands of $)
Total asset derivatives			—			—			—			84			(52)			32
Total liability derivatives			44,315			—			44,315			5,798			(52)			5,746

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