XML 38 R25.htm IDEA: XBRL DOCUMENT

Fair Value Measurements and Hedging

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements and Hedging

17. Fair Value Measurements and Hedging:

The guidance for fair value measurements applies to all assets and liabilities that are being measured and reported on a fair value basis. This guidance enables the reader of the financial statements to assess the inputs used to develop those measurements by establishing a hierarchy for ranking the quality and reliability of the information used to determine fair values. The same guidance requires that assets and liabilities carried at fair value should be classified and disclosed in one of the following three categories based on the inputs used to determine its fair value:

Level 1: Quoted market prices in active markets for identical assets or liabilities;

Level 2: Observable market based inputs or unobservable inputs that are corroborated by market data;

Level 3: Unobservable inputs that are not corroborated by market data.

In addition, ASC 815, “Derivatives and Hedging” requires companies to recognize all derivative instruments as either assets or liabilities at fair value in the balance sheet.

Fair value on a recurring basis:

Interest rate swaps:

The Company from time to time enters into interest rate derivative contracts to manage interest costs and risk associated with changing interest rates with respect to its variable interest loans and credit facilities.

As of December 2019, the Company had no interest rate swaps open positions.

During the year ended December 31, 2020, the Company entered into various interest rate swaps with ING, DNB Bank ASA (“DNB”), SEB, Citibank Europe PLC (“Citi”), Piraeus Bank and Alpha Bank to convert a portion of its debt from floating to fixed rate. In addition, during the year ended December 31, 2021, the Company early terminated certain of those interest rate swaps that were in effect as of December 31, 2020 and entered into a new interest rate swap agreement with the National Bank of Greece (“NBG”), SEB and ABN AMRO Bank. The following table summarizes the interest rate swaps in place as of December 31, 2021.

Counterparty Trading Date Inception Expiry Fixed Rate Initial Notional Current Notional

ING March 10, 2020 March 29, 2020 March 29, 2026 0.7000% $   29,960 $ 26,215

ING March 10, 2020 April 2, 2020 October 2, 2025 0.7000% $   39,375 $   33,750

ING March 18, 2020 April 3, 2020 April 3, 2023 0.6750% $   16,157 $   14,293

SEB March 6, 2020 April 30, 2020 January 30, 2025 0.7270% $   58,885 $   51,072

Citi June 11, 2020 July 30, 2020 October 18, 2023 0.3300% $ 104,450 $   86,200

Citi June 11, 2020 August 10, 2020 May 10, 2024 0.3510% $   56,075 $   49,587

Citi June 11, 2020 June 22, 2020 December 20, 2023 0.3380% $   94,538 $   74,557

Citi June 11, 2020 June 29, 2020 August 28, 2023 0.3280% $   56,915 $   44,075

Citi June 11, 2020 July 21, 2020 July 21, 2023 0.3250% $   99,816 $   88,725

Citi June 11, 2020 August 28, 2020 May 28, 2024 0.3520% $   31,350 $   27,700

Citi June 11, 2020 September 1, 2020 March 1, 2024 0.3430% $   33,390 $   30,298

ING July 20 July 8, 2020 July 6, 2020 July 6, 2026 0.3700% $   70,000 $   55,417

SEB February 12, 2021 April 26, 2021 January 26, 2026 0.4525% $   37,050 $   33,150

ABN February 24, 2021 March 20, 2021 December 20, 2023 0.3120% $   84,548 $   74,557

NBG June 29, 2021 June 28, 2021 June 28, 2023 0.6500% $ 125,000 $ 117,500

17. Fair Value Measurements and Hedging - (continued):

The above interest rate swaps were designated and qualified as cash flow hedges. The effective portion of the unrealized gains/losses from those swaps is recorded in Other Comprehensive Income / (Loss). No portion of the cash flow hedges was ineffective during the years ended December 31, 2020 and 2021.

A loss of approximately $654 in connection with the interest rate swaps is expected to be reclassified into earnings during the following 12-month period when realized.

Forward Freight Agreements (“FFAs”) and Bunker Swaps:

During the years ended December 31, 2019, 2020 and 2021, the Company entered into a certain number of FFAs and options for FFAs on the Capesize, Panamax and Supramax indices. The results of the Company’s FFAs during the years ended December 31, 2019, 2020 and 2021 and the valuation of the Company’s open position as at December 31, 2020 and 2021 are presented in the tables below.

During the years ended December 31, 2019, 2020 and 2021, the Company entered into a certain number of bunker swaps. The results of the Company’s bunker swaps during the years ended December 31, 2019, 2020 and 2021 and the valuation of the Company’s open position as at December 31, 2020 and 2021 are presented in the tables below.

The amount of Gain/(loss) on forward freight agreements and bunker swaps, net and on interest rate swaps recognized in the consolidated statements of operations are analyzed as follows:

Years ended December 31,

2019 2020 2021

Consolidated Statement of Operations

Interest and finance costs

Reclassification adjustments of interest rate swap loss/(gain) transferred to Interest and finance costs from Other comprehensive income/(loss) (Note 7) – (848)                 (2,351)

Total Gain/(loss) recognized $ – $               (848) $                 (2,351)

Gain/(loss) on forward freight agreements and bunker swaps, net

Realized gain/(loss) on forward freight agreements and freight options 6,043             (5,995)                   1,308

Realized gain/(loss) on bunker swaps             (1,386)             20,856                      748

Unrealized gain/(loss) on forward freight agreements and freight options                (321)                (430)                   1,802

Unrealized gain/(loss) on bunker swaps                    75               1,725                    (294)

Total Gain/(loss) recognized $ 4,411 $             16,156 $                   3,564

17. Fair Value Measurements and Hedging - (continued):

The following table summarizes the valuation of the Company’s derivative financial instruments as of December 31, 2020 and 2021, based on Level 1 quoted market prices in active markets.


		Quoted Prices in Active Markets for Identical Assets (Level 1)
		December 31, 2020			December 31, 2021
	Balance Sheet Location	(not designated as cash flow hedges)		(designated as cash flow hedges)	(not designated as cash flow hedges)		(designated as cash flow hedges)
ASSETS
Bunker swaps - current	Derivatives, current asset portion	$	-	-	$	7	-
Freight derivatives - current	Derivatives, current asset portion	$	-	-	$	1,440	-
Freight derivatives - non-current	Derivatives, non-current asset portion	$	-	-	$	150	-
Total		$	-	-	$	1,597	-
LIABILITIES
Bunker swaps - current	Derivatives, current liability portion	$	-	-	$	300	-
Freight derivatives - current	Derivatives, current liability portion	$	212	-	$	-	-
Total		$	212	-	$	300	-

Certain of the Company’s derivative financial instruments discussed above require the Company to periodically post additional collateral depending on the level of any open position under such financial instruments, which as of December 31, 2020 and 2021 amounted to $895 and $10,128, respectively, and are included within “Restricted cash, current” in the consolidated balance sheets.

The carrying values of temporary cash investments, restricted cash, accounts receivable and accounts payable approximate their fair value due to the short-term nature of these financial instruments. The fair value of long-term bank loans and bareboat leases (Level 2), bearing interest at variable interest rates, approximates their recorded values as of December 31, 2021, due to the variable interest rate nature thereof. The fair value of the DSF $55,000 Facility, measured through level 2 inputs (such as interest rate curves) is $49,008, which is $354 higher than the loan’s book value of $48,654.

The following table summarizes the valuation of the Company’s financial instruments as of December 31, 2020 and 2021, based on Level 2 observable market based inputs or unobservable inputs that are corroborated by market data.


		Significant Other Observable Inputs (Level 2)
		December 31, 2020		December 31, 2021
	Balance Sheet Location	(not designated as cash flow hedges)	(designated as cash flow hedges)	(not designated as cash flow hedges)	(designated as cash flow hedges)
ASSETS
Interest rate swaps - current	Derivatives, current asset portion	$ -	–	$ -	549
Interest rate swaps - non-current	Derivatives, non-current asset portion	$ -	–	$ -	6,763
Total		$ -	–	$ -	7,312
LIABILITIES
Interest rate swaps - current	Derivatives, current liability portion	$ -	1,727	$ -	443
Interest rate swaps - non-current	Derivatives, non-current liability portion	$ -	2,265	$ -	–
Total		$ -	3,992	$ -	443

17. Fair Value Measurements and Hedging - (continued):

Fair value on a nonrecurring basis

The Company reviewed, in 2019, 2020 and 2021 the recoverability of the carrying amount of its vessels.

During 2019, the Company recognized impairment loss of $3,411 related to the agreed and intended sale of two vessels (Note 5). The carrying value of the respective vessels was written down to the fair value as determined by reference to their agreed or negotiated sale prices (Level 2).

The table following table summarizes the valuation of these assets measured at fair value on a non-recurring basis as of December 31, 2019:

Long-lived assets held and used	Quoted Prices in Active Markets for Identical Assets	Significant Other Observable Inputs		Significant Unobservable Inputs	Impairment loss
Long-lived assets held and used	(Level 1)	(Level 2)		(Level 3)	Impairment loss
Vessels, net	$ -	$	24,475	$ -	$	3,411
TOTAL	$ -	$	24,475	$ -	$	3,411

The Company’s impairment analysis as of December 31, 2020 and 2021, indicated that the carrying amount of the Company’s vessels, was recoverable, and therefore, the Company concluded that no impairment charge was necessary.

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details