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Fair value measurements and Hedging

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Fair value measurements and Hedging

12. Fair value measurements and Hedging:

Interest rate swaps

The Company from time to time enters into interest rate derivative contracts to manage interest costs and risks associated with changing interest rates with respect to certain of its credit facilities. Details of the Company’s interest rate swaps are discussed in Note 17 of the Company’s consolidated financial statements for the year ended December 31, 2021, included in the 2021 Annual Report.

The Company’s 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 six-month periods ended June 30, 2021 and 2022.

A gain of approximately $16,150 in connection with the interest rate swaps is expected to be reclassified into earnings during the following 12-month period when realized.

Freight Derivatives and Bunker Swaps

During the year ended December 31, 2021 and the six-month period ended June 30, 2022, the Company entered into a number of freight derivatives, including freight forward agreements (“FFAs”), freight options and bunker swaps, the results of which for the six-month periods ended June 30, 2021 and 2022 and the valuation of their open positions as at December 31, 2021 and June 30, 2022 are presented in the tables below.

The amounts of Gain / (Loss) on interest rate swaps, freight derivatives and bunker swaps recognized in the unaudited interim condensed consolidated income statements, are analyzed as follows:

Six months ended June 30,

2021 2022

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) (998)                 633

Total Gain/(loss) recognized $               (998) $                 633

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

Realized gain/(loss) on forward freight agreements and freight options             (39)                   1,023

Realized gain/(loss) on bunker swaps             58                      (4,085)

Unrealized gain/(loss) on forward freight agreements and freight options                (1,560)                   (1,169)

Unrealized gain/(loss) on bunker swaps               4                    292

Total Gain/(loss) recognized $             (1,537) $                   (3,939)

12. Fair value measurements and Hedging - continued:

The following table summarizes the valuation of the Company’s financial instruments as of December 31, 2021 and June 30, 2022. The fair value of freight derivatives and bunker swaps was determined through Level 1 inputs of the fair value hierarchy (quoted prices from the applicable exchanges such as London Clearing House (LCH) or Singapore Exchange (SGX)), while the fair value of the interest rate swaps was determined through Level 2 inputs of the fair value hierarchy (such as interest rate curves).


		Significant Other Observable Inputs (Level 2)
		December 31, 2021				June 30, 2022
	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
Forward freight agreements - current	Derivatives, current asset portion	$	1,440	$	-	$	-	$	-
Bunker swaps - current	Derivatives, current asset portion		7		-		419		-
Forward freight agreements - non-current	Derivatives, non-current asset portion		150		-		-		-
Total		$	1,597	$	-	$	419	$	-
LIABILITIES
Bunker swaps - current	Derivatives, current asset portion	$	300	$	-	$	-	$	-
Total		$	300	$	-	$	-	$	-


			Significant Other Observable Inputs (Level 2)
			December 31, 2021				June 30, 2022
	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	$	-	$	17,450
Interest rate swaps - non-current	Derivatives, non-current asset portion		-		6,763		-		12,383
Total		$	-	$	7,312	$	-	$	29,833
LIABILITIES
Interest rate swaps - current	Derivatives, current liability portion	$	-	$	443	$	-	$	-
Total		$	-	$	443	$	-	$	-

Certain of the Company’s 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, 2021 and June 30, 2022 amounted to $10,128 and $990, respectively, and are included within “Restricted cash, current” in the consolidated balance sheets (Note 7).

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 financing under bareboat leases (Level 2), bearing interest at variable interest rates, approximates their recorded values as of June 30, 2022, due to the variable interest rate nature thereof. The fair value of the DSF $55,000 Facility (Note 7) as of June 30, 2022, measured through level 2 inputs (such as interest rate curves) is $46,324, which is $214 lower than the loan’s book value of $46,538.

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.

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