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FINANCIAL INSTRUMENTS | 6 Months Ended
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Jun. 30, 2021
Fair Value Disclosures [Abstract] |
FINANCIAL INSTRUMENTS | FINANCIAL INSTRUMENTS Interest rate swap agreements In February 2013, the Company entered into six interest rate swaps with Nordea Bank, of which one remained outstanding as of June 30, 2021, whereby the floating interest rate on an original principal amount of $260.0 million was switched to fixed rate. In February 2016, the Company entered into an interest rate swap with DNB whereby the floating interest on notional debt of $150.0 million was switched to a fixed rate. The contract had a forward start date of February 2019. In March 2020, the Company entered into three interest rate swaps with DNB whereby the floating interest rate on notional debt totaling $250.0 million was switched to a fixed rate. In April 2020, the Company entered into two interest rate swaps with Nordea Bank whereby the floating interest rate on notional debt totaling $150.0 million was switched to a fixed rate. The reference rate for our interest rate swaps is LIBOR. As of June 30, 2021, the Company recorded a derivative instruments receivable of $4.6 million (December 31, 2020: nil ) and a derivative instruments liability of $10.0 million (December 31, 2020: $19.3 million) in relation to these agreements. The Company recorded a gain on derivatives of $11.0 million in the six months ended June 30, 2021 (six months ended June 30, 2020: loss of $21.7 million) in relation to these agreements. The interest rate swaps are not designated as hedges and are summarized as of June 30, 2021 as follows:
Notional Amount | Inception Date | Maturity Date | Fixed Interest Rate
($000s) |  |  |
11,318 | September 2014 | September 2021 | 1.9070 | %
150,000 | February 2016 | February 2026 | 2.1970 | %
100,000 | March 2020 | March 2027 | 0.9750 | %
50,000 | March 2020 | March 2027 | 0.6000 | %
100,000 | March 2020 | March 2025 | 0.9000 | %
100,000 | April 2020 | April 2027 | 0.5970 | %
50,000 | April 2020 | April 2025 | 0.5000 | %
561,318 |  |  |
Fair Values The carrying value and estimated fair value of the Company's financial assets and liabilities as of June 30, 2021 and December 31, 2020 are as follows:
|  | 2021 | 2020
(in thousands of $) | Carrying Value | Fair Value | Carrying Value | Fair Value
Assets: |  |  |  |
Cash and cash equivalents | 140,361 |  | 140,361 |  | 174,721 |  | 174,721 |
Restricted cash | 1,140 |  | 1,140 |  | 14,928 |  | 14,928 |
Marketable securities | 2,673 |  | 2,673 |  | 2,639 |  | 2,639 |
Marketable securities pledged to creditors | — |  | — |  | 5,835 |  | 5,835 |
Derivative instruments receivable | 4,557 |  | 4,557 |  | — |  | — |
Liabilities: |  |  |  |
Floating rate debt | 2,075,867 |  | 2,075,867 |  | 2,089,930 |  | 2,089,930 |
Fixed rate debt | 161,700 |  | 160,141 |  | 66,251 |  | 65,348 |
Derivative instruments payable | 9,972 |  | 9,972 |  | 19,261 |  | 19,261 |
The estimated fair value of financial assets and liabilities as of June 30, 2021 are as follows:
(in thousands of $) | Fair Value | Level 1 | Level 2 | Level 3
Assets: |  |  |  |
Cash and cash equivalents | 140,361 |  | 140,361 |  | — |  | — |
Restricted cash | 1,140 |  | 1,140 |  | — |  | — |
Marketable securities | 2,673 |  | 2,673 |  | — |  | — |
Derivative instruments receivable | 4,557 |  | — |  | 4,557 |  | — |
Liabilities: |  |  |  |
Floating rate debt | 2,075,867 |  | — |  | 2,075,867 |  | — |
Fixed rate debt | 160,141 |  | — |  | — |  | 160,141 |
Derivative instruments payable | 9,972 |  | — |  | 9,972 |  | — |
The estimated fair value of financial assets and liabilities as of December 31, 2020 are as follows:
(in thousands of $) | Fair Value | Level 1 | Level 2 | Level 3
Assets: |  |  |  |
Cash and cash equivalents | 174,721 |  | 174,721 |  | — |  | — |
Restricted cash | 14,928 |  | 14,928 |  | — |  | — |
Marketable securities | 2,639 |  | 2,639 |  | — |  | — |
Marketable securities pledged to creditors | 5,835 |  | 5,835 |  | — |  | — |
Liabilities: |  |  |  |
Floating rate debt | 2,089,930 |  | — |  | 2,089,930 |  | — |
Fixed rate debt | 65,348 |  | — |  | 6,251 |  | 59,097 |
Derivative instruments payable | 19,261 |  | — |  | 19,261 |  | — |
The following methods and assumptions were used to estimate the fair value of each class of financial instrument; Cash and cash equivalents – the carrying values in the balance sheet approximate fair value. Restricted cash – the carrying values in the balance sheet approximate fair value. Floating rate debt - the fair value of floating rate debt has been determined using level 2 inputs and is considered to be equal to the carrying value since it bears variable interest rates, which are reset on a quarterly basis. Floating rate debt is presented net of deferred financing charges of $19.7 million as of June 30, 2021 (December 2020: $20.2 million) on the Condensed Consolidated Balance Sheet. Fixed rate debt - short-term debt held with a third party bank has been valued using level 2 inputs, the remaining fixed rate debt has been determined using level 3 inputs being the discounted expected cash flows of the outstanding debt. Assets Measured at Fair Value on a Nonrecurring Basis Nonrecurring fair value measurements include a goodwill impairment assessment completed as of June 30, 2021. The impairment test used Level 1 inputs. Assets Measured at Fair Value on a Recurring Basis Marketable securities are listed equity securities considered to be available-for-sale securities for which the fair value as at the balance sheet date is their aggregate market value based on quoted market prices (level 1). The fair value (level 2) of derivative interest rate swaps is the present value of the estimated future cash flows that the Company would receive or pay to terminate the agreements at the balance sheet date, taking into account, as applicable, fixed interest rates on interest rate swaps, current interest rates, forward rate curves, current and future bunker prices and the credit worthiness of both the Company and the derivative counterparty. Concentrations of risk There is a concentration of credit risk with respect to cash and cash equivalents to the extent that substantially all of the amounts are carried with Skandinaviska Enskilda Banken ("SEB"), HSBC, Royal Bank of Scotland ("RBS"), DNB, Nordea Bank Norge ("Nordea"), Credit Agricole, Credit Suisse AG, Standard Chartered and Citibank N.A.. There is a concentration of credit risk with respect to restricted cash to the extent that substantially all of the amounts are carried with DNB. However, the Company believes this risk is remote.

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- Definition 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 Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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