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FINANCIAL INSTRUMENTS
 6 Months Ended
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 AmountInception DateMaturity DateFixed Interest Rate
($000s)
11,318September 2014September 20211.9070 %
150,000February 2016February 20262.1970 %
100,000March 2020March 20270.9750 %
50,000March 2020March 20270.6000 %
100,000March 2020March 20250.9000 %
100,000April 2020April 20270.5970 %
50,000April 2020April 20250.5000 %
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:
20212020

(in thousands of $)		Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Assets:
Cash and cash equivalents140,361 140,361 174,721 174,721 
Restricted cash 1,140 1,140 14,928 14,928 
Marketable securities2,673 2,673 2,639 2,639 
Marketable securities pledged to creditors— — 5,835 5,835 
Derivative instruments receivable4,557 4,557 — — 
Liabilities:
Floating rate debt2,075,867 2,075,867 2,089,930 2,089,930 
Fixed rate debt161,700 160,141 66,251 65,348 
Derivative instruments payable9,972 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 equivalents140,361 140,361 — — 
Restricted cash 1,140 1,140 — — 
Marketable securities2,673 2,673 — — 
Derivative instruments receivable4,557 — 4,557 — 
Liabilities:
Floating rate debt2,075,867 — 2,075,867 — 
Fixed rate debt160,141 — — 160,141 
Derivative instruments payable9,972 — 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 equivalents174,721 174,721 — — 
Restricted cash 14,928 14,928 — — 
Marketable securities2,639 2,639 — — 
Marketable securities pledged to creditors5,835 5,835 — — 
Liabilities:
Floating rate debt2,089,930 — 2,089,930 — 
Fixed rate debt65,348 — 6,251 59,097 
Derivative instruments payable19,261 — 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.