Fair Value Of Financial Instruments

12 Months Ended

Dec. 31, 2020

Fair Value Of Financial Instruments [Abstract]

(21) Fair Value of Financial Instruments:

Fair value is defined under GAAP as the exit price associated with the sale of an asset or transfer of a liability in an orderly transaction between market participants at the measurement date. Valuation techniques used to measure fair value under GAAP must maximize the use of observable inputs and minimize the use of unobservable inputs. In addition, GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value.

The three input levels in the hierarchy of fair value measurements are defined by the FASB generally as follows:

Input Level Description of Input

Level 1 Observable inputs such as quoted prices in active markets for identical assets.

Level 2 Inputs other than quoted prices in active markets that are either directly or indirectly observable.

Level 3 Unobservable inputs in which little or no market data exists.

The following tables represent Frontier’s pension plan assets measured at fair value on a recurring basis as of December 31, 2020 and 2019:



	Fair Value Measurements at December 31, 2020
($ in millions)	Total		Level 1		Level 2		Level 3
Cash and Cash Equivalents	$	55	$	55	$	-	$	-
U.S. Government Obligations		48		-		48		-
Corporate and Other Obligations		506		-		506		-
Common Stock		510		510		-		-
Preferred Stock		3		3		-		-
Interest in Registered Investment Companies ⁽¹⁾		140		140		-		-
Interest in Limited Partnerships and
Limited Liability Companies		166		-		-		166
Total investments at fair value	$	1,428	$	708	$	554	$	166
Common/Collective Trusts ⁽¹⁾		1,073
Interest in Registered Investment Companies ⁽¹⁾		32
Interest and Dividend Receivable		5
Due from Broker for Securities Sold		22
Receivable Associated with Insurance Contract		7
Due to Broker for Securities Purchased		(60)
Total Plan Assets, at Fair Value	$	2,507



	Fair Value Measurements at December 31, 2019
($ in millions)	Total		Level 1		Level 2		Level 3
Cash and Cash Equivalents	$	46	$	46	$	-	$	-
U.S. Government Obligations		39		-		39		-
Corporate and Other Obligations		547		-		547		-
Common Stock		552		552		-		-
Preferred Stock		4		4		-		-
Interest in Registered Investment Companies ⁽¹⁾		150		150		-		-
Interest in Limited Partnerships and
Limited Liability Companies		163		-		-		163
Total investments at fair value	$	1,501	$	752	$	586	$	163
Common/Collective Trusts ⁽¹⁾		1,177
Interest in Registered Investment Companies ⁽¹⁾		87
Interest and Dividend Receivable		6
Due from Broker for Securities Sold		61
Receivable Associated with Insurance Contract		7
Due to Broker for Securities Purchased		(109)
Total Plan Assets, at Fair Value	$	2,730

⁽¹⁾Investments that are measured at fair value using the net asset value (NAV) practical expedient have not been classified in the fair value hierarchy. The fair value of common/collective trusts are estimated using the NAV per share multiplied by the number of shares of the trust investment held as of the measurement date. Additionally, the fair value of certain assets totaling $32 million and $87 million, as of December 31, 2020 and 2019, respectively, included in “Interest in Registered Investment Companies” were estimated using the NAV practical expedient. These balances are intended to permit reconciliation of the fair value hierarchy to the plan asset amounts presented in Note 20 - Retirement Plans.

There have been no reclassifications of investments between Levels 1, 2 or 3 assets during the years ended December 31, 2020 or 2019.

The tables below set forth a summary of changes in the fair value of the Plan’s Level 3 assets for the years ended December 31, 2020 and 2019:



	Interest in Limited Partnerships and Limited Liability Companies
($ in millions)	2020		2019
Balance at beginning of year	$	163	$	155
Realized gains		14		14
Unrealized gains		3		8
Sales and distributions		(14)		(14)
Balance at end of year	$	166	$	163

The following table provides further information regarding the redemption of the Plan’s Level 3 investments as well as information related to significant unobservable inputs and the range of values for those inputs for the Plan’s interest in certain limited partnerships and limited liability companies as of December 31, 2020:



			Liquidation		Capitalization
($ in millions)	Fair Value		Period		Rate
Interest in Limited Partnerships and Limited
Liability Companies ⁽⁴⁾

MS IFHF SVP LP Cayman ⁽¹⁾	$	1		4 years		N/A
RII World Timberfund, LLC ⁽²⁾		5		2 years		N/A
426 E. Casino Road, LLC ⁽³⁾		17		N/A		7.00%
100 Comm Drive, LLC ⁽³⁾		10		N/A		7.75%
100 CTE Drive, LLC ⁽³⁾		11		N/A		9.50%
6430 Oakbrook Parkway, LLC ⁽³⁾		27		N/A		7.75%
8001 West Jefferson, LLC ⁽³⁾		29		N/A		8.75%
1500 MacCorkle Ave SE, LLC ⁽³⁾		15		N/A		8.75%
400 S. Pike Road West, LLC ⁽³⁾		1		N/A		8.50%
601 N. US 131, LLC ⁽³⁾		1		N/A		9.50%
9260 E. Stockton Blvd., LLC ⁽³⁾		7		N/A		7.25%
120 E. Lime Street, LLC ⁽³⁾		9		N/A		9.00%
610 N. Morgan Street, LLC ⁽³⁾		33		N/A		8.50%
Total Interest in Limited Partnerships and Limited
Liability Companies	$	166

⁽¹⁾The partnerships’ investment objective is to seek capital appreciation principally through investing in investment funds managed by third party investment managers who employ a variety of alternative investment strategies. These instruments are subject to certain withdrawal restrictions. The Plan is in the process of liquidating its interest in the partnerships and distributions are expected to be made over the next four years.

⁽²⁾The fund’s objective is to realize substantial long-term capital appreciation by investing in timberland properties primarily in South America and Australia. This investment is subject to certain withdrawal restrictions. In 2019, the fund entered into liquidation period of the partnerships and distributions are expected to be made over the next two years.

⁽³⁾The entity invests in commercial real estate properties that are leased to Frontier. The leases are triple net, whereby Frontier is responsible for all expenses, including but not limited to, insurance, repairs and maintenance and payment of property taxes.

⁽⁴⁾All Level 3 investments have the same redemption frequency (through the liquidation of underlying investments) and redemption notice period (none). The fair value of these properties is based on independent appraisals.

‎

The following table summarizes the carrying amounts and estimated fair values for long-term debt at December 31, 2020 and 2019. For the other financial instruments including cash, accounts receivable, restricted cash, accounts payable and other current liabilities, the carrying amounts approximate fair value due to the relatively short maturities of those instruments.

The fair value of our long-term debt (including $10,949 million of debt classified in Liabilities subject to compromise at December 31, 2020) is estimated based upon quoted market prices at the reporting date for those financial instruments.



	2020				2019
		Carrying				Carrying
($ in millions)		Amount		Fair Value		Amount		Fair Value

Total debt	$	16,769	$	11,635	$	17,516	$	12,026

The fair value of our long-term debt is estimated based upon quoted market prices at the reporting date for those financial instruments.

- 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.

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