Note 14 - Fair Value Measurements

9 Months Ended

Sep. 30, 2020

Notes to Financial Statements

Fair Value Measurement and Measurement Inputs, Recurring and Nonrecurring [Text Block]

(14) FAIR VALUE MEASUREMENTS

We account for certain assets and liabilities at fair value. The hierarchy below lists three levels of fair value based on the extent to which inputs used in measuring fair value are observable in the market. We categorize each of our fair value measurements in one of these three levels based on the lowest level input that is significant to the fair value measurement in its entirety. These levels are:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. We consider active markets as those in which transactions for the assets or liabilities occur in sufficient frequency and volume to provide pricing information on an ongoing basis. Our marketable securities are Level 1 instruments.

Level 2: Quoted prices in markets that are not active, or inputs which are observable, either directly or indirectly, for substantially the full term of the asset or liability. We have no Level 2 instruments.

Level 3: Measured based on prices or valuation models that require inputs that are both significant to the fair value measurement and less observable from objective sources (i.e., supported by little or no market activity). Our Level 3 instruments are comprised of fuel hedges and interest rate swaps.  The fair values of our hedges and swaps were estimated using discounted cash flow calculations based upon forward fuel prices and interest-rate yield curves.  The notional values of our two interest rate swaps were $53 million and $86 million as of September 30, 2020, both with maturities of May 2022.  Fuel hedges include 1.4 million gallons of diesel fuel that are subject to pricing fluctuations with a minimum of $1.79/gallon and a maximum of $2.00/gallon through December 2021.  Although we utilize third-party broker quotes to assess the reasonableness of our prices and valuation, we do not have sufficient corroborating market evidence to support classifying these assets and liabilities as Level 2.

The following table summarizes our financial assets and liabilities measured on a recurring basis at fair value at September 30, 2020 and December 31, 2019 by the respective level of the fair value hierarchy (in thousands):

	Level 1		Level 2		Level 3		Total
December 31, 2019
Assets:
Fuel hedge	$	—	$	—	$	25	$	25
Marketable securities - restricted		2,296		—		—		2,296
	$	2,296	$	—	$	25	$	2,321
Liabilities:
Interest rate swaps	$	—	$	—	$	3,825	$	3,825
September 30, 2020
Liabilities:
Fuel hedge		—		—		750		750
Interest rate swaps		—		—		4,806		4,806
	$	—	$	—	$	5,556	$	5,556

The table below highlights the change in fair value of the fuel hedges and interest rate swaps which are based on a discounted future cash flow model (in thousands):

Ending balance, December 31, 2019*	$	(3,800	)
Change in estimated fair value		(1,756	)
Ending balance, September 30, 2020*	$	(5,556	)

*Recorded in accounts payable and accrued liabilities and other liabilities in the Condensed Consolidated Balance Sheets.