Note 9 - Fair Value Measurement

3 Months Ended

Mar. 31, 2021

Notes to Financial Statements

Fair Value Disclosures [Text Block]

9.  Fair Value Measurement

The following tables summarize significant assets and liabilities measured at fair value in the condensed consolidated balance sheets on a recurring basis for each of the fair value levels (in thousands):

	Fair Value Measurement at Reporting Date Using
March 31, 2021	Level 1		Level 2		Level 3		Total
Cash equivalents
Money market funds	$	42,488	$	—	$	—	$	42,488
Other current assets
Commodity swap		—		1,106		—		1,106
Other noncurrent assets
Restricted cash		1,512		—		—		1,512
Total assets	$	44,000	$	1,106	$	—	$	45,106
Accrued and other current liabilities
Interest rate swap	$	—	$	6,535	$	—	$	6,535
Total liabilities	$	—	$	6,535	$	—	$	6,535

December 31, 2020
Cash equivalents
Money market funds	$	70,483	$	—	$	—	$	70,483
Other noncurrent assets
Restricted cash		1,512		—		—		1,512
Total assets	$	71,995	$	—	$	—	$	71,995
Accrued and other current liabilities
Interest rate swap	$	—	$	7,606	$	—	$	7,606
Total liabilities	$	—	$	7,606	$	—	$	7,606

March 31, 2020
Cash equivalents
Money market funds	$	58,693	$	—	$	—	$	58,693
Other noncurrent assets
Restricted cash		4,881		—		—		4,881
Total assets	$	63,574	$	—	$	—	$	63,574
Accrued and other current liabilities
Interest rate swap	$	—	$	8,890	$	—	$	8,890
Total liabilities	$	—	$	8,890	$	—	$	8,890

Interest Rate Swaps

In connection with the Third Amended and Restated Credit Agreement we entered into two interest rate swaps designated as cash flow hedges with an effective date of May 2018. The two cash flow hedges had a combined initial notional amount of $150.0 million and mature in May 2023. The interest rate swaps are designed to convert the interest rate on the term loan from a variable interest rate of LIBOR plus an applicable margin to a fixed rate of 2.76% plus the same applicable margin. The interest rate swap is measured at fair value on the consolidated balance sheets using the income approach, which discounts the future net cash settlements expected under the derivative contracts to a present value. These valuations primarily utilize indirectly observable inputs, including contractual terms, interest rates and yield curves observable at commonly quoted intervals.

Commodity Swap

Granite entered into two commodity swaps for crude oil in January and  March 2021 covering the period from March 2021 to  October 2021 and one in  November 2020 covering the period from  March 2021 to  September 2021 with initial notional amounts of $3.1 million, $3.5 million and $2.6 million, respectively. During the three months ended March 31, 2021, the total commodity swap gain was $1.0 million.

Other Assets and Liabilities

The carrying values and estimated fair values of financial instruments that are not required to be recorded at fair value in the condensed consolidated balance sheets were as follows:

		March 31, 2021				December 31, 2020				March 31, 2020
(in thousands)	Fair Value Hierarchy	Carrying Value		Fair Value		Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Held-to-maturity marketable securities (1)	Level 1	$	11,300	$	11,258	$	5,200	$	5,200	$	5,000	$	5,006
Liabilities (including current maturities):
2.75% Convertible Notes (2),(3)	Level 2	$	202,018	$	324,013	$	200,303	$	248,400	$	195,295	$	176,094
Credit Agreement - term loan (2)	Level 3		129,375		130,645		131,250		133,030		136,875		137,194
Credit Agreement - revolving credit facility (2)	Level 3		—		—		—		—		25,000		25,061

(1) All marketable securities were classified as held-to-maturity and consisted of U.S. Government and agency obligations as of March 31, 2021, December 31, 2020 and March 31, 2020.

(2) The fair value of the 2.75% Convertible Notes is based on the median price of the notes in an active market as of March 31, 2021, December 31, 2020 and March 31, 2020. The fair value of the Credit Agreement is based on borrowing rates available to us for long-term loans with similar terms, average maturities, and credit risk. See Note 13 for more information about the Credit Agreement and 2.75% Convertible Notes. 

(3) Excluded from the carrying value is debt discount of $28.0 million, $29.7 million and $34.7 million as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively, related to the 2.75% Convertible Notes (see Note 13).

During the three months ended March 31, 2021, we did not record any fair value adjustments related to nonfinancial assets and liabilities measured at fair value on a nonrecurring basis. As disclosed in Note 3, we recorded fair value adjustments related to nonfinancial assets measured at fair value on a nonrecurring basis during the three months ended March 31, 2020.