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Financial Instruments
3 Months Ended
Mar. 31, 2020
Financial Instruments Financial Assets Balance Sheet Groupings [Abstract]  
Financial Instruments

3. FINANCIAL INSTRUMENTS

The following tables provide a summary of the Company’s significant financial assets and liabilities carried at fair value and measured on a recurring basis as of March 31, 2020 and December 31, 2019 (in thousands):

 

 

 

 

 

 

 

Fair Value Measurements at March 31, 2020

 

 

 

Carrying Value at

March 31,

2020

 

 

Quoted Prices in

Active Markets

(Level 1)

 

 

Significant Other

Observable Inputs

(Level 2)

 

 

Significant

Unobservable

Inputs (Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Restricted investment:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rabbi Trust

 

$

24,969

 

 

$

 

 

$

24,969

 

 

$

 

Fixed income securities

 

 

1,829

 

 

 

 

 

 

1,829

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap derivatives

 

$

7,616

 

 

$

 

 

$

7,616

 

 

$

 

 

 

 

 

 

 

 

Fair Value Measurements at December 31, 2019

 

 

 

Carrying Value at

December 31,

2019

 

 

Quoted Prices in

Active Markets

(Level 1)

 

 

Significant Other

Observable Inputs

(Level 2)

 

 

Significant

Unobservable

Inputs (Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Restricted investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rabbi Trust

 

$

28,332

 

 

$

 

 

$

28,332

 

 

$

 

Fixed income securities

 

 

1,892

 

 

 

 

 

 

1,892

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap derivatives

 

$

1,869

 

 

$

 

 

$

1,869

 

 

$

 

 

The Company’s Level 2 financial instruments included in the tables above as of March 31, 2020 and December 31, 2019 consist of interest rate swap derivative liabilities held by GEO and the Company's Australian subsidiary, the Company's rabbi trust established for GEO employee and employer contributions to The GEO Group, Inc. Non-qualified Deferred Compensation Plan and an investment in Canadian dollar denominated fixed income securities. On May 22, 2019, the Company terminated the interest rate swap derivative liabilities in connection with a debt refinancing transaction by our Australian subsidiary. Refer to Note 9 - Derivative Financial Instruments and Note 10 - Debt for additional information.

The interest rate swap derivative liabilities are valued using a discounted cash flow model based on projected borrowing rates. The Company's restricted investment in the rabbi trust is invested in Company-owned life insurance policies which are recorded at their cash surrender values. These investments are valued based on the underlying investments held in the policies' separate account. The underlying assets are equity and fixed income pooled funds that are comprised of Level 1 and Level 2 securities. The Canadian dollar denominated securities, not actively traded, are valued using quoted rates for these and similar securities.