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Financial Instruments
 9 Months Ended
Sep. 30, 2021
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 September 30, 2021 and December 31, 2020 (in thousands):

 

 

 

 

 

 

 

Fair Value Measurements at September 30, 2021

 

 

 

Carrying Value at

September 30,

2021

 

 

Quoted Prices in

Active Markets

(Level 1)

 

 

Significant Other

Observable Inputs

(Level 2)

 

 

Significant

Unobservable

Inputs (Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Restricted investment:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rabbi Trust

 

$

42,556

 

 

$

—

 

 

$

42,556

 

 

$

—

 

Fixed income securities

 

 

2,101

 

 

 

—

 

 

 

2,101

 

 

 

—

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap derivatives

 

$

3,367

 

 

$

—

 

 

$

3,367

 

 

$

—

 

 

 

 

 

 

 

 

Fair Value Measurements at December 31, 2020

 

 

 

Carrying Value at

December 31,

2020

 

 

Quoted Prices in

Active Markets

(Level 1)

 

 

Significant Other

Observable Inputs

(Level 2)

 

 

Significant

Unobservable

Inputs (Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Restricted investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rabbi Trust

 

$

35,749

 

 

$

—

 

 

$

35,749

 

 

$

—

 

Fixed income securities

 

 

1,932

 

 

 

—

 

 

 

1,932

 

 

 

—

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap derivatives

 

$

6,015

 

 

$

—

 

 

$

6,015

 

 

$

—

 

 

The Company’s Level 2 financial instruments included in the tables above as of September 30, 2021 and December 31, 2020 consist of interest rate swap derivative liabilities held by GEO, the Company's rabbi trust established for a 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.

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, which are not actively traded, are valued using quoted rates for these and similar securities.