UNIFI INC Fair Value Disclosure
18. Fair Value of Financial Instruments and Non-Financial Assets and Liabilities
Financial Instruments
Grantor Trust
The fair value of the investment assets held by the grantor trust established in connection with the DCP (as previously described in the preceding Notes) were approximately $2,496 and $2,196 as of July 2, 2023 and July 3, 2022, respectively, and are classified as trading securities within Other non-current assets. The grantor trust assets have readily-available market values and are classified as Level 1 trading securities in the fair value hierarchy. Trading gains and losses associated with these investments are recorded to Other operating expense, net. The associated DCP liability is recorded within Other long-term liabilities, and any increase or decrease in the liability is also recorded in Other operating expense (income), net. During fiscal 2023 and 2022, we recorded (gains) losses on investments held by the trust of $(154) and $48, respectively.
Interest Rate Swaps
In 2017, UNIFI entered into three swaps to fix LIBOR at approximately 1.9% for $75,000 of variable rate borrowings which expired on May 24, 2022. The designated hedges increased interest expense for fiscal 2022 and 2021 by $1,190 and $1,347, respectively. There were no interest rate swaps in effect during fiscal 2023.
Non-Financial Assets and Liabilities
Asset abandonment detail is described in Note 9. "Property, Plant and Equipment, Net."
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2023 | Aug 25, 2023 | Showing above |
| 2022 | Aug 31, 2022 | |
| 2021 | Aug 25, 2021 | |
| 2020 | Aug 26, 2020 | |
| 2019 | Aug 29, 2019 | |
| 2018 | Aug 22, 2018 | |
| 2017 | Sep 1, 2017 | |
| 2016 | Aug 26, 2016 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.