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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS
| Three Months Ended September 30, |  | Nine Months Ended September 30,
In thousands | 2021 |  | 2020 |  | 2021 |  | 2020 |  |
Unrealized gain (loss) on equity securities | $ | (35,709) |  |  | $ | 2,276 |  |  | $ | (3,702) |  |  | $ | 12,307 |  |  |
Realized gain (loss) on equity securities | — |  |  | (33) |  |  | 769 |  |  | (8,816) |  |  |
Exchange agreement embedded derivative | 9,269 |  |  | — |  |  | 9,933 |  |  | — |  |  |
Fair value adjustments, net | $ | (26,440) |  |  | $ | 2,243 |  |  | $ | 7,000 |  |  | $ | 3,491 |  |  |
Accounting standards establish a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1), secondary priority to quoted prices in inactive markets or observable inputs (Level 2), and the lowest priority to unobservable inputs (Level 3). The following table presents the Company’s financial assets and liabilities measured at fair value on a recurring basis (at least annually) by level within the fair value hierarchy. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement:
| Fair Value at September 30, 2021
In thousands | Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |
Equity securities | $ | 139,740 |  |  | $ | 139,740 |  |  | $ | — |  |  | $ | — |
Gold zero cost collars | 1,560 |  |  | — |  |  | 1,560 |  |  | — |
Foreign currency forward exchange contracts | 3,344 |  |  | — |  |  | 3,344 |  |  | — |
Provisional metal sales contracts | 51 |  |  | — |  |  | 51 |  |  | — |
| $ | 144,695 |  |  | $ | 139,740 |  |  | $ | 4,955 |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |
Exchange agreement embedded derivative | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Provisional metal sales contracts | 255 |  |  | — |  |  | 255 |  |  | — |
| $ | 255 |  |  | $ | — |  |  | $ | 255 |  |  | $ | — |
| Fair Value at December 31, 2020
In thousands | Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |
Equity and debt securities | $ | 12,943 |  |  | $ | 12,943 |  |  | $ | — |  |  | $ | — |
Foreign currency forward exchange contracts | 13,747 |  |  | — |  |  | 13,747 |  |  | — |
Provisional metal sales contracts | 481 |  |  | — |  |  | 481 |  |  | — |
| $ | 27,171 |  |  | $ | 12,943 |  |  | $ | 14,228 |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |
Gold zero cost collars | $ | 24,883 |  |  | $ | — |  |  | $ | 24,883 |  |  | $ | — |
Provisional metal sales contracts | 67 |  |  | — |  |  | 67 |  |  | — |
| $ | 24,950 |  |  | $ | — |  |  | $ | 24,950 |  |  | $ | — |
The Company’s investments in equity securities are recorded at fair market value in the financial statements based primarily on quoted market prices. Such instruments are classified within Level 1 of the fair value hierarchy. The Company’s foreign currency forward exchange contracts are valued using pricing models with inputs derived from observable market data, including forward market prices and other unobservable inputs. The Company’s gold zero cost collars are valued using pricing models with inputs derived from observable market data, including forward market prices, yield curves, credit spreads. The Company’s provisional metal sales contracts include concentrate and certain doré sales contracts that are valued using pricing models with inputs derived from observable market data, including forward market prices. The model inputs can generally be verified and do not involve significant management judgment. Such instruments are classified within Level 2 of the fair value hierarchy. As described in Note 6 - Investments, the Exchange Agreement provides that Orion may be entitled to additional Coeur shares in the event Coeur acquires Victoria in the future for a higher per share consideration, subject to the terms and conditions of the Exchange Agreement. The Company determined that the potential for additional share consideration in the Exchange Agreement represents an embedded derivative that requires bifurcation. The obligation to deliver additional Coeur shares pursuant to the Exchange Agreement expires on October 31, 2021. The accounting treatment of derivative financial instruments requires that the Company record the fair value of the embedded derivative as of the inception date of the Exchange Agreement and adjust the fair value as of each subsequent balance sheet date. The fair value of the outstanding embedded derivative was determined using a pricing model with inputs derived from observable market data, including stock prices, stock price volatility and risk-free rates and other unobservable inputs such as Monte Carlo simulations and probabilities of Coeur being contractually obligated to make a payment. As the model inputs are estimated based on observable and unobservable data, the Company classifies this embedded derivative in Level 3 of the fair value hierarchy, a change in these unobservable inputs may result in a significantly higher or lower fair value measurement. As of September 30, 2021, the fair value of the exchange agreement embedded derivative was $0. No assets or liabilities were transferred between fair value levels in the nine months ended September 30, 2021. The following tables present the changes in the fair value of the Company's Level 3 financial assets and liabilities in the three and nine months ended September 30, 2021.
| Three Months Ended September 30, 2021
In thousands | Balance at the beginning of the period |  |  |  | Initial valuation |  | Revaluation |  | Settlements |  | Balance at the end of the period
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Exchange agreement embedded derivative | $ | 9,269 |  |  |  |  | $ | — |  |  | $ | (9,269) |  |  | $ | — |  |  | $ | — |
| Nine Months Ended September 30, 2021
In thousands | Balance at the beginning of the period |  |  |  | Initial valuation |  | Revaluation |  | Settlements |  | Balance at the end of the period
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Exchange agreement embedded derivative | $ | — |  |  |  |  | $ | 9,933 |  |  | $ | (9,933) |  |  | $ | — |  |  | $ | — |
The fair value of financial assets and liabilities carried at book value in the financial statements at September 30, 2021 and December 31, 2020 is presented in the following table:
| September 30, 2021
In thousands | Book Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Liabilities: |  |  |  |  |  |  |  |  |
2029 Senior Notes(1) | $ | 368,038 |  |  | $ | 354,873 |  |  | $ | — |  |  | $ | 354,873 |  |  | $ | — |
Revolving Credit Facility(2) | $ | 20,000 |  |  | $ | 20,000 |  |  | $ | — |  |  | $ | 20,000 |  |  | $ | — |
(1) Net of unamortized debt issuance costs of $7.0 million (2) Unamortized debt issuance costs of $2.5 million included in Other Non-Current Assets.
| December 31, 2020
In thousands | Book Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Liabilities: |  |  |  |  |  |  |  |  |
2024 Senior Notes(1) | $ | 227,590 |  |  | $ | 229,874 |  |  | $ | — |  |  | $ | 229,874 |  |  | $ | — |
Revolving Credit Facility(2) | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
(1) Net of unamortized debt issuance costs of $2.4 million. (2) Unamortized debt issuance costs of $1.5 million included in Other Non-Current Assets. The fair value of the 2024 Senior Notes was estimated using quoted market prices. The fair value of the RCF approximates book value as the liability is secured, has a variable interest rate, and lacks significant credit concerns.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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