Financial Instruments

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]


11.			FINANCIAL INSTRUMENTS

Derivatives

Interest Rate Derivative—We continue to utilize a swap arrangement to hedge against interest rate variability associated with $350,000 of the $380,000 outstanding under the Term Loan Facility. The Company has designated its interest rate swap agreement as a cash flow hedging derivative. To the extent the derivative instrument is effective and the documentation requirements have been met, changes in fair value are recognized in other comprehensive income (loss) (“OCI”) until the underlying hedged item is recognized in earnings. The total fair value of the contract was a net loss of $8,370 at September 30, 2020.

Financial Instruments Disclosures

Fair Value—Financial instruments are required to be categorized within a valuation hierarchy based upon the lowest level of input that is significant to the fair value measurement. The three levels of the valuation hierarchy are as follows:

•Level 1—Fair value is based on quoted prices in active markets.

•Level 2—Fair value is based on internally developed models that use, as their basis, readily observable market parameters. Our derivative positions are classified within level 2 of the valuation hierarchy as they are valued using quoted market prices for similar assets and liabilities in active markets. These level 2 derivatives are valued utilizing an income approach, which discounts future cash flow based on current market expectations and adjusts for credit risk.

•Level 3—Fair value is based on internally developed models that use, as their basis, significant unobservable market parameters. The Company did not have any level 3 classifications at September 30, 2020 or December 31, 2019.

The following table presents the fair value of the interest rate derivative by valuation hierarchy and balance sheet classification:


	September 30, 2020								December 31, 2019
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Derivative Assets
Other current assets	$	—	$	—	$	—	$	—	$	—	$	216	$	—	$	216
Other non-current assets	—		—		—		—		—		—		—		—
Total assets at fair value	$	—	$	—	$	—	$	—	$	—	$	216	$	—	$	216
Derivative Liabilities
Other current liabilities	$	—	$	(4,648)	$	—	$	(4,648)	$	—	$	(61)	$	—	$	(61)
Other non-current liabilities	—		(3,722)		—		(3,722)		—		(398)		—		(398)
Total liabilities at fair value	$	—	$	(8,370)	$	—	$	(8,370)	$	—	$	(459)	$	—	$	(459)

The carrying values of the Company's cash and cash equivalents, accounts receivable and accounts payable approximate their fair values because of the short-term nature of these instruments. At September 30, 2020, the fair value of the term loan, based upon the current market rates for debt with similar credit risk and maturities, approximated its carrying value as interest is based on LIBOR plus an applicable margin.

OCI—The following table presents the total value recognized in OCI and reclassified from accumulated other comprehensive income (loss) (“AOCI”) into earnings during the three and nine months ended September 30, 2020 for derivatives designated as cash flow hedges:


	Three Months Ended September 30,						Nine Months Ended September 30,
	Before Tax Amount		Tax Amount		Net of Tax Amount		Before Tax Amount		Tax Amount		Net of Tax Amount
Net gain (loss) recognized in OCI	$	50	$	(11)	$	39	$	(10,155)	$	2,285	$	(7,870)
Net amount reclassified from AOCI into earnings(1)	1,253		(282)		971		2,279		(513)		1,766
Change in other comprehensive income	$	1,303	$	(293)	$	1,010	$	(7,876)	$	1,772	$	(6,104)

(1) Net unrealized losses totaling $4,427 are anticipated to be reclassified from AOCI into earnings during the next 12 months due to settlement of the associated underlying obligations.