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Fair Value Measures | 6 Months Ended
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Jun. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measures | Fair Value Measures The fair value of financial assets and liabilities are included at the amount at which the instrument could be exchanged in a current transaction between willing parties, other than in a forced or liquidation sale. The Company utilizes the suggested accounting guidance for the three levels of inputs that may be used to measure fair value:
Level 1 - | Observable inputs such as quoted prices in active markets for identical assets or liabilities;
Level 2 - | Observable inputs, other than Level 1 inputs in active markets, that are observable either directly or indirectly; and
Level 3 - | Unobservable inputs for which there is little or no market data, which require the reporting entity to develop its own assumptions
The Company has assessed that the fair value of cash and cash equivalents, trade receivables, trade payables, and other current liabilities approximate their carrying amounts. Based on the borrowing rates currently available for bank loans with similar terms and average maturities, the fair value of finance leases at June 30, 2021 approximate their respective book values. Prior to their redemption, the Company’s 2015 Public Warrants traded in active markets. When classified as liabilities, warrants traded in active markets with sufficient trading volume represent Level 1 financial instruments as they are publicly traded in active markets and thus have observable market prices which are used to estimate the fair value adjustments for the related common stock warrant liabilities. When classified as liabilities, warrants not traded in active markets, or traded with insufficient volume, represent Level 3 financial instruments that are valued using a Black-Scholes option-pricing model to estimate the fair value adjustments for the related common stock warrant liabilities. The following table shows the carrying amounts and fair values of financial liabilities which are disclosed, but not measured, at fair value, including their levels in the fair value hierarchy:
| June 30, 2021 | December 31, 2020
| Carrying Amount | Fair Value | Carrying Amount | Fair Value
(in thousands) | Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3
ABL Facilities | $ | 1,432,252 |  | $ | — |  | $ | 1,468,500 |  | $ | — |  | $ | 1,263,833 |  | $ | — |  | $ | 1,304,612 |  | $ | — |
2025 Secured Notes | 517,054 |  | — |  | 558,501 |  | — |  | 637,068 |  | — |  | 694,876 |  | — |
2028 Secured Notes | 492,017 |  | — |  | 515,895 |  | — |  | 491,555 |  | — |  | 518,820 |  | — |
Total | $ | 2,441,323 |  | $ | — |  | $ | 2,542,896 |  | $ | — |  | $ | 2,392,456 |  | $ | — |  | $ | 2,518,308 |  | $ | — |
As of June 30, 2021, the carrying values of the ABL Facilities, the 2025 Secured Notes, and the 2028 Secured Notes include $36.2 million, $9.5 million, and $8.0 million, respectively, of unamortized debt issuance costs, which are presented as a direct reduction of the corresponding liability. As of December 31, 2020, the carrying value of the ABL Facilities, the 2025 Secured Notes, and the 2028 Secured Notes includes $40.8 million, $12.9 million, and $8.4 million, respectively, of unamortized debt issuance costs, which are presented as a direct reduction of the corresponding liability. The carrying value of the ABL Facilities, excluding debt issuance costs, approximates fair value as the interest rates are variable and reflective of current market rates. The fair value of the 2025 Secured Notes and the 2028 Secured Notes is based on their last trading price at the end of each period obtained from a third party. The classification and the fair value of derivative assets and liabilities designated as hedges in the condensed consolidated balance sheet are disclosed in Note 16. The following table shows the carrying amounts and fair values of financial liabilities which are measured at fair value:
| June 30, 2021 | December 31, 2020
| Carrying Amount | Fair Value | Carrying Amount | Fair Value
(in thousands) | Level 1 | Level 2 | Level 3 | Level 1 | Level 2 | Level 3
2015 Private warrants | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 77,404 |  | $ | — |  | $ | — |  | $ | 77,404 |
Total | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | 77,404 |  | $ | — |  | $ | — |  | $ | 77,404 |
Level 3 Disclosures When the 2015 Private Warrants and 2018 Warrants were classified as liabilities, the Company utilized a Black Scholes option-pricing model to value the warrants at each reporting period and transaction date, with changes in fair value recognized in the statements of operations. The estimated fair value of the common stock warrant liability was determined using Level 3 inputs. Inherent in the pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the volatility of its ordinary shares based on historical volatility that matched the expected remaining life of the warrants. The risk-free interest rate was based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants was assumed to be equivalent to their remaining contractual term. The dividend rate was based on the historical rate, which the Company anticipates to remain at zero. The 2018 Warrants were reclassified to equity at June 30, 2020, the date all issued and outstanding shares of the Company's Class B Common Stock were cancelled. As such, they were not recorded at fair value at June 30, 2020. The following table provides quantitative information regarding Level 3 fair value measurements:
|  | December 31, 2020
(in thousands) |  | 2015 Private Warrants
Stock Price |  | $ | 23.17 |
Strike Price |  | $ | 11.50 |
Expected Life |  | 1.91
Volatility |  | 41.2 | %
Risk Free rate |  | 0.13 | %
Dividend yield |  | — |
Fair value of warrants |  | $ | 12.17 |
The following table presents changes in Level 3 liabilities measured at fair value for the three months ended June 30, 2021 and June 30, 2020:
(in thousands) | 2015 Private Warrants
Balance - March 31, 2021 | $ | 99,781 |
Exercise or conversion | (78,495) |
Measurement adjustment | (1,571) |
Repurchases | (19,715) |
Balance - June 30, 2021 | $ | — |
(in thousands) | 2015 Private Warrants |  | 2018 Warrants
Balance - March 31, 2020 | $ | 20,196 |  |  | $ | 13,853 |
Exercise or conversion | — |  |  | (374) |
Measurement adjustment | 14,225 |  |  | 12,737 |
Reclassification to equity at June 30, 2020 | — |  |  | (26,216) |
Balance - June 30, 2020 | $ | 34,421 |  |  | $ | — |
The following table presents changes in Level 3 liabilities measured at fair value for the six months ended June 30, 2021 and June 30, 2020.
(in thousands) | 2015 Private Warrants
Balance - December 31, 2020 | $ | 77,404 |
Exercise or conversion | (78,495) |
Measurement adjustment | 25,486 |
Repurchases | (24,395) |
Balance - June 30, 2021 | $ | — |
(in thousands) | 2015 Private Warrants |  | 2018 Warrants
Balance - December 31, 2019 | $ | 72,705 |  |  | $ | 58,369 |
Exercise or conversion | — |  |  | (416) |
Measurement adjustment | (38,284) |  |  | (31,737) |
Reclassification to equity at June 30, 2020 | — |  |  | (26,216) |
Balance - June 30, 2020 | $ | 34,421 |  |  | $ | — |

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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=123874694&loc=d3e19207-110258 + Details
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