Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2020

For assets and liabilities measured at fair value on a recurring and nonrecurring basis, a three-level hierarchy of measurements based upon observable and unobservable inputs is used to arrive at fair value. Observable inputs are developed based on market data obtained from independent sources, while unobservable inputs reflect the Company’s assumptions about valuation based on the best information available in the circumstances. Depending on the inputs, the Company classifies each fair-value measurement as follows:

•Level 1 – based on quoted prices in active markets for identical assets or liabilities;

•Level 2 – based on other significant observable inputs for the assets or liabilities through corroborations with market data at the measurement date; and

•Level 3 – based on significant unobservable inputs that reflect management’s best estimate of what market participants would use to price the assets or liabilities at the measurement date.

Financial Instruments Measured at Carrying Value

Debt

The Company measured its revolving credit facilities and the Unsecured Senior Notes at original carrying value including accrued interest, net of unamortized deferred financing costs and fees. The fair value of the revolving credit facility approximated carrying value, as it consisted of short-term variable rate loans.

The fair value measurement of the Unsecured Senior Notes was defined as Level 3 at December 31, 2019 in the three-level fair value hierarchy, as the inputs to their valuation were not all market observable.


(in thousands)	As of September 30, 2020
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3
Revolving credit facility	$	130,000	$	—	$	130,000	$	—


(in thousands)	As of December 31, 2019
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3
Revolving credit facility	$	39,527	$	—	$	39,527	$	—
Unsecured Senior Notes	54,765		—		—		54,600

Financial Instruments Measured at Fair Value

Warrants

The following table summarizes changes in the estimated fair value of the Company’s warrant liability:


(in thousands)	For the Nine Months Ended September 30, 2019
Balance at beginning of period	$	35,100
Change in value of warrants *	1,352
Settlement of warrants	(36,452)
Balance at end of period	$	—

*The change in value of the warrant liability is presented as Loss from change in value of warrants in the Company’s Consolidated Statements of Operations.

- 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 + Details