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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2020
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value accounting rules establish a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value as follows: •Level 1 — Observable inputs such as quoted prices in active markets; •Level 2 — Inputs, other than the quoted prices 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. Assets and liabilities measured at fair value are based on one or more of three valuation approaches as follows: (a) Market Approach — Prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. (b) Cost Approach — Amount that would be required to replace the service capacity of an asset (replacement cost). (c) Income Approach — Techniques to convert expected future cash flows to a single present amount based on market expectations (including present value techniques, option-pricing and excess earnings models). Our financial instruments include cash and cash equivalents, receivables, accounts payable, long-term debt and derivative instruments. The carrying amount of cash and cash equivalents, trade and other current receivables as well as accounts payable approximates fair value due to the short-term nature of these instruments. The fair value of our derivative instruments (Note 19) reflects our best estimate and is based upon exchange or over-the-counter quotations whenever they are available. Quoted valuations may not be available due to location differences or terms that extend beyond the period for which quotations are available. Where quotes are not available, we utilize other valuation techniques or models to estimate market values. The fair value of our interest rate swaps is calculated as the discounted cash flows of the difference between the rate fixed by the hedging instrument and the LIBOR forward curve over the remaining term of the hedging instrument. The fair value of our foreign currency exchange contracts is calculated as the discounted cash flows of the difference between the fixed payment specified by the hedging instrument and the expected cash inflow of the forecasted transaction using a foreign currency forward curve. These modeling techniques require us to make estimations of future prices, price correlation, volatility and liquidity based on market data. As of September 30, 2020, there were no financial instruments measured at fair value on a recurring basis. The following table provides additional information relating to financial instruments measured at fair value on a recurring basis as of December 31, 2019 (in thousands):
.
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Valuation Approach
Assets: |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | 44 |  |  | $ | — |  |  | $ | 44 |  |  | (c)
Liabilities: |  |  |  |  |  |  |  |  |
Foreign exchange contracts — hedging instruments | — |  |  | 401 |  |  | — |  |  | 401 |  |  | (c)
Foreign exchange contracts — non-hedging instruments | — |  |  | 601 |  |  | — |  |  | 601 |  |  | (c)
Total net liability | $ | — |  |  | $ | 958 |  |  | $ | — |  |  | $ | 958 |  |  |
The principal amount and estimated fair value of our long-term debt are as follows (in thousands):
| September 30, 2020 |  |  |  | December 31, 2019 |  |
| Principal Amount (1) |  | Fair Value (2) (3) |  | Principal Amount (1) |  | Fair Value (2) (3)
Term Loan (matures December 2021) | $ | 30,625 |  |  | $ | 30,051 |  |  | $ | 33,250 |  |  | $ | 32,959 |
Nordea Q5000 Loan (matures January 2021) (4) | 62,500 |  |  | 62,656 |  |  | 89,286 |  |  | 89,398 |
MARAD Debt (matures February 2027) | 56,410 |  |  | 62,551 |  |  | 63,610 |  |  | 68,643 |
2022 Notes (mature May 2022) | 35,000 |  |  | 33,075 |  |  | 125,000 |  |  | 134,225 |
2023 Notes (mature September 2023) | 30,000 |  |  | 27,300 |  |  | 125,000 |  |  | 162,188 |
2026 Notes (mature February 2026) | 200,000 |  |  | 160,626 |  |  | — |  |  | — |
Total debt | $ | 414,535 |  |  | $ | 376,259 |  |  | $ | 436,146 |  |  | $ | 487,413 |
(1)Principal amount includes current maturities and excludes the related unamortized debt discount and debt issuance costs. See Note 7 for additional disclosures on our long-term debt. (2)The estimated fair value of the 2022 Notes, the 2023 Notes and the 2026 Notes was determined using Level 1 fair value inputs under the market approach. The fair value of the Term Loan, the Nordea Q5000 Loan and the MARAD Debt was estimated using Level 2 fair value inputs under the market approach, which was determined using a third-party evaluation of the remaining average life and outstanding principal balance of the indebtedness as compared to other obligations in the marketplace with similar terms. (3)The principal amount and estimated fair value of the 2022 Notes, the 2023 Notes and the 2026 Notes are for the entire instrument inclusive of the conversion feature reported in shareholders’ equity. (4)The maturity date of the Nordea Q5000 Loan was extended from April 2020 to January 2021 as a result of an amendment to the Nordea Credit Agreement in March 2020 (Note 7).

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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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