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Fair Value Measurements

9 Months Ended

Sep. 30, 2020

Liabilities Measured at Fair Value on a Recurring Basis

The following table presents the fair value of the Company’s financial instruments that are measured at fair value on a recurring basis as of September 30, 2020:


(in thousands)	Level 1		Level 2		Level 3		Total
Liability-classified stock compensation (1)	$	—	$	—	$	294	$	294
Interest rate swap	—		—		290		290
Total	$	—	$	—	$	584	$	584

The following table presents the fair value of the Company’s financial instruments that are measured at fair value on a recurring basis as of December 31, 2019:


(in thousands)	Level 1		Level 2		Level 3		Total
Liability-classified stock compensation (1)	$	—	$	—	$	218	$	218
Interest rate swap	—		—		(95)		(95)
Total	$	—	$	—	$	123	$	123

(1) The fair values of phantom stock units were estimated using a Monte Carlo simulation pricing model with the assumptions described below:


	September 30, 2020
Grant date fair value	$	1.70		—	$7.28
Risk-free interest rate	0.27		%	—	2.39%
Expected life (years)	2.71			—	2.75
Estimated volatility factor	65.1		%	—	69.9%
Expected dividends	None

There were no transfers between Level 1 and Level 2 and no transfers out of Level 3 of the fair value hierarchy during the nine months ended September 30, 2020.

At September 30, 2020, the Company evaluated the amount recorded under the Restated Term Loan and determined that the fair value was approximately $267.4 million. The carrying amounts of cash and cash equivalents, accounts receivable, and accounts payable approximate fair value.

Changes in Financial Instruments Measured at Level 3 Fair Value on a Recurring Basis

The following table presents the changes during the period presented in the Company's Level 3 financial instrument liabilities that are measured at fair value on a recurring basis.


(in thousands)	Liability-classified stock compensation		Interest rate swap		Total
Balance, December 31, 2019	$	218	$	(95)	$	123
Stock compensation activity	76		—		76
Mark-to-market adjustment	—		385		385
Balance, September 30, 2020	$	294	$	290	$	584

- 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.

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