ASC Topic 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value 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 (i.e., an exit price). The exit price is based on the amount that the holder of the asset or liability would receive or need to pay in an actual transaction (or in a hypothetical transaction if an actual transaction does not exist) at the measurement date. ASC 820 describes a fair value hierarchy based on three levels of inputs that may be used to measure fair value, of which the first two are considered observable and the last unobservable, as follows:

Level 1 – Quoted prices in active markets for identical assets or liabilities.

Level 2 – Inputs other than Level 1 that are observable, either directly or indirectly, such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.

Level 3 – Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities.

The fair value of the Company’s available-for-sale security was valued based on a discounted cash flow method (Level 3), which incorporates the U.S. Treasury yield curve, credit information and an estimate of future cash flows. During the nine months ended November 1, 2020, certain changes in the inputs did impact the fair value of the available-for-sale security. The calculated fair value is based on estimates that are subjective in nature and involve uncertainties and matters of significant judgement and, therefore, cannot be determined with precision. Changes in assumptions could significantly affect the estimates.

The amortized cost and fair value of the Company’s available-for-sale security and the corresponding amount of gross unrealized gains and losses recognized in accumulated other comprehensive income are as follows:

November 1, 2020

Cost or

Gross

Amortized

Unrealized

Estimated

Cost

Gains

Losses

Fair Value

(in thousands)

Level 3 security:

Corporate trust

6,082

—

6,022

The Company does not intend to sell the available-for-sale-security in the near term and does not believe that it will be required to sell the security. The Company reviews its securities on a quarterly basis to monitor its exposure to other-than-temporary impairment. The Company assessed the unrealized loss position as of November 1, 2020 and determined that the Company is expected to recover the entire amortized cost basis of the available-for-sale security.

Accordingly, no other-than-temporary impairment was recorded in the unaudited condensed consolidated statements of operations for the nine months ended November 1, 2020.

February 2, 2020

Cost or

Gross

Amortized

Unrealized

Estimated

Cost

Gains

Losses

Fair Value

(in thousands)

Level 3 security:

Corporate trust

6,178

254

—

6,432

The following table presents future principal receipts related to the Company’s available-for-sale security by contractual maturity as of November 1, 2020.


	Amortized		Estimated
	Cost		Fair Value
(in thousands)
Within one year	$	143	$	140
After one year through five years		980		963
After five years through ten years		1,531		1,514
After ten years		3,428		3,405
Total	$	6,082	$	6,022

The carrying values and fair values of other financial instruments in the Consolidated Balance Sheets are as follows:


	November 1, 2020				February 2, 2020
		Carrying Amount		Fair Value		Carrying Amount		Fair Value
(in thousands)
TRI Long-term debt, including short-term portion	$	27,982	$	28,281	$	28,335	$	30,238

The above long-term debt, including short-term portion is attributable to the consolidation of TRI in accordance with ASC Topic 810, Consolidation. The fair value was also based on a discounted cash flow method (Level 3) based on credit information and an estimate of future cash flows.