Fair Value Measurements

6 Months Ended

Jun. 30, 2023

Fair Value Disclosures [Abstract]

Fair Value Measurements

Fair Value Measurements

The Company uses various assumptions and methods in estimating the fair values of its financial instruments.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The Private Warrants were valued using a Black-Scholes model, pursuant to the inputs provided in the table below:

	Assumptions for Assets and Liabilities Measured at Fair Value on a Recurring Basis
Input	June 30, 2023			December 31, 2022
Risk-free rate	4.69		%	1.11		%
Remaining term in years	2.47			3.98
Expected volatility	80.1		%	88.8		%
Exercise price	$	11.50		$	11.50
Fair value of common stock	$	0.81		$	3.31

The Company's interest rate swaps are not traded on a market exchange and the fair values are determined using a valuation model based on a discounted cash flow analysis. This analysis reflects the contractual terms of the interest rate swap agreements and uses observable market-based inputs, including estimated future SOFR interest rates. The fair value of the Company's interest rate swap is the net difference in the discounted future fixed cash payments and the discounted expected variable cash receipts. The variable cash receipts are based on the expectation of future interest rates and are observable inputs available to a market participant. The interest rate swap valuation is classified in Level 2 of the fair value hierarchy.

The Company's debt balances as presented on the unaudited condensed consolidated balance sheets approximate the fair value of the respective instruments as the debt is at a variable rate, the estimates of which are considered Level 2 fair value calculations within the fair value hierarchy.

The following table sets forth the Company’s assets and liabilities which are measured at fair value on a recurring basis by level within the fair value hierarchy:

	Fair Value Measurements as of June 30, 2023
(Amounts in thousands)	Level I		Level II		Level III		Total
Asset:
Interest rate swaps	$	—	$	35,458	$	—	$	35,458
Liabilities:
Debt	$	—	$	613,364	$	—	$	613,364
Private Warrants	—		—		109		109
Total	$	—	$	613,364	$	109	$	613,473

	Fair Value Measurements as of December 31, 2022
(Amounts in thousands)	Level I		Level II		Level III		Total
Asset:
Interest rate swaps	$	—	$	32,252	$	—	$	32,252
Liabilities:
Debt	$	—	$	499,755	$	—	$	499,755
Private Warrants	—		—		256		256
Fair value of obligation to issue shares of common stock to sellers of World Energy	—		—		151		151
Total	$	—	$	499,755	$	407	$	500,162

The following is a rollforward of the Company’s Level 3 liability instruments:

	Three Months Ended June 30, 2023		Six Months Ended June 30, 2023
(Amounts in thousands)
Balance at the beginning of the period	$	142	$	407
Fair value adjustments – warrant liability	(33)		(147)
Share settlement of World Energy liability	—		(151)
Balance at the end of the period	$	109	$	109