Fair Value Measurements

3 Months Ended

Mar. 31, 2024

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

The Company’s private warrants are valued using a Black-Scholes model, pursuant to the inputs provided in the table below:


Input	March 31, 2024			December 31, 2023
Risk-free rate	4.71		%	4.24		%
Remaining term in years	1.73			1.98
Expected volatility	73.0		%	82.0		%
Exercise price	$	92.00		$	92.00
Fair value of common stock	$	3.97		$	4.42

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 fair value of the Company’s non-recourse debt as of March 31, 2024 and December 31, 2023 was $625.7 million and $628.2 million, respectively.

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 March 31, 2024
(Amounts in thousands)	Level I		Level II		Level III		Total
Asset:
Interest rate swaps	$	—	$	33,721	$	—	$	33,721
Money market accounts	4,337		—		—		4,337
U.S. Treasury securities	114,068		—		—		114,068
Total	$	118,405	$	33,721	$	—	$	152,126

Liabilities:
Private warrants	$	—	$	—	$	8	$	8
Total	$	—	$	—	$	8	$	8


	Fair Value Measurements as of December 31, 2023
(Amounts in thousands)	Level I		Level II		Level III		Total
Asset:
Interest rate swaps	$	—	$	27,883	$	—	$	27,883
Money market accounts	21,475		—		—		21,475
U.S. Treasury securities	108,964		—		—		108,964
Total	$	130,439	$	27,883	$	—	$	158,322

Liabilities:
Private warrants	$	—	$	—	$	17	$	17
Total	$	—	$	—	$	17	$	17

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


	Three Months Ended March 31, 2024		Three Months Ended March 31, 2023
(Amounts in thousands)

Balance at the beginning of the period	$	17	$	407
Fair value adjustments – warrant liability	(9)		(114)
Share settlement of World Energy liability	—		(151)
Balance at the end of the period	$	8	$	142

- 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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