Fair Value Measurements

6 Months Ended

Jun. 30, 2024

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.

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

Input	June 30, 2024			December 31, 2023
Risk-free rate	4.9		%	4.2		%
Remaining term in years	1.48			1.98
Expected volatility	68.6		%	82.0		%
Exercise price	$	92.00		$	92.00
Fair value of common stock	$	3.65		$	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 June 30, 2024 and December 31, 2023 was $626.1 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 June 30, 2024
(Amounts in thousands)	Level I		Level II		Level III		Total
Asset:
Interest rate swaps	$	—	$	30,389	$	—	$	30,389
Money market accounts	112,168		—		—		112,168
Total	$	112,168	$	30,389	$	—	$	142,557
Liabilities:
Private warrants	$	—	$	—	$	2	$	2
Total	$	—	$	—	$	2	$	2

	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 June 30, 2024		Six Months Ended June 30, 2024
(Amounts in thousands)
Balance at the beginning of the period	$	8	$	17
Fair value adjustments – warrant liability	(6)		(15)
Balance at the end of the period	$	2	$	2