Fair Value Measurements

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value Measurements

FAIR VALUE MEASUREMENTS

Financial Instruments

Warrants

The Warrants are valued using a Black Scholes option valuation model that includes implied volatility of the trading price (a Level 3 fair value measurement).

Derivative Contracts

    We and CCLP each enter into short term foreign currency forward derivative contracts with third parties as part of a program designed to mitigate the currency exchange rate risk exposure on selected transactions of certain foreign subsidiaries. As of September 30, 2020, we and CCLP had the following foreign currency derivative contracts outstanding relating to portions of our foreign operations:

Derivative contracts	US Dollar Notional Amount	Traded Exchange Rate	Settlement Date
	(In Thousands)
Forward sale Mexican peso	5,464	21.87	October 1, 2020

Under this program, we and CCLP may enter into similar derivative contracts from time to time. Although contracts pursuant to this program will serve as an economic hedge of the cash flow of our currency exchange risk exposure, they are not formally designated as hedge contracts or qualify for hedge accounting treatment. Accordingly, any change in the fair value of these derivative contracts during a period will be included in the determination of earnings for that period.

The fair values of foreign currency derivative contracts are based on quoted market values (a Level 2 fair value measurement). The fair values of our and CCLP’s foreign currency derivative contracts as of September 30, 2020 and December 31, 2019, are as follows:

Foreign currency derivative contracts	Balance Sheet Location	Fair Value at September 30, 2020		Fair Value at December 31, 2019
		(In Thousands)
Forward purchase contracts	Current assets	$	59	$	86
Forward sale contracts	Current liabilities	—		(53)
Forward purchase contracts	Current liabilities	—		(3)
Net asset		$	59	$	30

None of our foreign currency derivative contracts contain credit risk related contingent features that would require us to post assets or collateral for contracts that are classified as liabilities. During the three and nine months ended September 30, 2020, we recognized $0.2 million and $(0.7) million, respectively, of net (gains) losses associated with our foreign currency derivative program. During the three and nine months ended September 30, 2019, we recognized $1.0 million and $1.8 million, respectively, of net (gains) losses associated with our foreign currency derivative program. These amounts are reflected in other (income) expense, net, in the accompanying consolidated statement of operations.

During the nine months ended September 30, 2020, we recorded impairments of approximately $9.0 million, reflecting the decreased fair value for certain assets. The fair values used in these impairment calculations were estimated based on a market approach, which is based on significant unobservable inputs (Level 3) in accordance with the fair value hierarchy. See Note 3 - “Impairments and Other Charges” for further discussion.

Recurring and nonrecurring fair value measurements by valuation hierarchy as of September 30, 2020 and December 31, 2019, are as follows:

			Fair Value Measurements Using
	Total as of		Quoted Prices in Active Markets for Identical Assets or Liabilities		Significant Other Observable Inputs		Significant Unobservable Inputs
Description	September 30, 2020		(Level 1)		(Level 2)		(Level 3)
	(In Thousands)
Warrants liability	$	(123)	$	—	$	—	$	(123)
Asset for foreign currency derivative contracts	59		—		59		—
Net asset	$	(64)

			Fair Value Measurements Using
	Total as of		Quoted Prices in Active Markets for Identical Assets or Liabilities		Significant Other Observable Inputs		Significant Unobservable Inputs
Description	December 31, 2019		(Level 1)		(Level 2)		(Level 3)
	(In Thousands)
Warrants liability	$	(449)	$	—	$	—	$	(449)
Asset for foreign currency derivative contracts	86		—		86		—
Liability for foreign currency derivative contracts	(56)		—		(56)		—
Net liability	$	(419)

The fair values of cash, restricted cash, accounts receivable, accounts payable, accrued liabilities, short-term borrowings and long-term debt pursuant to TETRA’s ABL Credit Agreement and Term Credit Agreement, and the CCLP Credit Agreement approximate their carrying amounts. The fair values of the publicly traded CCLP 7.25% Senior Notes at September 30, 2020 and December 31, 2019, were approximately $59.7 million and $266.0 million, respectively. Those fair values compare to the face amount of $80.7 million and $295.9 million at September 30, 2020 and December 31, 2019, respectively. The fair values of the CCLP 7.50% Senior Secured Notes at September 30, 2020 and December 31, 2019 were approximately $360.0 million and $344.8 million, respectively. These fair values compare to aggregate principal amount of such notes at September 30, 2020 and December 31, 2019, of $400.0 million and $350.0 million, respectively. The fair value of the CCLP 10.00%/10.75% Second Lien Notes at September 30, 2020 was approximately $115.5 million. This fair value compares to aggregate principal amount of such notes at September 30, 2020 of $155.5 million. We based the fair values of the CCLP 7.25% Senior Notes, the CCLP 7.50% Senior Secured Notes, and the CCLP 10.00%/10.75% Second Lien Notes as of September 30, 2020 on recent trades for these notes. See Note 6 - “Long-Term Debt and Other Borrowings” for further discussion.