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FAIR VALUE OF FINANCIAL INSTRUMENTS
12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
FAIR VALUE OF FINANCIAL INSTRUMENTS FAIR VALUE OF FINANCIAL INSTRUMENTS
The following tables provide information about our financial assets and liabilities measured and reported at fair value:
2020
Level 1Level 2Level 3Total
Fair Value
(dollars in millions)
Assets
Fixed maturities:
U.S. Treasury securities and agencies$17.0 $— $— $17.0 
Municipal securities— 23.4 — 23.4 
Corporate debt securities— 90.5 — 90.5 
Residential mortgage-backed securities— 7.8 — 7.8 
Commercial mortgage-backed securities— 58.4 — 58.4 
Other debt obligations— 23.9 — 23.9 
Total fixed maturities17.0 204.0 — 221.0 
Short-term investments2.2 0.8 — 3.0 
Cash equivalents568.4 — — 568.4 
Total Assets at fair value
$587.6 $204.8 $— $792.4 
2019
Level 1Level 2Level 3Total
Fair Value
(dollars in millions)
Assets
Fixed maturities:
U.S. Treasury securities and agencies$9.8 $— $— $9.8 
Municipal securities— 10.3 — 10.3 
Corporate debt securities— 38.6 — 38.6 
Residential mortgage-backed securities— 3.3 — 3.3 
Commercial mortgage-backed securities— 31.5 — 31.5 
Other debt obligations— 25.8 — 25.8 
Total fixed maturities9.8 109.5 — 119.3 
Short-term investments3.0 0.5 — 3.5 
Cash equivalents316.6 — — 316.6 
Total Assets at fair value
$329.4 $110.0 $— $439.4 
Liabilities
Warrant liability$— $— $20.3 $20.3 
Total Liabilities at fair value
$— $— $20.3 $20.3 
We estimate the fair value of all our different classes of Level 2 fixed rate maturities and short-term investments by using quoted prices from a combination of an independent pricing vendor or broker/dealer, pricing models, quoted prices of securities with similar characteristics or discounted cash flows.
In conjunction with the closing of a note purchase agreement, we issued warrants that were disaggregated from the long-term debt in order to appropriately determine their standalone fair value. To calculate the fair value we utilized the BSM approach. The significant inputs in calculating the fair value of the warrants were the current price from the most recently completed 409A, the current risk-free rate used by the United States Treasury, the expected
term and the volatility assumption. As of December 31, 2019, the BSM calculation yielded a fair value of $7.2497 per share for each of the 2.8 million warrants for a standalone fair value of $20.3 million classified as long-term debt and warrants on the consolidated balance sheets. Upon the completion of our IPO, the warrant to purchase shares of preferred stock was converted into a warrant to purchase shares of our common stock. All warrants were exercised into shares of Class B common stock. As a result, the warrant liability was remeasured immediately prior to the IPO and reclassified to additional paid in capital within stockholders' equity on our consolidated balance sheets. During the year ended December 31, 2020 and 2019, we recognized an adjustment of $54.7 million and zero, respectively, to the fair value of the warrants within interest expense of our consolidated statements of operations and comprehensive loss.
The carrying amount of long-term debt is recorded at historical amounts. The fair value of outstanding long-term debt is classified within Level 2 of the fair value hierarchy. The fair value is based on a model referencing observable interest rates and spreads to project and discount cash flows to present value. For the years ended December 31, 2020 and 2019 the carrying amounts and fair values of these financial instruments were as follows:
Carrying amount as of December 31, 2020
Estimated Fair Value as of December 31, 2020
Carrying amount as of December 31, 2019
Estimated Fair Value as of December 31, 2019
(dollars in millions)
Long-term debt$188.2 $209.0 $172.7 $200.8 
The carrying amounts of other short-term financial instruments approximates their fair value due to their short-term nature.