Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of financial instruments measured at fair value on a recurring basis

Our financial instruments include cash and cash equivalents, receivables, accounts payable, long-term debt and derivative instruments. The carrying amount of cash and cash equivalents, trade and other current receivables as well as accounts payable approximates fair value due to the short-term nature of these instruments. The fair value of our derivative instruments (Note 19) reflects our best estimate and is based upon exchange or over-the-counter quotations whenever they are available. Quoted valuations may not be available due to location differences or terms that extend beyond the period for which quotations are available. Where quotes are not available, we utilize other valuation techniques or models to estimate market values. The fair value of our interest rate swaps is calculated as the discounted cash flows of the difference between the rate fixed by the hedging instrument and the LIBOR forward curve over the remaining term of the hedging instrument. The fair value of our foreign currency exchange contracts is calculated as the discounted cash flows of the difference between the fixed payment specified by the hedging instrument and the expected cash inflow of the forecasted transaction using a foreign currency forward curve. These modeling techniques require us to make estimations of future prices, price correlation, volatility and liquidity based on market data. The following tables provide additional information relating to those financial instruments measured at fair value on a recurring basis (in thousands):



	Fair Value at March 31, 2020
	Level 1		Level 2		Level 3		Total		Valuation Approach
Liabilities:
Interest rate swaps	$	—	$	26	$	—	$	26	(c)
Total liability	$	—	$	26	$	—	$	26



	Fair Value at December 31, 2019
	Level 1		Level 2		Level 3		Total		Valuation Approach
Assets:
Interest rate swaps	$	—	$	44	$	—	$	44	(c)

Liabilities:
Foreign exchange contracts — hedging instruments	—		401		—		401		(c)
Foreign exchange contracts — non-hedging instruments	—		601		—		601		(c)
Total net liability	$	—	$	958	$	—	$	958

Schedule of principal amount and estimated fair value of long-term debt

The principal amount and estimated fair value of our long-term debt are as follows (in thousands):



	March 31, 2020				December 31, 2019
	Principal Amount ⁽¹⁾		Fair Value ^{(2) (3)}		Principal Amount ⁽¹⁾		Fair Value ^{(2) (3)}

Term Loan (matures December 2021)	$	32,375	$	30,797	$	33,250	$	32,959
Nordea Q5000 Loan (matures January 2021) ⁽⁴⁾	80,357		80,257		89,286		89,398
MARAD Debt (matures February 2027)	60,054		62,293		63,610		68,643
2022 Notes (mature May 2022)	125,000		78,594		125,000		134,225
2023 Notes (mature September 2023)	125,000		78,125		125,000		162,188
Total debt	$	422,786	$	330,066	$	436,146	$	487,413


(1)	Principal amount includes current maturities and excludes the related unamortized debt discount and debt issuance costs. See Note 7 for additional disclosures on our long-term debt.

(2)

The estimated fair value of the 2022 Notes and the 2023 Notes was determined using Level 1 fair value inputs under the market approach. The fair value of the Term Loan, the Nordea Q5000 Loan and the MARAD Debt was estimated using Level 2 fair value inputs under the market approach, which was determined using a third-party evaluation of the remaining average life and outstanding principal balance of the indebtedness as compared to other obligations in the marketplace with similar terms.


(3)	The principal amount and estimated fair value of the 2022 Notes and the 2023 Notes are for the entire instrument inclusive of the conversion feature reported in shareholders’ equity.


(4)	The maturity date of the Nordea Q5000 was extended from April 2020 to January 2021 as a result of an amendment to the Nordea Credit Agreement in March 2020 (Note 7).