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SEC Filings

10-Q
NN INC filed this Form 10-Q on 08/14/2017
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Fair value principles prioritize valuation inputs across three broad levels. Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities. Level 2 inputs are quoted prices for similar assets and liabilities in active markets or inputs that are observable for the asset or liability, either directly or indirectly through market corroboration, for substantially the full term of the financial instrument. Level 3 inputs are unobservable inputs based on the assumptions used to measure assets and liabilities at fair value. An asset or liability’s classification within the various levels is determined based on the lowest level input that is significant to the fair value measurement.

The following table summarizes the assets and liabilities measured at fair value on a recurring basis for our interest rate swap derivative financial instrument:

 

            Fair Value Measurements at June 30, 2017  

Description

   June 30,
2017
     Quoted Prices in
Active Markets
for Identical
Assets (Level 1)
     Significant Other
Observable Inputs
(Level 2)
     Significant
Unobservable
Inputs (Level 3)
 

Derivative asset—current

   $ 5      $ —        $ 5      $ —    

Derivative asset—noncurrent

     5        —          5        —    

Derivative liability—current

     (1,293      —          (1,293      —    

Derivative liability—noncurrent

     (464      —          (464      —    
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ (1,747    $ —        $ (1,747    $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 
            Fair Value Measurements at December 31, 2016  

Description

   December 31,
2016
     Quoted Prices in
Active Markets
for Identical
Assets (Level 1)
     Significant Other
Observable Inputs
(Level 2)
     Significant
Unobservable
Inputs (Level 3)
 

Derivative asset—current

   $ 69      $ —        $ 69      $ —    

Derivative asset—noncurrent

     6        —          6        —    

Derivative liability—current

     (1,903      —          (1,903      —    

Derivative liability—noncurrent

     (1,028      —          (1,028      —    
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ (2,856    $ —        $ (2,856    $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Our policy is to manage interest expense using a mix of fixed and variable rate debt. To manage this mix effectively, we may enter into interest rate swaps in which we agree to exchange the difference between fixed and variable interest amounts calculated by reference to an agreed upon notional principal amount.

The inputs for determining fair value of the interest rate swap are classified as Level 2 inputs. Level 2 fair value is based on estimates using standard pricing models. These standard pricing models use inputs which are derived from or corroborated by observable market data such as interest rate yield curves, index forward curves, discount curves, and volatility surfaces. Counterparties to these derivative contracts are highly rated financial institutions which we believe carry only a minimal risk of nonperformance.

 

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