Quarterly report pursuant to Section 13 or 15(d)


6 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
The fair value of an asset or liability is the price that would be received to sell an asset or transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Company utilizes a fair value hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs when measuring fair value and defines three levels of inputs that may be used to measure fair value. The fair values of the Company’s cash and cash equivalents, accounts receivable and accounts payable approximate their carrying values due to the short-term nature of these items.
Assets and liabilities subject to fair value measurement are categorized into one of three different levels depending on the observability of the inputs employed in the measurement, as follows:
Level 1 – observable inputs that reflect quoted prices (unadjusted) for identical assets or liabilities in active markets.
Level 2 – inputs that reflect quoted prices for identical assets or liabilities in markets which are not active; quoted prices for similar assets or liabilities in active markets; inputs other than quoted prices that are observable for the asset or liability; or inputs that are derived principally from or corroborated by observable market data by correlation or other means.
Level 3 – unobservable inputs reflecting the Company’s own assumptions incorporated in valuation techniques used to determine fair value. These assumptions are required to be consistent with market participant assumptions that are reasonably available.
Fair Value of Debt
The fair value of the Company’s debt has been estimated in accordance with the accounting standard regarding fair value. The fair value of the Company’s long-term debt was estimated using discounted cash flow analysis based on market prices for those loans and estimated current rates for similar types of arrangements. Considerable judgment was required in developing certain of the estimates of fair value, and, accordingly, the estimates presented herein are not necessarily indicative of the amounts that the Company could realize in a current market exchange.
The carrying and fair values of the Company’s debt are as follows (in thousands):
Level 1 Level 2 Level 3
September 30, 2021
6.875% Senior Notes(1)
$ 391,613  $ —  $ 422,648  $ — 
Lombard Debt 139,968  —  148,226  — 
Humberside Debt 234  —  234  — 
$ 531,815  $ —  $ 571,108  $ — 
March 31, 2021
6.875% Senior Notes(1)
$ 391,550  $ —  $ 398,870  $ — 
Lombard Debt 146,006  —  155,270  — 
Airnorth Debt 5,631  —  5,656  — 
Humberside Debt 306  —  306  — 
$ 543,493  $ —  $ 560,102  $ — 
(1)The carrying value of the 6.875% Senior Notes is net of unamortized debt issuance costs of $8.4 million.
The carrying values are net of unamortized discounts as follows (in thousands):
  September 30, 2021 March 31, 2021
Lombard Debt $ 17,195  $ 21,495 
Airnorth Debt —  154 
Total unamortized debt discount $ 17,195  $ 21,649 
Old Bristow Preferred Stock Embedded Derivative
The fair value of Old Bristow’s preferred stock embedded derivative was estimated on the pre-merger basis, using the income approach, namely a “with” and “without” analysis. The difference between the value of Old Bristow’s preferred stock in the “with” and “without” analyses represented the value of the embedded derivative. Old Bristow was private on the pre-merger basis and hence, the Old Bristow preferred stock value was estimated based on the expected exchange ratio upon the merger. As there was no trading price or any directly observable market information for the embedded derivative itself or Old Bristow’s preferred stock price the fair value of the embedded derivative represents a model value. Due to these facts and circumstances, the fair value of Old Bristow’s Preferred Stock embedded derivative was derived from Level 3 inputs, due to the nature of unobservable inputs that required significant estimates, judgments and assumptions.
Changes in the fair value of the New Preferred Stock derivative liability, carried at fair value, were reported as change in fair value of the preferred stock derivative liability in the condensed consolidated statements of operations. During the six months ended September 30, 2020, the Company recognized non-cash gain of approximately $15.4 million due to an increase in the preferred stock derivative liability related to the embedded derivative in the New Preferred Stock.
The following table provides a rollforward of the preferred stock embedded derivative Level 3 fair value measurements for the six months ended September 30, 2020:
Significant Unobservable Inputs (Level 3)
Derivative financial instruments: (in thousands)
March 31, 2020 $ 286,182 
Change in fair value
Preferred stock shares conversion
Share repurchases (3,920)
September 30, 2020 $ — 
On June 11, 2020, immediately before the Merger was executed, Old Bristow exercised its call right on the preferred stock, allowing Old Bristow to repurchase the shares upon a Fundamental Transaction (which included a merger or consolidation). Upon exercise of the call right, Old Bristow issued 5.17962 shares of Old Bristow’s common stock to the remaining holders of the Preferred Stock for each share of Preferred Stock held. The Old Bristow preferred stock was converted into Old Bristow common stock immediately prior to consummation of the Merger. For further discussion, see Note 7 in the Annual Report on Form 10-K for the fiscal year ended March 31, 2021.