Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.22.1
Fair Value Measurements
 12 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
We measure fair value based on authoritative accounting guidance, which defines fair value, establishes a framework for measuring fair value and expands on required disclosures regarding fair value measurements.
Inputs are referred to as assumptions that market participants would use in pricing the asset or liability. The uses of inputs in the valuation process are categorized into a three-level fair value hierarchy.
•Level 1 — uses quoted prices in active markets for identical assets or liabilities we have the ability to access.
•Level 2 — uses observable inputs other than quoted prices in Level 1, such as quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar assets and liabilities in markets that are not active; or other inputs that are observable or can be corroborated by observable market data.
•Level 3 — uses one or more significant inputs that are unobservable and supported by little or no market activity, and that reflect the use of significant management judgment. 
Financial assets and liabilities with carrying amounts approximating fair value include cash, trade accounts receivable, accounts payable, accrued expenses and other current liabilities. The carrying amount of these financial assets and liabilities approximates fair value because of their short maturities. At March 31, 2022 and 2021, no assets or liabilities were valued using Level 3 criteria. 
    Information about our financial assets and liabilities measured at fair value are as follows (our outstanding principal amount of the senior secured facility is reported at carrying value):
  March 31, 2022 March 31, 2021  
  Carrying
Value		 Fair Value Carrying
Value		 Fair Value Valuation Technique
Financial Assets
Deferred compensation plan assets $ 5,391  $ 5,391  $ 5,047  $ 5,047  Level 1 - Market Approach
Foreign currency contract forwards assets 105  105  61  61  Level 2 - Market Approach
Financial Liabilities          
Outstanding principal amount of senior secured credit facility $ 129,000  $ 128,355  $ 148,500  $ 148,871  Level 2 - Market Approach
Deferred compensation plan liabilities 4,837  4,837  4,608  4,608  Level 1 - Market Approach
Foreign currency contract forwards liabilities —  —  32  32  Level 2 - Market Approach
At March 31, 2022 and 2021, the fair value of our long-term debt is based on market quotes available for issuance of debt with similar terms. As the quoted price is only available for similar financial assets, the Company concluded the pricing is indirectly observable through dealers and has been classified as Level 2.
Cross-Currency Swap
On September 29, 2021, we terminated a long-term cross-currency swap we previously entered into through transactions related to the amendment to our term loan and revolving credit facility. The previous intercompany receivable, for which we had the swap, was settled with us by our wholly-owned Canadian subsidiary, Thermon Canada Inc. Refer to Note 11, "Long-Term Debt" for more information regarding our debt transactions.
Before the termination mentioned above, the Company entered into the long-term cross-currency swap to hedge the currency rate fluctuations related to an intercompany receivable. We did not designate the cross currency swap as a cash flow hedge under ASC 815, Derivatives and Hedging ("ASC 815"). Through March 31, 2022, we recorded $441 of unrealized mark-to-market gains on the cross-currency swap which is reported as "Other income and expense," in the consolidated statements of operations and comprehensive income/(loss). Cross currency swap contracts are measured on a recurring basis at fair value and are classified as Level 2 measurements. For the year ended March 31, 2022, the gain on the long-term cross currency swap derivative contract was more than offset by unrealized losses on the intercompany note of $(418), resulting in a net gain of $23.
Deferred Compensation Plan Assets
The Company provides a non-qualified deferred compensation plan for certain highly compensated employees where payroll contributions are made by the employees on a pre-tax basis. Please refer to Note 13, "Employee Benefits" for further discussion.
Foreign Currency Forward Contracts
We transact business in various foreign currencies and have established a program that primarily utilizes foreign currency forward contracts to address the risk associated with fluctuations of certain foreign currencies. Under this program, increases or decreases in our foreign currency exposures are offset by gains or losses on the forward contracts to mitigate foreign currency transaction gains or losses. These foreign currency exposures typically arise from intercompany transactions. Our forward contracts generally have terms of 30 days. We do not use forward contracts for trading purposes or designate these forward contracts as hedging instruments pursuant to ASC 815. We adjust the carrying amount of all contracts to their fair value at the end of each reporting period and unrealized gains and losses are included in our results of operations for that period. These gains and losses are intended to offset gains and losses resulting from settlement of payments received from our foreign operations which are settled in U.S. dollars. All outstanding foreign currency forward contracts are marked to market at the end of the period with unrealized gains and losses included in other expense. The fair value is determined by quoted prices from active foreign currency markets (Level 2). The consolidated balance sheets reflect unrealized gains within accounts receivable, net and unrealized losses within accrued liabilities. Our ultimate realized gain or loss with respect to currency fluctuations will depend on the currency exchange rates and other factors in effect as the contracts mature. As of March 31, 2022 and 2021, the notional amounts of forward contracts as well as the related fair values were as follows:
March 31, 2022 March 31, 2021
Russian Ruble $ —  $ 3,000 
Canadian Dollar 4,000  5,500 
South Korean Won 2,250  5,000 
Mexican Peso —  1,500 
Australian Dollar 1,000  900 
Great Britain Pound —  500 
Total notional amounts $ 7,250  $ 16,400 
    Recognized foreign currency gains or losses related to our forward contracts in the accompanying consolidated statements of operations and comprehensive income/(loss) were losses of $(1,586), $(811) and $(437) for fiscal 2022, 2021 and 2020, respectively. Gains and losses from our forward contracts are intended to be offset by transaction gains and losses from the settlement of transactions denominated in foreign currencies. The Company realized net foreign currency gains and (losses) of $(1,937), $283, and $(580) for fiscal 2022, 2021, and 2020, respectively. Foreign currency gains and losses are recorded within other expense/(income) in our consolidated statements of operations and comprehensive income/(loss).