Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.22.1
FAIR VALUE MEASUREMENTS (Tables)
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Schedule of assumptions
                                     
    Level in     March 31,
2022
    December 31,
2021
 
    Fair Value     Carrying     Fair     Carrying     Fair  
    Hierarchy     Amount     Value     Amount     Value  
Assets:                                      
Cash and cash equivalents   1     $ 45,930     $ 45,930     $ 62,937     $ 62,937  
Restricted cash   1       185       185       185       185  
Cash and investment in severance benefit accounts   1       3,597       3,597       3,687       3,687  
                                       
Liabilities:                                      
Subordinated term loan(a)   2     $ 38,834     $ 28,473     $ 37,991     $ 28,376  
Subordinated debt(a)   2       10,707       7,844       10,577       7,674  
Senior term loan(a)   2       41,279       42,620       41,063       43,276  
Convertible debt   2       41,970       46,066       41,343       44,494  
Public Warrants   1       4,025       4,025       8,510       8,510  
Warrants(b)   3       624       624       1,317       1,317  

 

 
(a) As of March 31, 2022 and December 31, 2021, the fair value of the subordinated term loan, subordinated debt and senior term loan considered the senior status of the senior term loan under the Fortress Credit Agreement, followed by the junior status of the subordinated term loan and subordinated debt. The implied yields of the subordinated term loan, subordinated debt and senior term loan were 17.62%, 17.54% and 14.50%, respectively, as of March 31, 2022 and 17.16%, 16.83% and 13.8%, respectively, as of December 31, 2021.
(b) As of March 31, 2022 and December 31, 2021, the fair value of warrants outstanding that are classified as liabilities are included in other long-term liabilities in the Company’s condensed consolidated balance sheets. The key inputs to the valuation models that were utilized to estimate the fair value of the Post-Combination Warrants and Private Placement Warrants as of March 31, 2022 were as follows:
Schedule of assumptions
             
  Post-
Combination
Warrants
  Private
Placement
Warrants
 
Assumptions:              
Stock price $ 2.91     $ 2.91  
Exercise price $ 12.50 – $17.50     $ 11.50  
Risk free rate   1.85 %     2.40 %
Expected volatility   73.6 %     56.9 %
Dividend yield   0.00 %     0.00 %
Schedule of assumptions
               
    March 31,
2022
    December 31,
2021
 
Assumptions:                
Stock price   $ 2.91     $ 9.75  
Conversion strike price   $ 8.00     $ 12.50  
Volatility     65.00 %     25.00 %
Dividend yield     0.00 %     0.00 %
Risk free rate     2.38 %     0.51 %
Debt discount rate     14.50 %     12.80 %
Coupon interest rate     7.00 %     7.00 %
Face amount (in thousands)   $ 50,000     $ 50,000  
Contingent put inputs and assumptions:                
Probability of fundamental change     25.0 %     25.0 %
Schedule of warrants
                       
(in thousands)   Warrants     Conversion option
derivative
    Call and contingent
put derivative
 
Beginning balance, December 31, 2021   $ 1,317     $ 1,343     $ 1,651  
Change in fair value     (693 )     5,029       (309 )
Ending balance, March 31, 2022   $ 624     $ 6,372     $ 1,342