| Schedule of assumptions |
| Schedule of assumptions |
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Level in |
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December 31,
2021 |
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December 31,
2020 |
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| |
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Fair Value |
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Carrying |
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Fair |
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Carrying |
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Fair |
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Hierarchy |
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Amount |
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Value |
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Amount |
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|
Value |
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| Assets: |
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| Cash and cash equivalents |
|
1 |
|
|
$ |
62,937 |
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|
$ |
62,937 |
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|
$ |
18,196 |
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|
$ |
18,196 |
|
| Restricted cash |
|
1 |
|
|
|
185 |
|
|
|
185 |
|
|
|
422 |
|
|
|
422 |
|
| Cash and investment in severance benefit accounts |
|
1 |
|
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|
3,687 |
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|
|
3,687 |
|
|
|
3,567 |
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|
3,567 |
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| Liabilities: |
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| Subordinated term loan(a) |
|
2 |
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|
|
37,991 |
|
|
|
28,376 |
|
|
|
34,756 |
|
|
|
24,327 |
|
| Subordinated debt(a) |
|
2 |
|
|
|
10,577 |
|
|
|
7,674 |
|
|
|
10,065 |
|
|
|
6,624 |
|
| Senior term loan(a) |
|
2 |
|
|
|
41,063 |
|
|
|
43,276 |
|
|
|
36,834 |
|
|
|
37,948 |
|
| Convertible debt |
|
2 |
|
|
|
41,343 |
|
|
|
44,494 |
|
|
|
— |
|
|
|
— |
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| Long-term debt |
|
2 |
|
|
|
— |
|
|
|
— |
|
|
|
2,087 |
|
|
|
2,087 |
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| Public Warrants |
|
1 |
|
|
|
8,510 |
|
|
|
8,510 |
|
|
|
— |
|
|
|
— |
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| Warrants(b) |
|
3 |
|
|
|
1,317 |
|
|
|
1,317 |
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|
|
7,632 |
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|
|
7,632 |
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(a) |
As of December 31, 2021 and 2020, 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 senior term loan, subordinated
term loan and subordinated debt were 13.8%, 17.16% and 16.83%, respectively, as of December 31, 2021. As of December 31, 2020, the senior
term loan face value was adjusted for $4.7 million of original issue discounts and $1.4 million of fair value of Series H warrants issued
to lenders pursuant to the Fortress Credit Agreement, resulting in the fair value of the senior term loan totaling $37.9 million, with
a 12.8% implied yield. The implied yields of the subordinated term loan and subordinated debt were 17.0% and 16.6%, respectively, as of
December 31, 2020. |
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(b) |
As
of December 31, 2021 and 2020, the fair value of warrants outstanding that are classified as liabilities are included in other
long-term liabilities in the Company’s 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 were as follows
as of December 31, 2021: |
| |
|
Post-Combination
Warrants |
|
|
Private
Placement
Warrants |
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| Assumptions: |
|
|
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|
|
|
| Stock price |
|
$ |
3.79 |
|
|
$ |
3.79 |
|
| Exercise price |
|
$ |
12.50 - $17.50
|
|
|
$ |
11.50 |
|
| Risk free rate |
|
|
0.60 |
% |
|
|
1.20 |
% |
| Expected volatility |
|
|
67.6 |
% |
|
|
62.4 |
% |
| Dividend yield |
|
|
0.00 |
% |
|
|
0.00 |
% |
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| Schedule of warrants |
| Schedule of warrants |
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| (in thousands) |
|
Warrants
(a) |
|
|
Conversion option derivative |
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|
Call and contingent put derivative |
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| Beginning balance, December 31, 2020 |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
| Warrants assumed in Business Combination |
|
|
2,996 |
|
|
|
|
|
|
|
|
|
| Issuance of convertible note payable derivative liabilities |
|
|
- |
|
|
|
7,473 |
|
|
|
639 |
|
| Change in fair value |
|
|
(1,679 |
) |
|
|
(6,130 |
) |
|
|
1,012 |
|
| Ending balance, December 31, 2021 |
|
$ |
1,317 |
|
|
$ |
1,343 |
|
|
$ |
1,651 |
|
|
(a) |
The $7,632 thousand of Series D-1 and Series H warrants were converted as part of the Business Combination. Refer to Note 16 for a roll-forward. |
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