General form of registration statement for all companies including face-amount certificate companies

FAIR VALUE MEASUREMENTS (Tables)

v3.22.1
FAIR VALUE MEASUREMENTS (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Schedule of assumptions
                                     
    Level in     December 31,
2021
    December 31,
2020
 
    Fair Value     Carrying     Fair     Carrying     Fair  
    Hierarchy     Amount     Value     Amount     Value  
Assets:                              
Cash and cash equivalents   1     $ 62,937     $ 62,937     $ 18,196     $ 18,196  
Restricted cash   1       185       185       422       422  
Cash and investment in severance benefit accounts   1       3,687       3,687       3,567       3,567  
                                       
Liabilities:                                      
Subordinated term loan(a)   2       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              
Long-term debt   2                   2,087       2,087  
Public Warrants   1       8,510       8,510              
Warrants(b)   3       1,317       1,317       7,632       7,632  

 

 
(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.
(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
 
Assumptions:                
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 %
Schedule of assumptions
               
    December 31,
2021
    Issuance Date  
Assumptions:                
Stock price   $ 3.79     $ 9.75  
Conversion strike price   $ 12.50     $ 12.50  
Volatility     51.00 %     25.00 %
Dividend yield     0.00 %     0.00 %
Risk free rate     0.97 %     0.51 %
Debt discount rate     13.80 %     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 %     25 %
Schedule of warrants
                       
(in thousands)   Warrants
(a)
    Conversion option derivative     Call and contingent put derivative  
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.