| Schedule of assumptions |
| Schedule of Fair Value of Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level
in |
|
September
30, 2021 |
|
|
December
31, 2020 |
|
| |
|
Fair
Value |
|
Carrying |
|
|
Fair |
|
|
Carrying |
|
|
Fair |
|
| |
|
Hierarchy |
|
Amount |
|
|
Value |
|
|
Amount |
|
|
Value |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cash
and cash equivalents |
|
1 |
|
$ |
85,058 |
|
|
$ |
85,058 |
|
|
$ |
18,196 |
|
|
$ |
18,196 |
|
| Restricted
cash |
|
1 |
|
|
186 |
|
|
|
186 |
|
|
|
422 |
|
|
|
422 |
|
| Cash
and investment in severance benefit accounts |
|
1 |
|
|
3,570 |
|
|
|
3,570 |
|
|
|
3,567 |
|
|
|
3,567 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated
term loan(a) |
|
2 |
|
$ |
37,149 |
|
|
$ |
22,798 |
|
|
$ |
34,756 |
|
|
$ |
24,327 |
|
| Subordinated
debt(a) |
|
2 |
|
|
10,445 |
|
|
|
6,375 |
|
|
|
10,065 |
|
|
|
6,624 |
|
| Senior
term loan(a) |
|
2 |
|
|
39,978 |
|
|
|
36,608 |
|
|
|
36,834 |
|
|
|
37,948 |
|
| Convertible
debt |
|
2 |
|
|
40,748 |
|
|
|
46,362 |
|
|
|
- |
|
|
|
- |
|
| Long-term
debt |
|
2 |
|
|
- |
|
|
|
- |
|
|
|
2,087 |
|
|
|
2,087 |
|
| Public
Warrants |
|
1 |
|
|
8,625 |
|
|
|
8,625 |
|
|
|
- |
|
|
|
- |
|
| Warrants(b) |
|
3 |
|
|
870 |
|
|
|
870 |
|
|
|
7,632 |
|
|
|
7,632 |
|
|
(a) |
As of September 30, 2021, the fair value of the subordinated term loan, subordinated debt and senior term
loan considered the senior status of the senior term loan (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 12.8%,
18.6% and 17.7%, respectively. As of December 31, 2020, the fair value of the subordinated term loan, subordinated debt and senior term
loan considered the senior status of the senior term loan (Fortress Credit Agreement), followed by the junior status of the subordinated
term loan and subordinated debt. 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 12.80% implied yield. The implied yields of the subordinated term loan and subordinated debt
were 17.05% and 16.57%, respectively. |
|
(b) |
As of September 30, 2021
and December 31, 2020, 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 were as follows: |
| Schedule of assumptions |
|
|
|
|
|
|
|
|
| |
|
Post- Combination
Warrants |
|
|
Private
Placement
Warrants |
|
| Assumptions: |
|
|
|
|
|
|
|
|
| Stock price |
|
$ |
6.68 |
|
|
$ |
6.68 |
|
| Exercise price |
|
$ |
12.50 - $17.50 |
|
|
$ |
11.50 |
|
| Risk free rate |
|
|
0.21 |
% |
|
|
0.72 |
% |
| Expected volatility |
|
|
42.5 |
% |
|
|
34.1 |
% |
| Dividend yield |
|
|
0.00 |
% |
|
|
0.00 |
% |
|
|
The conversion option derivative and call and contingent put derivative are considered a Level 3 measurement due to the utilization
of significant unobservable inputs in the valuation. The Company utilized a binomial model to estimate the fair value of the embedded
derivative features requiring bifurcation associated with the Convertible Notes payable at issuance date and as of the September 30, 2021
reporting date. The key inputs to the valuation models that were utilized to estimate the fair value of the convertible debt derivative
liabilities include: |
|
| Schedule of warrants |
| 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 |
|
|
(2,126 |
) |
|
(4,599 |
) |
|
|
707 |
|
| Ending balance, September 30, 2021 |
|
$ |
870 |
|
$ |
2,874 |
|
|
$ |
1,346 |
|
|
(a) |
The $7,632 of Series D-1 and
Series H warrants were converted as part of the Business Combination. Refer to Note 14 for roll-forward. |
The fair value of the Company’s
cash and cash equivalents and restricted cash approximate the carrying value because of their short-term nature of these accounts.
The estimated fair value of long-term
debt approximated its carrying amount because based on the arrangement of the financing of the debt and pursuant to the terms of the CARES
ACT, the Company applied for this debt to be forgiven by the SBA in whole or in part.
|