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Warrants (Tables)
12 Months Ended
Dec. 31, 2020
Warrants And Rights Note Disclosure [Abstract]  
Schedule of Range of Significant Unobservable Inputs Used in Measurement of Fair Value of Warrants The fair value of the Public Warrants was determined using the readily observable publicly traded price (Level 1) as of the end of each reporting period and the Private Placement Warrants were estimated utilizing a binomial lattice model using the following range of significant unobservable inputs (Level 3) for the respective periods:

 

 

2020

 

2019

Stock price

 

$2.15 - $3.20

 

$5.75 - $8.84

Volatility

 

60.1% - 71.9%

 

36.8% - 44.4%

Risk-free rate

 

0.16% - 0.31%

 

1.55% - 2.21%

Dividend yield

 

8.17% - 9.00%

 

7.58% - 10.30%

Term

 

2.65 - 3.40 years

 

3.65 - 4.40 years

Schedule of Reconciliation of Beginning and Ending Balance for Liabilities Measured at Fair Value on Recurring Basis

The following is a reconciliation of the beginning and ending balance for the liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the years ended December 31, 2020, 2019 and 2018 (in thousands):

 

 

Level 3

 

 

 

Warrant Liability

 

Fair value of warrant liability at August 23, 2018, time of Transactions

 

$

42,500

 

Increase (decrease) in fair value

 

 

(27,800

)

Fair value of warrant liability at December 31, 2018

 

$

14,700

 

Increase (decrease) in fair value

 

 

(6,069

)

Fair value of warrant liability at December 31, 2019

 

$

8,631

 

Increase (decrease) in fair value

 

 

(5,128

)

Fair value of warrant liability at December 31, 2020

 

$

3,503