Financial Instruments and Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Financial Instruments and Fair Value Measurements

Schedule of valuation techniques and unobservable inputs

The following tables show financial liabilities subject to fair value measurement on a recurring basis and related information on fair values, valuation techniques and unobservable inputs (dollars in thousands):

		At September 30, 2022
Financial Instrument	Fair Value		Valuation Technique	Unobservable Inputs
Senior Secured Notes	$	(55,900)	Income Approach - DCF	Discount rate	23.5	%
				Term (in years)	4.0
Warrants	$	(8,926)	Black-Scholes Merton	Equity volatility	57.5	%
				Term (in years)	2.5

		At December 31, 2021
Financial Instrument	Fair Value		Valuation Technique	Unobservable Inputs
Senior Secured Notes	$	(43,800)	Income Approach - DCF	Discount rate	17.9	%
				Term (in years)	4.8
Warrants	$	(3,220)	Black-Scholes Merton	Equity volatility	65.0	%
				Term (in years)	3.3

Schedule of financial liabilities subject to Level 3 fair value measurements on a recurring basis

The following table shows changes in the fair value of financial liabilities subject to Level 3 fair value measurements on a recurring basis (in thousands):

		Senior Secured Notes		Warrants
Balance, At December 31, 2021	$	(43,800)	$	(3,220)
Principal issuance of second tranche notes (Note 8)		(20,000)		-
Cash payments for interest		4,843		-
Fair value adjustments through earnings (inclusive of related accrued interest expense)		4,757		(5,706)
Fair value adjustments through accumulated other comprehensive income or loss		(1,700)		-
Balance, At September 30, 2022	$	(55,900)	$	(8,926)