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FAIR VALUE MEASUREMENTS AND DERIVATIVES (Tables)
 6 Months Ended
Jun. 30, 2022
Summary of Carrying Amounts and Estimated Fair Values of the Company's Cash, Restricted Cash, and Long-term Debt The carrying amounts and estimated fair values of the Company's cash, restricted cash and long-term debt were as follows (in thousands):

 

 

June 30, 2022

 

 

December 31, 2021

 

 

 

Carrying Value

 

 

Estimated Fair Value

 

 

Carrying Value

 

 

Estimated Fair Value

 

Cash

 

$

31,990

 

 

$

31,990

 

 

$

30,937

 

 

$

30,937

 

Restricted Cash

 

 

1,896

 

 

 

1,896

 

 

 

1,896

 

 

 

1,896

 

Total cash

 

$

33,886

 

 

$

33,886

 

 

$

32,833

 

 

$

32,833

 

First lien term loan facility

 

$

201,723

 

 

$

184,370

 

 

$

202,457

 

 

$

198,580

 

Second lien term loan facility

 

 

25,000

 

 

 

21,990

 

 

 

25,000

 

 

 

23,570

 

First lien revolving facility

 

 

7,000

 

 

 

6,710

 

 

 

7,000

 

 

 

6,890

 

Total debt (a)

 

$

233,723

 

 

$

213,070

 

 

$

234,457

 

 

$

229,040

 

(a) The debt amounts above do not include the impact of the interest rate swap or debt issuance costs.
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis The following table presents information about the Company’s financial instruments recorded at fair value on a recurring basis (in thousands):

 

 

 

 

Fair Value Measurements at June 30, 2022

 

 

Fair Value Measurements at December 31, 2021

 

Description

 

Balance Sheet Location

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative financial instruments (1)

 

Other current assets

 

$

1,574

 

 

$

-

 

 

$

1,574

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

Derivative financial instruments (1)

 

Other non-current assets

 

 

1,840

 

 

 

-

 

 

 

1,840

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Total Assets

 

 

 

$

3,414

 

 

$

-

 

 

$

3,414

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative financial instruments (1)

 

Other current liabilities

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

 

$

1,126

 

 

$

-

 

 

$

1,126

 

 

$

-

 

Warrants

 

Warrant liabilities

 

 

45,400

 

 

 

-

 

 

 

45,400

 

 

 

 

 

 

107,300

 

 

 

-

 

 

 

107,300

 

 

 

-

 

Derivative financial instruments (1)

 

Other long term liabilities

 

 

-

 

 

 

-

 

 

 

 

 

 

-

 

 

 

197

 

 

 

-

 

 

 

197

 

 

 

-

 

Total liabilities

 

 

 

$

45,400

 

 

$

-

 

 

$

45,400

 

 

$

-

 

 

$

108,623

 

 

$

-

 

 

$

108,623

 

 

$

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
(1)
Consists of an interest rate swap.
Schedule of Interest Rate Derivatives

The effect of the interest rate swap contract designated as cash flows hedging instrument on the condensed consolidated financial statements was as follows (in thousands):

 

 

 

Three Months Ended June 30,

 

 

Six Months Ended June 30,

 

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

 

Gain (losses) recognized in accumulated other comprehensive (loss) income

 

$

899

 

 

$

(194

)

 

$

4,142

 

 

$

705

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gains reclassified from accumulated other comprehensive (loss) income to interest expense

 

$

199

 

 

$

487

 

 

$

596

 

 

$

980

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Monte Carlo Model [Member]  
Significant Assumptions used in the Model to Determine Fair Value of Warrants

The fair value of the Public and 2020 PIPE Warrants are considered a Level 2 valuation and are determined using the Monte Carlo model. The significant assumptions which the Company used in the model are:

 

 

June 30, 2022

 

 

December 31, 2021

 

 

 

Public Warrants

 

 

2020 PIPE Warrants

 

 

Public Warrants

 

 

2020 PIPE Warrants

 

 Stock price

 

$

7.17

 

 

$

7.17

 

 

$

10.02

 

 

$

10.02

 

 Strike price

 

$

11.50

 

 

$

5.75

 

 

$

11.50

 

 

$

5.75

 

 Remaining life (in years)

 

 

1.72

 

 

 

2.95

 

 

 

2.22

 

 

 

3.45

 

 Volatility

 

 

59

%

 

 

59

%

 

 

68

%

 

 

68

%

 Interest rate

 

 

2.87

%

 

 

2.96

%

 

 

0.78

%

 

 

1.03

%

 Redemption price

 

$

18.00

 

 

$

14.50

 

 

$

18.00

 

 

$

14.50

 
Black-Sholes Model [Member]  
Significant Assumptions used in the Model to Determine Fair Value of Warrants

The fair value of the Sponsor Warrants is considered a Level 2 valuation and is determined using the Black-Sholes model. The significant assumptions which the Company used in the model are:

 

 

 

June 30, 2022

 

 

December 31, 2021

 

 Stock price

 

$

7.17

 

 

$

10.02

 

 Strike price

 

$

11.50

 

 

$

11.50

 

 Remaining life (in years)

 

 

1.72

 

 

 

2.22

 

 Volatility

 

 

59

%

 

 

68

%

 Interest rate

 

 

2.87

%

 

 

0.80

%

 Dividend yield

 

 

0.0

%

 

 

0.0

%