XML 39 R29.htm IDEA: XBRL DOCUMENT v3.23.1
FAIR VALUE MEASUREMENTS AND DERIVATIVES (Tables)
 3 Months Ended
Mar. 31, 2023
Summary of Carrying Amounts and Estimated Fair Values of the Company's 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):

 

 

March 31, 2023

 

 

December 31, 2022

 

 

 

Carrying Value

 

 

Estimated Fair Value

 

 

Carrying Value

 

 

Estimated Fair Value

 

Cash

 

$

22,799

 

 

$

22,799

 

 

$

32,064

 

 

$

32,064

 

Restricted cash

 

 

1,198

 

 

 

1,198

 

 

 

1,198

 

 

 

1,198

 

Total cash

 

$

23,997

 

 

$

23,997

 

 

$

33,262

 

 

$

33,262

 

First lien term loan facility

 

$

200,160

 

 

$

191,500

 

 

$

200,681

 

 

$

192,770

 

Second lien term loan facility

 

 

5,000

 

 

 

4,630

 

 

 

15,000

 

 

 

14,500

 

Total debt (a)

 

$

205,160

 

 

$

196,130

 

 

$

215,681

 

 

$

207,270

 
(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 March 31, 2023

 

 

Fair Value Measurements at December 31, 2022

 

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

 

$

2,974

 

 

$

-

 

 

$

2,974

 

 

$

-

 

 

$

3,117

 

 

$

-

 

 

$

3,117

 

 

$

-

 

Derivative financial instruments (1)

 

Other non-current assets

 

$

1,082

 

 

 

-

 

 

 

1,082

 

 

 

-

 

 

 

1,909

 

 

 

-

 

 

 

1,909

 

 

 

-

 

Total assets

 

 

 

$

4,056

 

 

$

-

 

 

$

4,056

 

 

$

-

 

 

$

5,026

 

 

$

-

 

 

$

5,026

 

 

$

-

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants

 

Warrant liabilities

 

 

74,800

 

 

 

-

 

 

 

74,800

 

 

 

-

 

 

 

52,900

 

 

 

-

 

 

 

52,900

 

 

 

-

 

Total liabilities

 

 

 

$

74,800

 

 

$

-

 

 

$

74,800

 

 

$

-

 

 

$

52,900

 

 

$

-

 

 

$

52,900

 

 

$

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
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 March 31,

 

 

 

 

2023

 

 

2022

 

 

(Losses) gain recognized in accumulated other comprehensive income (loss)

 

$

(232

)

 

$

3,243

 

 

 

 

 

 

 

 

 

 

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

 

$

(739

)

 

$

397

 

 

 

 

 

 

 

 

 

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

The fair value of the Public Warrants and 2020 PIPE Warrants are considered a Level 2 valuation and are determined using the Monte Carlo model. In March 2023, the Company entered into Exchange Agreements with certain holders of its Public Warrants (See Note 5). Certain assumptions were used to determine the fair value of the Public Warrants to be Exchanged ("Public Warrants to be Exchanged"). The significant assumptions which the Company used in the model are:

 

 

March 31, 2023

 

 

December 31, 2022

 

 

 

Public Warrants to Be Exchanged

 

Public Warrants

 

 

2020 PIPE Warrants

 

 

Public Warrants

 

 

2020 PIPE Warrants

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Stock price

 

$

11.99

 

$

11.99

 

 

$

11.99

 

 

$

9.33

 

 

$

9.33

 

 Strike price

 

$

-

 

$

11.50

 

 

$

5.75

 

 

$

11.50

 

 

$

5.75

 

 Remaining life (in years)

 

 

0.06

 

 

0.97

 

 

 

2.20

 

 

 

1.22

 

 

 

2.45

 

 Volatility

 

 

19

%

 

40

%

 

 

45

%

 

 

44

%

 

 

44

%

 Interest rate

 

 

4.68

%

 

4.60

%

 

 

3.97

%

 

 

4.61

%

 

 

4.28

%

 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. In March 2023, the Company entered into Exchange Agreements with certain holders of its Sponsor Warrants (See Note 5). Certain assumptions were used to determine the fair value of the Sponsor Warrants to be Exchanged ("Sponsor Warrants to be exchanged"). The significant assumptions which the Company used in the model are:

 

 

 

March 31, 2023

 

 

December 31, 2022

 

 

 

Sponsor Warrants to Be Exchanged

 

Sponsor Warrants

 

 

Sponsor Warrants

 

 Stock price

 

$

11.99

 

$

11.99

 

 

$

9.33

 

 Strike price

 

$

-

 

$

11.50

 

 

$

11.50

 

 Remaining life (in years)

 

0.06

 

 

0.97

 

 

 

1.22

 

 Volatility

 

18.80%

 

 

40

%

 

 

44

%

 Interest rate

 

4.68%

 

 

4.60

%

 

 

4.61

%

 Dividend yield

 

0.0%

 

 

0.0

%

 

 

0.0

%