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FAIR VALUE MEASUREMENTS AND DERIVATIVES (Tables)
 9 Months Ended
Sep. 30, 2021
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 long-term debt were as follows (in thousands):

 

 

September 30, 2021

 

 

December 31, 2020

 

 

 

Carrying Value

 

 

Estimated Fair Value

 

 

Carrying Value

 

 

Estimated Fair Value

 

First lien term loan facility

 

$

202,457

 

 

$

200,930

 

 

$

202,457

 

 

$

188,560

 

Second lien term loan facility

 

 

25,000

 

 

 

24,490

 

 

 

25,000

 

 

 

20,950

 

First lien revolving facility

 

 

7,000

 

 

 

6,930

 

 

 

7,000

 

 

 

6,680

 

Total debt (a)

 

$

234,457

 

 

$

232,350

 

 

$

234,457

 

 

$

216,190

 

 

(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 September 30, 2021

 

 

Fair Value Measurements at December 31, 2020

 

Description

 

Balance Sheet Location

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative financial instruments (1)

 

Other current liabilities

 

$

1,562

 

 

$

-

 

 

$

1,562

 

 

$

-

 

 

$

1,796

 

 

$

-

 

 

$

1,796

 

 

$

-

 

Warrants

 

Warrant liabilities

 

 

104,200

 

 

 

-

 

 

 

104,200

 

 

 

 

 

 

 

104,700

 

 

 

-

 

 

 

104,700

 

 

 

-

 

Derivative financial instruments (1)

 

Other long term liabilities

 

 

1,268

 

 

 

-

 

 

 

1,268

 

 

 

-

 

 

 

3,119

 

 

 

-

 

 

 

3,119

 

 

 

-

 

Total liabilities

 

 

 

$

107,030

 

 

$

-

 

 

$

107,030

 

 

$

-

 

 

$

109,615

 

 

$

-

 

 

$

109,615

 

 

$

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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 September 30,

 

 

Nine Months Ended September 30,

 

 

 

 

2021

 

 

2020

 

 

2021

 

 

2020

 

 

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

 

$

(75

)

 

$

(126

)

 

$

629

 

 

$

(7,179

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

475

 

 

$

519

 

 

$

1,456

 

 

$

888

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
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. The significant assumptions which the Company used in the model are:

 

 

September 30, 2021

 

 

December 31, 2020

 

 

 

Public Warrants

 

 

2020 PIPE Warrants

 

 

Public Warrants

 

 

2020 PIPE Warrants

 

Stock price

 

$

9.97

 

 

$

9.97

 

 

$

10.14

 

 

$

10.14

 

Strike price

 

$

11.50

 

 

$

5.75

 

 

$

11.50

 

 

$

5.75

 

Remaining life (in years)

 

 

2.47

 

 

 

3.70

 

 

 

3.22

 

 

4.45

 

Volatility

 

 

63.0

%

 

 

63.0

%

 

 

54.0

%

 

 

54.0

%

Interest rate

 

 

0.4

%

 

 

0.7

%

 

 

0.2

%

 

 

0.3

%

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:

 

 

 

September 30, 2021

 

 

December 31, 2020

 

Stock price

 

$

9.97

 

 

$

10.14

 

Strike price

 

$

11.50

 

 

$

11.50

 

Remaining life (in years)

 

 

2.47

 

 

 

3.22

 

Volatility

 

 

63.0

%

 

 

54.0

%

Interest rate

 

 

0.4

%

 

 

0.2

%

Dividend yield

 

 

0.0

%

 

 

0.0

%