Long-term Debt

3 Months Ended

Mar. 31, 2022

Convertible Note Payable - Related party

As previously reported, on July 6, 2021, the Company entered into an investment agreement (the “Investment Agreement”) with Spring Creek Capital, LLC, a wholly-owned, indirect subsidiary of Koch Industries providing for the issuance and sale to Koch Industries of convertible notes in the aggregate principal amount of $100,000 (“2021 Convertible Note”). The transactions contemplated by the Investment Agreement closed on July 7, 2021 (the “Issue Date”). The Maturity Date of the 2021 Convertible Note is June 30, 2026, subject to earlier conversion, redemption, or repurchase.

The Company estimated the fair value of the embedded conversion feature using a binomial lattice model at the inception and on subsequent valuation dates. This model incorporates inputs such as the stock price of the Company, dividend yield, risk-free interest rate, the effective debt yield and expected volatility. The effective debt yield and volatility involve unobservable inputs classified as Level 3 of the fair value hierarchy. Refer to Note 20 for definition of the fair value hierarchy. The assumptions used to determine the fair value of the embedded conversion feature as of December 31, 2021 and March 31, 2022 and are as follows:


	March 31, 2022		December 31, 2021
Term	4.25 years		4.5 years
Dividend yield	—	%	—	%
Risk-free interest rate	2.4	%	1.2	%
Volatility	65.0	%	60.0	%
Effective debt yield	20.5	%	19.0	%

As of March 31, 2022 and December 31, 2021, the fair value of the embedded conversion feature was $4,664 and $12,359, respectively. The Company recognized a gain of $7,695 attributable to the change in fair value of the embedded conversion feature for the three months ended March 31, 2022.

The following table summarizes interest expense recognized for the three months ended March 31, 2022:


	March 31, 2022
Contractual interest expense	$	1,544
Amortization of debt discount	543
Amortization of debt issuance costs	87
Total	$	2,174

The 2021 Convertible Note as of March 31, 2022 and December 31, 2021 was comprised of the following:


	March 31, 2022		December 31, 2021
Principal	$	102,900	$	102,900
Unamortized debt discount	(27,778)		(28,321)
Unamortized debt issuance costs	(2,703)		(2,790)
Embedded conversion feature	4,664		12,359
Aggregate carrying value	$	77,083	$	84,148

As of the date of this report, the Company intends to repay the contractual interest due on June 30, 2022 and December 30, 2022 in-kind and the remaining interest in cash. Therefore, as of March 31, 2022 and December 31, 2021, interest payable attributable to the 2021 Convertible Note of $1,544 and $— was recorded as interest payable -

related party as a long term liability on the condensed consolidated balance sheets. Long-term Debt

Long-term debt consists of the outstanding balances from the previously-reported $25,000 equipment financing facility with Trinity Capital Inc. ("Trinity"). As of March 31, 2022, the Company had drawn $7,000 from the equipment financing facility with an effective interest rate of 14.3%.

As of March 31, 2022 and December 31, 2021, total long-term debt was $5,982 and $6,371, with $1,703 and $1,644 of the principal recorded as a current liability on the condensed consolidated balance sheets, respectively. For the three months ended March 31, 2022, the Company recognized $219 as interest expense attributable to the equipment financing agreement. As of March 31, 2022, the unused commitment from the equipment financing facility was $18,000.