XML 11 R16.htm IDEA: XBRL DOCUMENT v3.20.1
Derivatives
 3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives Derivatives
The Company accounts for its derivative instruments in accordance with ASC 815-10, “Derivatives and Hedging”. ASC 815-10 establishes accounting and reporting standards requiring that derivative instruments, including derivative instruments embedded in other contracts, be recorded on the balance sheet as either an asset or liability measured at its fair value. ASC 815-10 also requires that changes in the fair value of derivative instruments be recognized currently in results of operations unless specific hedge accounting criteria are met.

The Company has not entered into hedging activities to date. The Company's derivative liability at March 31, 2020 included the embedded convertible option of its 2023 Series B Notes issued on October 31, 2019, which was recorded as a liability at fair value upon its issuance and was revalued at each reporting date, with the change in the fair value of the instruments included in the change in the derivative liabilities line on the condensed consolidated statements of operations.

The terms and assumptions used in connection with the valuation of the convertible option of the 2023 Series B Notes were as follows:

12/31/20193/31/2020
Issuance date10/31/201910/31/2019
Maturity date5/1/20235/1/2023
Term (years)3.333.08
Principal$34,405  $34,405  
SenioritySenior unsecuredSenior unsecured
Conversion price$0.72  $0.72  
Stock price$0.43  $0.28  
Risk free rate1.6 %0.3 %
Volatility47.3 %55.0 %

During the first quarter of 2020, the Company recorded a derivative liability of $5.3 million associated with certain mandatory prepayment penalties and the recognition of future interest payments in the anticipation of a potential future default on its Senior Credit Facilities.

The following table presents the Company’s liabilities that are measured and recognized at fair value on a recurring basis classified under the appropriate level of the fair value hierarchy as of December 31, 2019 and March 31, 2020, respectively.
Quoted Prices
in Active markets for
Identical Assets
and Liabilities		Significant
Other
Observable
Inputs		Significant
Unobservable
Inputs		Balance
as of 		Quoted Prices
in Active markets for
Identical Assets
and Liabilities		Significant
Other
Observable
Inputs		Significant
Unobservable
Inputs		Balance
as of
Descriptions(Level 1)(Level 2)(Level 3)December 31, 2019(Level 1)(Level 2)(Level 3)March 31, 2020
Derivative liability related to Series B Convertible Notes—  —  $6,776  $6,776  —  —  $2,781  $2,781  
Derivative liabilities related to the Senior Credit Facilities—  —  —  —  —  —  5,253  5,253  
Derivative liabilities as of March 31, 2020—  —  $6,776  $6,776  —  —  $8,034  $8,034  
The following table sets forth a summary of changes in the fair value of the Company’s Level 3 liabilities for the three months ended March 31, 2020. Any unrealized gains or losses on the derivative liabilities are recorded as non-operating income or expense in the Company’s statement of operations.


DescriptionsBalance as of
12/31/2019		(Gain) or loss recognized in earnings
from Change in Fair Value		Balance as of
3/31/2020
Fair value of convertible feature of Series B Convertible Notes$6,776  (3,995) $2,781  
Fair value of the derivative liabilities related to the Senior Credit Facilities—  5,253  5,253  
Change in the fair value of derivative liabilities for the quarter ended March 31, 2020$6,776  1,258  $8,034