Derivatives (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Terms and Assumptions in Valuation of Convertible Option of Notes

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

	12/31/2019			3/31/2020			5/28/2020
Issuance date	10/31/2019			10/31/2019			10/31/2019
Maturity date	5/1/2023			5/1/2023			5/1/2023
Term (years)	3.33			3.08			2.92
Principal	$	34,405		$	34,405		$	34,405
Seniority	Senior unsecured			Senior unsecured			Senior unsecured
Conversion price	$	7.20		$	7.20		$	7.20
Stock price	$	4.30		$	2.80		$	4.03
Risk free rate	1.6		%	0.3		%	0.2		%
Volatility	47.3		%	55.0		%	62.5		%

The terms and assumptions used to determine the fair value of the Warrants were as follows:

Measurement Date	4/6/2020			5/28/2020
Stock Price	$	2.70		$	4.03
Expected Life in Years	5.00			4.86
Annualized Volatility	77.6		%	79.0		%
Discount Rate- Bond Equivalent Yield	0.4		%	0.3		%

Schedule of Liabilities Measured and Recognized at Fair Value on a Recurring Basis

The following table presented the Company’s derivative liabilities that were 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 June 30, 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)		June 30, 2020
Derivative liability related to Series B Convertible Notes	—	—	$	6,776	$	6,776	—	$	—	$	—	$	—
Derivative liabilities related to the Senior Credit Facilities	—	—	—		—		—	—		5,571		5,571
Derivative liabilities related to Warrants	—	—	$	—	$	—	—	$	—	$	—	$	—
Derivative liabilities as of June 30, 2020	—	—	$	6,776	$	6,776	—	$	—	$	5,571	$	5,571

Schedule of Change in Fair Value of Level 3 Liabilities

The following table set forth a summary of changes in the fair value of the Company’s Level 3 liabilities for the three months ended March 31, 2020, and June 30, 2020, respectively. Any unrealized gains or losses on the derivative liabilities were recorded as non-operating income or expense in the Company’s statement of operations.

Descriptions	Balance as of 12/31/2019		(Gain) or loss recognized in earnings from Change in Fair Value		Balance as of 3/31/2020		Initial Measurement		Loss recognized in earnings from Change in Fair Value		Reclassification to stockholder's equity		Balance as of 6/30/2020
Fair value of convertible feature of Series B Convertible Notes	$	6,776	$	(3,995)	$	2,781	$	—	$	3,513	$	(6,294)	$	—
Fair value of the derivative liabilities related to the Senior Credit Facilities	—		5,253		5,253		—		318		—		5,571
Derivative liabilities related to Warrants	—		—		—		1,406		760		(2,166)		—
Changes in the fair value of derivative liabilities for the quarter ended June 30, 2020	$	6,776	$	1,258	$	8,034	$	1,406	$	4,591	$	(8,460)	$	5,571