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Fair Value Measurements
 12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Disclosures [Text Block]

Note 16 — Fair Value Measurements

 

The following tables summarize the Company’s financial liabilities measured at fair value on a recurring basis as of December 31, 2021 and 2020 (in thousands):

 

   

Carrying Amount as of

    

Fair Value Measurements

As of December 31, 2021

  
   

December 31, 2021

    

Level 1

    

Level 2

    

Level 3

  

Preferred stock derivative liability

   $ 21,282     $ —     $ —     $ 21,282  

 

   

Carrying Amount as of

    

Fair Value Measurements

As of December 31, 2020

  
   

December 31, 2020

    

Level 1

    

Level 2

    

Level 3

  

3.25% convertible senior notes due in 2023

   $ 34,134     $ —     $ —     $ 34,134  

Preferred stock derivative liability

     8,062       —       —       8,062  

 

The following table provides a reconciliation of the beginning and ending balances of liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) (in thousands):

 

3.25% convertible senior notes due 2023

                
   

2021

    

2020

  

Balance at January 1,

   $ 34,134     $ 50,753  

Conversion of convertible senior notes

     (50,760 )     (20,212 )

Change in fair value

     16,419       2,265  

PIK interest

     207       1,328  

Balance at December 31,

   $ —     $ 34,134  

 

Preferred stock derivative liability

                
   

2021

    

2020

  

Balance at January 1,

   $ 8,062     $ 5,247  

Change in fair value

     13,220       2,815  

Balance at December 31,

   $ 21,282     $ 8,062  

 

The Company’s derivative liability is classified within Level 3 of the fair value hierarchy because unobservable inputs were used in estimating the fair value. The fair value of the redemption provision embedded in the Series A Preferred Stock is estimated based on a discounted cash flow model and probability assumptions based on management’s estimates of a change of control event occurring. In subsequent periods, the derivative liability is accounted for at fair value, with changes in fair value recognized as other income (expense) on the Company's consolidated statements of operations.

 

The Company has elected the fair value option of measurement for the 3.25% 2023 Notes, under ASC 815, Derivatives and Hedging. As a result, these notes are re-measured each reporting period using Level 3 inputs (Monte Carlo simulation model and inputs for stock price, risk-free rate and volatility), with changes in fair value reflected in current period earnings in its consolidated statements of operations.

 

The fair value of the Series A Preferred Stock derivative liability is calculated using unobservable inputs (Level 3 fair measurements). The value of the redemption provision explicitly considered the present value of the potential premium that would be paid related to, and the probability of, an event that would trigger its payment. The probability of a triggering event was based on management’s estimates of the probability of a change of control event occurring.

 

The Company’s accounts receivable, accounts payable and accrued expenses represent financial instruments. The carrying value of these financial instruments is a reasonable approximation of fair value due to the short-term nature of the instruments.