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Fair Value Measurements

12 Months Ended

Dec. 31, 2022

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, 2022 and 2021 (in thousands):

						Fair Value Measurements
		Carrying Amount as of				As of December 31, 2022
		December 31, 2022				Level 1				Level 2				Level 3
Preferred stock derivative liability		$	21,918			$	—			$	—			$	21,918

						Fair Value Measurements
		Carrying Amount as of				As of December 31, 2021
		December 31, 2021				Level 1				Level 2				Level 3
Preferred stock derivative liability		$	21,282			$	—			$	—			$	21,282

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
		2022				2021
Balance at January 1,		$	—			$	34,134
Conversion of convertible senior notes			—				(50,760	)
Change in fair value			—				16,419
Payment in-kind			—				207
Balance at December 31,		$	—			$	—

Preferred stock derivative liability
		2022				2021
Balance at January 1,		$	21,282			$	8,062
Change in fair value			636				13,220
Balance at December 31,		$	21,918			$	21,282

The Company had 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 Company’s Series A Preferred 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. 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. 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 following table provides quantitative information of liabilities measured at fair value and the significant unobservable inputs (Level 3), the range of the significant unobservable inputs, and the valuation techniques.

		Fair Value As of December 31, 2022			Valuation Technique		Unobservable Inputs		Range (Weighted Average)
		(In thousands)
Preferred Stock Derivative Liability		$	21,918		Discounted Cash Flow		Change-in-control probability assumptions		Range: 10% to 40% (27.3%)
							Timing of change-in-control assumptions		Range: 1 to 10 years (4.19 years)
							Discount Rate		Range: 17.48% to 18.23% (17.70%)
							Implied yield*		11.23%*

		Fair Value As of December 31, 2021			Valuation Technique		Unobservable Inputs		Range (Weighted Average)
		(In thousands)
Preferred Stock Derivative Liability		$	21,282		Discounted Cash Flow		Change-in-control probability assumptions		Range: 5% to 45% (30.7%)
							Timing of change-in-control assumptions		Range: 1 to 10 years (3.67 years)
							Discount Rate		Range: 13.71% to 19.46% (15.16%)
							Implied yield*		7.96%*

*Represents the implied yield of the 2021 BSP Term Loan

The Company’s cash and cash equivalents including restricted cash, 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.

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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