XML 36 R22.htm IDEA: XBRL DOCUMENT v3.22.1

Derivative Liabilities

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Liabilities

 Note 16 — Derivative Liabilities

During the year ended December 31, 2020, the Company recorded Level 3 derivative liabilities that were measured at fair value at issuance in the aggregate amount of $2.8 million related to the variable-share settlement features of certain convertible notes payable. During the year ended December 31, 2020, the Company modified the conversion terms of certain notes which resulted in the recognition of an additional $1.4 million of Level 3 derivative liabilities, with a corresponding debit to loss on extinguishment. See Note 15 — Convertible Promissory Notes included elsewhere in the notes to the consolidated financial statements.

On December 31, 2020, the Company recomputed the fair value of the variable-share settlement features recorded as derivative liabilities to be $7.1 million. The Company recorded a loss of $2.9 million on the change in fair value of these derivative liabilities during the year ended December 31, 2020. The variable-share settlement features were valued using a combination of a discounted cash flow and a Black-Scholes valuation technique. At issuance, the significant unobservable inputs used in the discounted cash flow were a discount rate of approximately 20% and a probability of a Public Transaction occurring of 56%. The Black-Scholes assumptions were as follows:

Volatility		40%
Risk-free interest rate		0.09% – 0.16%
Dividend yield		0.00%
Expected term (years)		0.75 – 1.75
Forfeiture rate		0.00%

As of December 31, 2020, the significant unobservable inputs used in the discounted cash flow were a discount rate of approximately 20% and a probability of a Public Transaction occurring of 90%. The Black-Scholes assumptions were as follows:

Volatility		40%
Risk-free interest rate		0.09% – 0.16%
Dividend yield		0.00%
Expected term (years)		0.66 – 1.75
Forfeiture rate		0.00%

X

- References

No definition available.

+ Details

Name:	us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-URI https://asc.fasb.org/topic&trid=2229140

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 40
-Section 50
-Paragraph 5
-Subparagraph (f)
-URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008

+ Details

Name:	us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration