Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.24.3
FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Amortized Cost and Fair Value of Debt and Stock Due to Affiliate
The table below sets forth the amortized cost and fair value of the Company’s Senior Secured Term Loan as of September 30, 2024 and December 31, 2023 and Mandatorily Redeemable Preferred Stock Due to Affiliate as of December 31, 2023. The fair value of this debt is not indicative of the amounts at which the Company could settle this debt.

(in thousands)
Financial Instruments Disclosed at Fair Value Level 2 Measurement September 30, 2024 December 31, 2023
Senior Secured Term Loan Amortized cost $ 179,411  $ 180,042 
Fair value $ 173,897  $ 174,812 
Mandatorily Redeemable Preferred Stock Due to Affiliate (1)
Amortized cost N/A $ 141,594 
Fair value N/A $ 141,398 

(1) Refer to the foregoing discussion regarding the change in valuation method.

The table below sets forth the amortized cost and fair value of the Backstop Notes as of September 30, 2024 and December 31, 2023 and the Mandatorily Redeemable Preferred Stock Due to Affiliate as of September 30, 2024. The fair value of this debt is not indicative of the amounts at which the Company could settle this debt.

(in thousands)
Financial Instrument Disclosed at Fair Value Level 3 Measurement September 30, 2024 December 31, 2023
Backstop Notes Amortized cost $ 118,199  $ 117,916 
Fair value $ 93,272  $ 91,204 
Mandatorily Redeemable Preferred Stock Due to Affiliate (1)
Amortized cost $ 142,491  N/A
Fair value $ 136,742  N/A

(1) Refer to the foregoing discussion regarding the change in valuation method.
Schedule of Significant Level 3 Measurement Inputs
The table below sets forth information regarding the Company’s significant Level 3 inputs as of September 30, 2024, and December 31, 2023:

($ in thousands, except as otherwise noted)
Significant Inputs for Level 3 Fair Value Disclosure Input September 30, 2024 December 31, 2023
Backstop Notes Principal amount $120,000 $120,000
Term to maturity date 4.00 years 4.75 years
Stock price $2.26 $4.90
Credit spreads (basis points) 938 895
Selected equity volatility 100.9% 98.7%
Mandatorily Redeemable Preferred Stock Due to Affiliate Notional amount $171,050 N/A
Term of lattice model 9.13 years N/A
Stock price $2.26 N/A
Credit spreads (basis points) 1,207 N/A
Selected equity volatility 109.2% N/A