Fair Value (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value

Schedule of financial assets and liabilities carried at fair value and measured at fair value on a recurring basis:

	June 30, 2021
	Quoted Prices in		Significant		Significant
	Active Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
	(Level 1)		(Level 2)		(Level 3)
Interest rate swap asset	$	—	$	134	$	—
Interest rate swap liabilities	$	—	$	5,937	$	—
Common stock warrant liability	$	—	$	—	$	10,165
Contingent value rights liability	$	—	$	—	$	—

	Dec. 31, 2020
	Quoted Prices in		Significant		Significant
	Active Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
	(Level 1)		(Level 2)		(Level 3)
Interest rate swap liabilities	$	—	$	8,766	$	—
Common stock warrant liability	$	—	$	—	$	8,790
Contingent value rights liability	$	—	$	—	$	656

Summary of the weighted-average significant unobservable inputs used in determining fair value of the warrant liability

The fair value of the Warrant liability was estimated using the Cox-Ross-Rubenstein option-pricing model. A summary of the weighted-average significant unobservable inputs (Level 3 inputs) used in determining fair value of the Warrant liability is as follows:

		Warrant Liability
Expected volatility		46.63	%
Risk free interest rate		0.28	%
Expected term (in years)		2.15
Annual dividend yield		0.93	%
		Fair Value of Derivative Warrant Liability
Fair value at December 31, 2020	$	8,790
Change in fair value		1,375
Fair value at June 30, 2021	$	10,165

Although the fair value of the Warrant was $10,165 as of June 30, 2021, the maximum amount that INDUS would be required to pay if the Warrant were to be settled in cash is $2,018. On August 24, 2021, the cash settlement feature of the Warrant liability terminates and the fair value of the Warrant liability on that date will be reclassified to equity on INDUS’s consolidated balance sheet.

The fair value of the CVR liability (see Note 9) was estimated using a Monte Carlo simulation valuation methodology. A summary of the weighted-average significant unobservable inputs (Level 3 inputs) used in determining fair value of the CVR liability is as follows:

		Contingent Value Rights Liability
Expected volatility		24.15	%
Risk free interest rate		0.05	%
Expected term (in years)		0.15
Annual dividend yield		—	%
		Fair Value of Contingent Value Rights Liability
Fair value at December 31, 2020	$	656
Change in fair value		(656)
Fair value at June 30, 2021	$	—