Fair Value (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value

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

	Sep. 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	$	—	$	156	$	—
Interest rate swap liabilities	$	—	$	5,335	$	—

	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 Warrant’s fair value 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 as of August 24, 2021, is as follows:

		Warrant Liability
Expected volatility		46.24	%
Risk free interest rate		0.23	%
Expected term (in years)		2.00
Annual dividend yield		0.89	%
		Fair Value of Derivative Warrant Liability
Fair value at December 31, 2020	$	8,790
Change in fair value December 31, 2020 through August 24, 2021		3,402
Reclassification to equity at August 24, 2021	$	12,192