Fair Value Measurements (Tables)
|
9 Months Ended |
Sep. 30, 2024 |
|---|
| Fair Value Measurements |
|
| Summary of Information About The Company's Financial Instruments That Were Measured At Fair Value On A Recurring Basis |
The following tables set forth the fair value of the Company’s financial instruments that were measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2024 |
|
|
|
(unaudited) |
|
(in thousands) |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Iliad |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
4,812 |
|
|
$ |
|
4,812 |
|
Uptown |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
8,854 |
|
|
|
|
8,854 |
|
Streeterville 2 |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
7,994 |
|
|
|
|
7,994 |
|
Streeterville Note |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
11,131 |
|
|
|
|
11,131 |
|
Total fair value |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
32,791 |
|
|
$ |
|
32,791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2023 |
|
(in thousands) |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Iliad |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
6,862 |
|
|
$ |
|
6,862 |
|
Uptown |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
7,473 |
|
|
|
|
7,473 |
|
Streeterville 2 |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
6,815 |
|
|
|
|
6,815 |
|
Streeterville Note |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
9,793 |
|
|
|
|
9,793 |
|
Total fair value |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
30,943 |
|
|
$ |
|
30,943 |
|
|
| Summary of Change In The Estimated Fair Value Of Level 3 Liabilities |
The change in the estimated fair value of Level 3 liabilities is summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended |
|
|
|
September 30, 2024 |
|
|
|
(unaudited) |
|
(in thousands) |
|
Iliad |
|
|
Uptown |
|
|
Streeterville 2 |
|
|
Streeterville Note |
|
Beginning fair value of Level 3 liability |
|
$ |
|
6,862 |
|
|
$ |
|
7,473 |
|
|
$ |
|
6,815 |
|
|
$ |
|
9,793 |
|
Additions |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
Exchanges |
|
|
|
(4,906 |
) |
|
|
|
— |
|
|
|
|
(166 |
) |
|
|
|
— |
|
Settlements |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
Change in fair value |
|
|
|
2,856 |
|
|
|
|
1,381 |
|
|
|
|
1,345 |
|
|
|
|
1,338 |
|
Ending fair value of Level 3 liability |
|
$ |
|
4,812 |
|
|
$ |
|
8,854 |
|
|
$ |
|
7,994 |
|
|
$ |
|
11,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended |
|
|
|
December 31,
2023 |
|
(in thousands) |
|
Iliad |
|
|
Uptown |
|
|
Streeterville 2 |
|
|
Streeterville Note |
|
Beginning fair value of Level 3 liability |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
7,839 |
|
Additions |
|
|
|
6,580 |
|
|
|
|
7,478 |
|
|
|
|
6,154 |
|
|
|
|
— |
|
Exchanges |
|
|
|
(789 |
) |
|
|
|
(1,444 |
) |
|
|
|
— |
|
|
|
|
— |
|
Change in fair value |
|
|
|
1,071 |
|
|
|
|
1,439 |
|
|
|
|
661 |
|
|
|
|
1,954 |
|
Ending fair value of Level 3 liability |
|
$ |
|
6,862 |
|
|
$ |
|
7,473 |
|
|
$ |
|
6,815 |
|
|
$ |
|
9,793 |
|
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements |
The following table summarizes the quantitative information about the significant unobservable inputs used in Level 3 fair value measurement for the Streeterville Note:
|
|
|
|
|
|
|
|
|
Range of Inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable Inputs |
|
2024 |
2023 |
to fair value |
Risk Adjusted Discount Rate |
|
8.0%-26.09% (26.09%) |
|
9.02%-24.59% (24.59%) |
|
If the discount rate is adjusted to a total of additional 100 basis points (bps), the fair value would have decreased by $427,000.
If the discount rate is adjusted to a total deduction of 100 bps, the fair value would have increased by $427,000. |
Sales Proceeds: Amount of comparable TDPRV |
|
$67.5 million to $350 million ($100 million) |
|
$67.5 million to $350 million ($100 million) |
|
If expected cash flows by Management were considered the highest amount of market indications for vouchers, FV would have decreased by $1.53 million.
If expected cash flows by Management were considered the lowest amount of market indications for vouchers, FV would have increased by $11.87 million. |
Range of Probability for Timing of Cash Flows:
Variations of the terms and conditions of the timing of cash flows, including settlement of the note principal, interest, penalties, and acceleration clause |
|
0.00%-14.25% |
|
0.10%-73.27% |
|
If expected cash flows by management were considered the scenario with the least indicated value, FV would have decreased by $6.39 million.
If expected cash flows by Management considered the scenario with the most significant amount of indicated value, FV would have increased by $0.01 million. |
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements For Instruments Not Classified As Hybrid Instruments |
The following table summarizes the quantitative information about the significant unobservable inputs used in Level 3 fair value measurement for the remaining instruments that are not classified as hybrid instruments:
|
|
|
|
|
|
|
|
|
Range of Inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable Inputs |
|
2024 |
2023 |
to fair value |
Risk Adjusted Discount Rate |
|
8.0%-26.09% (26.09%) |
|
9.02%-26.59% (26.59%) |
|
If the discount rate is adjusted to a total of an additional 100 basis points (bps), the fair value would have decreased by $419,000.
If the discount rate is adjusted to a total deduction of 100 bps, the fair value would have increased by $429,000. |
|
| Summary of The Fair Value And Unpaid Principal Balance For Items The Company Accounts For Under FVO |
The following tables summarize the fair value and outstanding balance for items the Company accounts for under FVO:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
Fair value |
|
|
Unpaid Principal Balance |
|
|
Accrued Interest |
|
|
Fair Value Over (Under) Outstanding Balance |
|
At September 30, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Iliad |
|
$ |
|
4,812 |
|
|
$ |
|
2,243 |
|
|
$ |
|
6,787 |
|
|
$ |
|
(4,218 |
) |
Uptown |
|
|
|
8,854 |
|
|
|
|
7,994 |
|
|
|
|
5,011 |
|
|
|
|
(4,151 |
) |
Streeterville 2 |
|
|
|
7,994 |
|
|
|
|
10,094 |
|
|
|
|
2,910 |
|
|
|
|
(5,010 |
) |
Streeterville Note |
|
|
|
11,131 |
|
|
|
|
6,000 |
|
|
|
|
760 |
|
|
|
|
4,371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
Fair value |
|
|
Unpaid Principal Balance |
|
|
Accrued Interest |
|
|
Fair Value Over (Under) Outstanding Balance |
|
At December 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Iliad |
|
$ |
|
6,862 |
|
|
$ |
|
7,292 |
|
|
$ |
|
3,621 |
|
|
$ |
|
(4,051 |
) |
Uptown |
|
|
|
7,473 |
|
|
|
|
7,994 |
|
|
|
|
4,058 |
|
|
|
|
(4,579 |
) |
Streeterville 2 |
|
|
|
6,815 |
|
|
|
|
10,273 |
|
|
|
|
950 |
|
|
|
|
(4,408 |
) |
Streeterville Note |
|
|
|
9,793 |
|
|
|
|
6,000 |
|
|
|
|
546 |
|
|
|
|
3,247 |
|
|