Debt (Tables)

3 Months Ended

Mar. 31, 2021

Terms and Assumptions in Valuation of Convertible Option of Notes

The terms and assumptions used to determine the fair value of the Warrants were as follows:


Measurement Date	July 20, 2020
Stock Price	$2.45
Expected Life in Years	5.00
Annualized Volatility	79.5	%
Discount Rate - Bond Equivalent Yield	0.3	%

The terms and assumptions used in connection with the valuation of the convertible option of the 2023 Series B Notes were as follows:


	12/31/2019			3/31/2020			5/28/2020
Issuance date	10/31/2019			10/31/2019			10/31/2019
Maturity date	5/1/2023			5/1/2023			5/1/2023
Term (years)	3.33			3.08			2.92
Principal	$	34,405		$	34,405		$	34,405

Seniority	Senior unsecured			Senior unsecured			Senior unsecured
Conversion price	$	7.20		$	7.20		$	7.20

Stock price	$	4.30		$	2.80		$	4.03
Risk free rate	1.6		%	0.3		%	0.2		%

Volatility	47.3		%	55.0		%	62.5		%

The terms and assumptions used to determine the fair value of the Warrants were as follows:


Measurement Date	4/6/2020			5/28/2020
Stock Price	$	2.70		$	4.03
Expected Life in Years	5.00			4.86
Annualized Volatility	77.6		%	79.0		%
Discount Rate- Bond Equivalent Yield	0.4		%	0.3		%

Convertible Debt

At March 31, 2021 and December 31, 2020, the net carrying value of the debt and the remaining unamortized debt discount and issuance costs are as follows:



	March 31, 2021		December 31, 2020


Face amount of the 2023 Series C Notes (due March 2023)	$	—	$	50,323
Face amount of the 2023 Series D Notes (due May 2023)	277		3,352
Face amount of the Revolver Credit Facility (due December 2022)	25,000		25,000
Face amount of the 2023 Loan (due February 2023)	83,515		102,905
Total carrying value	108,792		181,580
Less unamortized discounts and debt issuance costs	(2,957)		(21,778)
Deferred gain on the 2023 Term Loan (due February 2023)	8,312		—
Deferred gain of the 2023 Series D Notes (due May 2023)	20		2,444
Total net carrying value	$	114,167	$	162,246