Amergent Hospitality Group, Inc. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

DERIVATIVE LIABILITIES (Tables)

DERIVATIVE LIABILITIES (Tables)

12 Months Ended

Dec. 31, 2021

SUMMARY OF CHANGES IN FAIR VALUE DERIVATIVE LIABILITIES

The table presented below is a summary of changes in the fair market value of the Company’s Level 3 valuations for the years ended December 31, 2021 and 2020.

(in thousands)	True-Up Payment			Warrants			Debt Conversion Feature			Total
Balance at January 1, 2020	$	—		$	—		$	—		$	—
Inception of the instrument		529			935			11,231			12,695
Change in fair value during the period		(344	)		(11	)		(261	)		(616	)
Instruments no longer meeting liability classification		—			(924	)		(10,970	)		(11,894	)
Balance at December 31, 2020		185			—			—			185
Change in fair value during the period		(119	)		—			—			(119	)
Settlement of derivative liability		(66	)		—			—			(66	)
Balance at December 31, 2021	$	—		$	—		$	—		$	—

SUMMARY OF CHANGES IN FAIR VALUE WARRANTS

Assumptions used in calculating the fair value of the warrants at the issuance date and as of August 16, 2020 include the following:

As of April 1, 2020
Stock price per share	$	0.34
Term		10.0 years
Expected volatility		102	%
Dividend yield		—	%
Risk-free interest rate		0.62	%

Amergent Hospitality Group, Inc. and Subsidiaries

Notes to the Consolidated and Combined Financial Statements

As of August 16, 2020
Stock price per share	$	0.34
Term		9.63 years
Expected volatility		102	%
Dividend yield		—	%
Risk-free interest rate		0.51	%

SUMMARY OF CHANGES IN FAIR VALUE CONVERTIBLE NOTES

Assumptions used in calculating the fair value of the convertible notes at the issuance date and as of August 16, 2020 include the following (amounts in thousands except conversion price data):

As of April 1, 2020
Face value	$	4,038
Term		2.0 years
Expected volatility		120	%
Risk-free interest rate		0.23	%
Coupon		10.00	%
Conversion price	$	0.10
Credit spread		15.0	%

As of August 16, 2020
Face value	$	4,038
Term		1.63 years
Expected volatility		127	%
Risk-free interest rate		0.23	%
Coupon		10.00	%
Conversion price	$	0.10
Credit spread		15.0	%

SCHEDULE OF ASSUMPTIONS USED IN CALCULATING THE FAIR VALUE OF MAKE-WHOLE PROVISION AT ISSUANCE DATE

Assumptions used in calculating the fair value of the True-Up Payment provision at the issuance date and as of December 31, 2020 include the following:

Issuance Date
Term	0.5 years
Expected volatility	83	%
Dividend yield	—	%
Risk-free interest rate	1.56	%

Amergent Hospitality Group, Inc. and Subsidiaries

Notes to the Consolidated and Combined Financial Statements

December 31, 2020
Term	0.25 years
Expected volatility	89	%
Dividend yield	—	%
Risk-free interest rate	0.09	%