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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of Black Scholes model for the Private Warrants

To estimate the fair value of the Private Warrants as of December 31, 2021 and September 30, 2022, the Company used a Black Scholes closed form model, which is a Level 3 fair value measurement. Significant inputs used in the Black Scholes model for the Private Warrants were as follows:

 

 

 

December 31, 2021
&
September 30, 2022

 

 

 

 

 

Expected volatility

 

 

27.00

%

Expected term (in years)

 

 

2.94

 

Risk free interest rate

 

 

0.96

%

Dividend yield

 

 

0.00

%

Exercise Price

 

$

11.50

 

Fair value of Common Stock

 

$

6.80

 

The following table summarizes the assumptions used in the valuation models to determine the fair value of awards granted to employees and non-employee directors under the 2019 Plan:

 

 

 

 

Nine Months Ended September 30, 2022

 

 

Nine Months Ended September 30, 2021

 

Expected volatility

 

42.78% - 42.90%

 

 

44.06% - 44.61%

 

Expected term (in years)

 

 

6.00

 

 

 

6.00

 

Dividend yield

 

0.00%

 

 

0.00%

 

Risk-free interest rate

 

1.62% - 2.71%

 

 

0.70% - 1.00%

 

Summary of Reconciliation of Liabilities Measured at Fair Value Using Significant Unobservable Inputs (Level 3)

The following table provides a reconciliation of liabilities measured at fair value using significant unobservable inputs (Level 3) for the nine months ended September 30, 2022/as of September 30, 2022 and December 31, 2021 (in thousands):

Balance at December 31, 2020

 

$

920

 

Private Warrants

 

 

3,810

 

Change in fair value of Private Warrants

 

 

(1,969

)

Change in fair value of contingent consideration

 

 

(275

)

Balance at December 31, 2021

 

 

2,486

 

Change in fair value of Private Warrants

 

 

(826

)

Change in fair value of contingent consideration

 

 

21

 

Balance at September 30, 2022

 

$

1,681