Financial Instruments and Risk Management (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Summary of Financial Instruments Measured at Fair Value

The following table represents the fair value amounts of financial assets and financial liabilities measured at estimated fair value on a recurring basis:

	At March 31, 2022								At December 31, 2021
		Level 1		Level 2			Level 3			Level 1		Level 2			Level 3
Assets
Cash and cash equivalents		$	88,407	$	-	—	$	-		$	79,642	$	-	—	$	-
Purchase option derivative asset			—		—			550			—		—			868
Total Assets		$	88,407	$	-		$	550		$	79,642	$	-		$	868
Liabilities
Contingent consideration payable			—	$	-		$	5,700		$	-	$	-		$	12,535
Warrant liability			—		55,021			—			—		54,986			—
Total Liabilities		$	-	$	55,021		$	5,700		$	-	$	54,986		$	12,535

Summary of Changes in Preferred Share Warrant Liability

The following table summarizes the changes in the warrant liability for the three months ended March 31, 2022:

Balance at December 31, 2021	$	54,986
Addition on acquisition		6,756
Included in gain on fair value of warrants		(6,031	)
Exercises		(690	)
Balance at March 31, 2022	$	55,021

Summary Of Warrant Liability Measured At Fair Value

The warrant liability has been measured at fair value at March 31, 2022. Key inputs and assumptions used in the Black Scholes valuation were as follows:

	March 31, 2022			December 31, 2021
Common Stock Price of TerrAscend Corp.	$	5.70		$	6.11
Warrant exercise price	$	3,000		$	3,000
Warrant conversion ratio	$	1,000		$	1,000
Annual volatility		60.9	%		65.5	%
Annual risk-free rate		2.2	%		0.6	%
Expected term (in years)		1.2		1.4

Summary of Changes in Purchase Option Derivative Asset

The following table summarizes the changes in the purchase option derivative asset:

Balance at December 31, 2021	$	868
Revaluation of purchase option derivative asset		(318	)
Balance at March 31, 2022	$	550

Derivative Asset EBIDTA Assumptions

The purchase option derivative asset has been measured at fair value at the transaction date using the Monte Carlo simulation model that relies on assumptions around the Company's EBITDA volatility and risk adjusted discount, among others. Key inputs and assumptions used in the Monte Carlo simulation model are summarized below:

	March 31, 2022			December 31, 2021
Term (in years)		1.2			1.3
Risk-free rate		1.4	%		0.4	%
EBITDA discount rate		15.0	%		15.0	%
EBITDA volatility		43.0	%		44.0	%

Illustrative Variance of Total Contingent Consideration Based on Reasonably Possible Changes To one Significant Unobservable Inputs

The illustrative variance of the total contingent consideration at March 31, 2022 based on reasonably possible changes to one of the significant unobservable inputs, holding other inputs constant, would have the following effects:

Discount rate sensitivity	KCR
Increase 100 basis points	$	1,139
Increase 50 basis points	$	1,160
Decrease 50 basis points	$	1,203
Decrease 100 basis points	$	1,225