Financial Instruments and Risk Management (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2022								At December 31, 2021
		Level 1		Level 2			Level 3			Level 1		Level 2			Level 3
Assets
Cash and cash equivalents		$	48,426	$	-	—	$	-		$	79,642	$	-	—	$	-
Restricted cash			605		—			—			—		—			—
Purchase option derivative asset			—		—			50			—		—			868
Total Assets		$	49,031	$	-		$	50		$	79,642	$	-		$	868
Liabilities
Contingent consideration payable			—	$	-		$	5,648		$	-	$	-		$	12,535
Warrant liability			—		6,176			—			—		54,986			—
Total Liabilities		$	-	$	6,176		$	5,648		$	-	$	54,986		$	12,535

Summary of Changes in Preferred Share Warrant Liability

The following table summarizes the changes in the warrant liability for the six months ended June 30, 2022:

Balance at December 31, 2021	$	54,986
Addition on acquisition		6,756
Included in gain on fair value of warrants		(53,876	)
Exercises		(1,690	)
Balance at June 30, 2022	$	6,176

Summary Of Warrant Liability Measured At Fair Value

The private placement warrant liability has been measured at fair value at June 30, 2022. Key inputs and assumptions used in the Black Scholes valuation were as follows:

	June 30, 2022			December 31, 2021
Common Stock Price of TerrAscend Corp.	$	2.28		$	6.11
Warrant exercise price	$	3,000		$	3,000
Warrant conversion ratio	$	1,000		$	1,000
Annual volatility		65.7	%		65.5	%
Annual risk-free rate		2.9	%		0.6	%
Expected term (in years)		0.9		1.4

The Gage warrant liability has been remeasured at fair value at June 30, 2022. Key inputs and assumptions used in the Black Scholes valuation were as follows:

	June 30, 2022			March 10, 2022
Common Stock Price of TerrAscend Corp.	$	2.28		$	5.70
Warrant exercise price	$	8.66		$	8.66
Annual volatility	62.88% - 63.73%			61.65% - 61.87%
Annual risk-free rate		2.9	%		1.8	%
Expected term (in years)		1.5			1.7

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		(818	)
Balance at June 30, 2022	$	50

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:

	June 30, 2022			December 31, 2021
Term (in years)		0.8			1.3
Risk-free rate		2.5	%		0.4	%
EBITDA discount rate		15.5	%		15.0	%
EBITDA volatility		37.1	%		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 June 30, 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	$	1,175
Increase 50 basis points	$	1,195
Decrease 50 basis points	$	1,236
Decrease 100 basis points	$	1,258