Fair Value Measurements

3 Months Ended

Mar. 31, 2022

The following tables summarize our financial assets and liabilities measured at fair value on a recurring basis by level within the fair value hierarchy as of the dates indicated:


	March 31, 2022
	Level 1		Level 2		Level 3		Aggregate Fair Value
Assets:
Money market funds	$	28,001	$	—	$	—	$	28,001
Total assets	28,001		—		—		28,001
Liabilities:

Derivative liabilities, noncurrent	—		—		1,601		1,601

Warrant liabilities - Public Warrants	15,111		—		—		15,111
Warrant liabilities - Private Placement Warrants	—		—		7,504		7,504
Total liabilities	$	15,111	$	—	$	9,105	$	24,216


	December 31, 2021
	Level 1		Level 2		Level 3		Aggregate Fair Value
Assets:
Money market funds	$	25,001	$	—	$	—	$	25,001
Total assets	25,001		—		—		25,001
Liabilities:
Derivative liabilities, noncurrent	—		—		2,015		2,015
Warrant Liabilities - Public Warrants	19,599		—		—		19,599
Warrant Liabilities - Private Placement Warrants	—		—		9,733		9,733
Total liabilities	$	19,599	$	—	$	11,748	$	31,347

The level 3 liabilities that related to our Class B Units and certain employee and non-employee contracts with embedded derivatives, see Note 8 – Derivative Financial Instruments and Note 10 – Stock-Based Compensation.

The fair value of the Public Warrants was measured based on the listed market price of such warrants at the end of the reporting period. The fair value of the Private Placement Warrants was estimated using a Monte Carlo

simulation model at the end of the reporting period. The Company estimates the fair value of the warrants at each reporting period, with changes in fair value recognized in the condensed consolidated statements of operations.

The estimated fair value of the warrant liabilities – Public Warrants is determined using Level 1 inputs. The estimated fair value of the warrant liabilities – Private Placement Warrants is determined using Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its ordinary shares based on historical volatility of select peer companies that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:


	As of
	March 31, 2022
Stock price	$	4.72
Exercise Price	$	11.50
Expected life of the warrants to convert (years)	4.31
Volatility	48.30		%
Risk-free rate	2.40		%

The following table summarizes the change in fair value of the derivative liabilities during the three months ended March 31, 2022 and 2021:


Balance at January 1, 2022	$	31,347

Change in fair value of derivative instruments	(7,131)

Balance at March 31, 2022	$	24,216

Balance at January 1, 2021	$	597,578
Incremental Class B Units	43,880
Change in fair value of derivative instruments	394
Change in fair value of Class B Units	551,544
Balance at March 31, 2021	$	1,193,396

The following table summarizes the change in fair value of the Class B Units by income statement line item during the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31,
	2022		2021
Cost of revenue	$	—	$	101,943
Sales and marketing	—		7,423
General and administrative	—		442,178
Total change in fair value of Class B Units	$	—	$	551,544

To derive the fair value of the Class B Units, we estimated the fair value of Class B Units using a valuation technique. For more information regarding the valuation of the Class B Units, see Note 10 – Stock-Based Compensation.

As more fully described in Note 1, we completed our Transactions in July 2021, and all Class B Units fully vested as of the transaction date, and the original operating agreement was terminated and replaced by a new operating agreement consistent with the Company’s Up-C structure. This new operating agreement does not contain

the put and call options that existed under the previous operating agreement, and the Common Units under the new operating agreement are treated as common equity and do not generate stock-based compensation expense. The Class B Units liability was reclassified to equity as of the transaction date.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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