Fair Value Measurements

6 Months Ended

Jun. 30, 2022

NOTE 9. FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value (in thousands):


June 30, 2022	Quoted Prices in Active Markets		Significant other Observable Units		Significant other Unobservable Units
Description	(Level 1)		(Level 2)		(Level 3)
Derivative warrant liabilities - Public Warrants	$	2,070	$	—	$	—
Derivative warrant liabilities - Private Placement Warrants	$	—	$	—	$	2,450


December 31, 2021	Quoted Prices in Active Markets		Significant other Observable Units		Significant other Unobservable Units
Description	(Level 1)		(Level 2)		(Level 3)
Derivative warrant liabilities - Public Warrants	$	—	$	—	$	4,375
Derivative warrant liabilities - Private Placement Warrants	$	—	$	—	$	4,000

Fair value of the Private Placement Warrants is measured using a Monte Carlo simulation model, which is considered to be a Level 3 fair value measurement. Key inputs into the Monte Carlo simulation include the expected stock price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock after considering the 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 dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

The fair value of Public Warrants is measured using the listed market price of such warrants, which is considered to be a Level 1 fair value measurement.

During the three and six months ended June 30, 2022, the Company recognized a gain resulting from a decrease in the fair value of the derivative warrant liabilities of $7.4 million and $3.9 million, respectively.

There were no transfers between levels during the three and six months ended June 30, 2022 or the three and six months ended June 30, 2021.

The following table provides quantitative information regarding Level 3 fair value measurements inputs used in measurement of fair value of Private Placement Warrants:


	June 30, 2022			December 31, 2021
Exercise price	$	11.50		$	11.50
Unit price	$	3.63		$	7.68
Volatility		65.1	%		37.6	%
Expected life of the options to convert		3.94			4.44
Risk-free rate		2.96	%		1.17	%
Dividend yield		0.0	%		0.0	%

The change in the fair value of the warrant liabilities for the six months ended June 30, 2022 is summarized as follows (in thousands):


Fair value of derivative warrant liabilities at December 31, 2021	$	8,375
Change in fair value of derivative warrant liabilities		(3,855	)
Fair value of derivative warrant liabilities at June 30, 2022	$	4,520

- 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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