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Fair Value Measurements

6 Months Ended

Jun. 30, 2022

FAIR VALUE measurements

Assets and Liabilities Measured at Fair Value on a Recurring Basis—As of June 30, 2022, the Company's Private Warrants and contingent consideration liability related to a business acquisition are measured at fair value on a recurring basis.

The Private Warrants are valued using Level 1 and Level 2 inputs within the Black-Scholes option-pricing model. The assumptions utilized under the Black-Scholes option pricing model require judgments and estimates. Changes in these inputs and assumptions could affect the measurement of the estimated fair value of the Private Warrants. Accordingly, the Private Warrants are classified within Level 2 of the fair value hierarchy.

The valuation of the Private Warrants as of June 30, 2022 and December 31, 2021 was determined using the Black-Scholes option pricing model using the following assumptions:


	June 30,			December 31,
	2022			2021
Expected term (in years)		4.1			4.6
Expected volatility		35	%		35	%
Expected dividend yield		0	%		0	%
Risk-free interest rate		3.00	%		1.20	%
Fair value at valuation date	$	2.21		$	3.51

The contingent consideration liability related to the acquisition of Safekeep (see Note 4) is recorded at our estimate of fair value on the acquisition date and is adjusted each reporting period for changes in fair value, which can result from changes in anticipated payments and changes in assumed discount rates. These inputs are unobservable in the market and therefore categorized as Level 3 inputs.

The estimated fair value of the contingent consideration at June 30, 2022 was determined using probability-weighted discounted cash flows and a Monte Carlo simulation model. The discount rate, based on the Company's estimated cost of debt, was 9.0%.

Since the date of the business acquisition of Safekeep, there has been no change in the estimated fair value of the Company's contingent consideration liability and the Company has not recognized any gain (loss) for a change in the estimated fair value of contingent consideration during the three and six months ended June 30, 2022.

The following table presents the fair value of the assets and liabilities measured at fair value on a recurring basis at June 30, 2022 (in thousands):


Liabilities	Fair Value		Level 1		Level 2		Level 3
Contingent consideration related to business acquisition	$	200	$	—	$	—	$	200
Private warrants		39,338		—		39,338		—
Total	$	39,538	$	—	$	39,338	$	200

The following table presents the fair value of the assets and liabilities measured at fair value on a recurring basis at December 31, 2021 (in thousands):


Liabilities	Fair Value		Level 1		Level 2		Level 3
Private warrants	$	62,478	$	—	$	62,478	$	—
Total	$	62,478	$	—	$	62,478	$	—

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis—The Company has assets that under certain conditions are subject to measurement at fair value on a nonrecurring basis. These assets include those associated with acquired businesses, including goodwill and other intangible assets. For these assets, measurement at fair value in periods subsequent to their initial recognition is applicable if one or more is determined to be impaired. During the three and six months ended June 30, 2022 and 2021, the Company recognized no impairment related to these assets.

Fair Value of Other Financial Instruments—The following table presents the carrying amounts, net of debt discount, and estimated fair values of the Company’s financial instruments that are not recorded at fair value on the condensed consolidated balance sheets (in thousands):


	June 30, 2022				December 31, 2021
	Carrying		Estimated		Carrying		Estimated
Description	Amount		Fair Value		Amount		Fair Value
Term B Loan, including current portion	$	794,204	$	772,120	$	798,073	$	799,000

The fair value of the Company’s long-term debt, including current maturities, was estimated based on the quoted market prices for the same or similar instruments and fluctuates with changes in applicable interest rates among other factors. The fair value of long-term debt is classified as a Level 2 measurement in the fair value hierarchy and is established based on observable inputs in less active markets.

- 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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