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Fair Value

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Note 5. Fair Value

The following table presents information about the Company’s financial assets and liabilities measured at fair value on a recurring basis:


(in thousands)	Level 1			Level 2			Level 3			Total
June 30, 2022
Assets
Cash equivalents in money market funds	$	395,565		$	—		$	—		$	395,565
Restricted cash in certificates of deposit		—			547			—			547
Total	$	395,565		$	547		$	—		$	396,112

Liabilities
Sponsor Earn-Out liability	$	—		$	—		$	15,123		$	15,123

December 31, 2021
Assets
Cash equivalents in money market funds	$	3,014		$	—		$	—		$	3,014
Restricted cash in certificates of deposit		—			547			—			547
Total	$	3,014		$	547		$	—		$	3,561

There were no transfers between Level 1, Level 2 or Level 3 during the three and six months ended June 30, 2022.

The following table provides a reconciliation of the beginning and ending balances for the Sponsor Earn-Out Shares liability:


		(in thousands)
Balance as of December 31, 2021	$	—
Additions during the period		36,393
Change in fair value		(21,270)
Balance as of June 30, 2022	$	15,123

Valuation of the Sponsor Earn-Out Liability

The estimated fair value of the Sponsor Earn-Out Shares was determined using a Monte Carlo simulation valuation model using the following assumptions:


		June 30, 2022			February 3, 2022 (Closing Date)
Stock price	$	3.93		$	7.68
Expected volatility		79.0%			81.0%
Risk free rate		3.01%			1.63%
Contractual term (in years)		4.6			5.0
Expected dividends		0%			0%

Expected stock price: The price of Class A Common Stock as of the valuation date was simulated from the Closing Date through the end of the earn-out period following Geometric Brownian Motion.

Expected volatility: The volatility rate was determined by using an average of historical volatilities of selected industry peers deemed to be comparable to the Company’s business corresponding to the expected term of the awards.

Risk-free interest rate: The risk-free interest rate is based on the U.S. Treasury yield curve for zero-coupon U.S. Treasury notes with maturities corresponding to the expected five-year term of the earn-out period.

Expected term: The expected term is the five-year term of the earn-out period.

Expected dividend yield: The expected dividend rate is zero as the Company currently has no history or expectation of declaring dividends in the foreseeable future.

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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