Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2022

Fair Value Measurement Inputs and Valuation Techniques

The following table summarizes the significant inputs in the valuation model as of December 31, 2022:


Inputs	Private Placement Warrants	Underwriter Warrants	OTM Warrants	PIPE Warrants
Exercise price	$11.50	$11.50	$15.00	$11.50
Common stock price	$8.41	$8.41	$8.41	$8.41
Volatility	47.7%	47.7%	45.0%	47.7%
Expected term of the warrants	3.92	3.92	8.93	3.92
Risk-free rate	4.10%	4.10%	3.90%	4.10%
Dividend yield	$—	$—	$—	$—

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The fair value of the Company's financial assets and liabilities measured at fair value on a recurring basis at December 31, 2022 and 2021, is shown in the table below:


	Fair Value Measurements
	Total		Level 1		Level 2		Level 3

	in thousands
	December 31, 2022
Financial Assets
Interest rate swaps	$	3,294	$	—	$	3,294	$	—
Total	$	3,294	$	—	$	3,294	$	—

Financial Liabilities
Public warrants	$	12,880	$	12,880	$	—	$	—
Private placement warrants	673		—		—		673
Underwriter warrants	75		—		—		75
OTM warrants	4,706		—		—		4,706
PIPE warrants	27,227		—		—		27,227
Total	$	45,561	$	12,880	$	—	$	32,681

	December 31, 2021
Financial Assets
Interest rate swaps	$	531	$	—	$	531	$	—
Total	$	531	$	—	$	531	$	—

Financial Liabilities
Public warrants	$	25,243	$	25,243	$	—	$	—
Private placement warrants	1,248		—		—		1,248
Underwriter warrants	139		—		—		139
OTM warrants	6,849		—		—		6,849
PIPE warrants	55,887		—		—		55,887
Total	$	89,366	$	25,243	$	—	$	64,123

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents a reconciliation of the Company's warrant liabilities that are classified as Level 3 within the fair value hierarchy for the years ended December 31, 2022 and 2021:


	Private Placement Warrants		Underwriter Warrants		OTM Warrants		PIPE Warrants		Total

	in thousands
Balance at December 31, 2020	$	—	$	—	$	—	$	—	$	—
Issuance of warrant liabilities	460		51		2,899		31,800		35,210
Change in fair value of warrant liabilities	788		88		3,950		24,087		28,913
Balance at December 31, 2021	1,248		139		6,849		55,887		64,123
Change in fair value of warrant liabilities	(575)		(64)		(2,143)		(26,754)		(29,536)
Exercise of warrants	—		—		—		(1,906)		(1,906)
Balance at December 31, 2022	$	673	$	75	$	4,706	$	27,227	$	32,681

Debt Securities, Held-to-maturity

The following table discloses the fair value and related carrying amount of fixed income investments held within Hagerty Re's as of December 31, 2022 and 2021:


	Carrying Amount		Estimated Fair Value

	in thousands
	December 31, 2022
Fixed income securities, short-term	$	6,296	$	6,205
Fixed income securities, long-term	6,690		6,316
Total	$	12,986	$	12,521

	December 31, 2021
Fixed income securities, short-term	$	1,189	$	1,188
Fixed income securities, long-term	9,596		9,476
Total	$	10,785	$	10,664