Redwire Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Instruments (Tables)

Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

These two types of inputs have created the following fair-value hierarchy:


Level 1:			Quoted prices for identical instruments in active markets;
Level 2:			Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets; and
Level 3:			Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

The following table presents the fair value per warrant and the valuation assumptions under the Black-Scholes OPM as of March 31, 2022 and December 31, 2021.


	March 31, 2022			December 31, 2021
Fair value	$	2.63		$	2.47
Exercise price	$	11.50		$	11.50
Common stock price	$	8.48		$	6.75
Expected option term (years)	4.42 years			4.67 years
Expected volatility	45.90		%	60.50		%
Risk-free rate of return	2.41		%	1.21		%
Expected annual dividend yield	—		%	—		%

The assumptions used in the Black-Scholes OPM were as follows:


Roccor Black-Scholes OPM Assumptions
Risk-free interest rate	0.1	%
Revenue discount rate	7.0	%
Revenue volatility	30.0	%
Earnout payment discount rate	4.0	%

As of March 31, 2022, the Company expects to pay the Roccor contingent earnout during the second half of 2022 in accordance with the acquisition agreement.

Schedule of Liabilities Measured at Fair Value

Financial liabilities measured at fair value on a recurring basis are as follows:



		March 31, 2022
	Balance Sheet Location	Level 1		Level 2		Level 3		Total
Liabilities:
Private warrants	Warrant liabilities	$	—	$	—	$	20,336	$	20,336
Contingent consideration	Notes payable to sellers	—		—		1,000		1,000
Total		$	—	$	—	$	21,336	$	21,336


		December 31, 2021
	Balance Sheet Location	Level 1		Level 2		Level 3		Total
Liabilities:
Private warrants	Warrant liabilities	$	—	$	—	$	19,098	$	19,098
Contingent consideration	Notes payable to sellers	—		—		1,000		1,000
Total		$	—	$	—	$	20,098	$	20,098

Changes in the Fair Value of Contingent Consideration

Changes in the fair value of Level 3 financial liabilities during the three months ended March 31, 2022 were as follows:


	Private Warrants		Contingent Consideration		Total Level 3

















December 31, 2021	$	19,098	$	1,000	$	20,098
Additions	—		—		—
Changes in fair value	1,238		—		1,238
Settlements	—		—		—
March 31, 2022	$	20,336	$	1,000	$	21,336