General form of registration statement for all companies including face-amount certificate companies

Fair Value of Financial Instruments (Tables)

v3.22.1
Fair Value of Financial Instruments (Tables)
 3 Months Ended 12 Months Ended
Mar. 31, 2022
Dec. 31, 2021
Fair Value Disclosures [Abstract]    
Schedule of Fair Value Assumptions 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.
The fair value of the earnout is arrived at using the Black-Scholes option pricing model (“OPM”) using the following assumptions:
MIS Black-Scholes OPM Assumptions
Risk-free interest rate
 0.05  %
Revenue volatility
 51.7  %
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  %
The private warrants were valued at $2.81 and $2.47 per warrant as of September 2, 2021 and December 31, 2021, respectively, under the Black-Scholes OPM using the following assumptions:
September 2,
2021		 December 31, 2021
Exercise price $ 11.50  $ 11.50 
Common stock price $ 10.50  $ 6.75 
Expected option term (years) 5 4.67
Expected volatility 32.80  % 60.50  %
Risk-free rate of return 0.78  % 1.21  %
Expected annual dividend yield —  % —  %
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 
Financial liabilities measured at fair value on a recurring basis are as follows:
Successor
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 
Successor
December 31, 2020
Balance Sheet
Location		 Level 1 Level 2 Level 3 Total
Liabilities:
Private warrants Warrant liabilities $ —  $ —  $ —  $ — 
Contingent consideration
 Notes payable to sellers —  —  1,257  1,257 
Total $ —  $ —  $ 1,257  $ 1,257 
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 
The changes in the Level 3 fair values of private warrants and contingent consideration are as follows:
Private
Warrants		 Contingent Consideration Total
Level 3
Predecessor
January 1, 2020 $ —  $ —  $ — 
Additions
 —  —  — 
Changes in fair value
 —  —  — 
Settlements
 —  —  — 
June 21, 2020 $ —  $ —  $ — 
Successor
February 10, 2020 $ —  $ —  $ — 
Additions
 —  1,257  1,257 
Changes in fair value
 —  —  — 
Settlements
 —  —  — 
December 31, 2020 —  1,257  1,257 
Additions
 21,727  450  22,177 
Changes in fair value
 (2,629) 10,891  8,262 
Settlements
 —  (11,598) (11,598)
December 31, 2021 $ 19,098  $ 1,000  $ 20,098