Annual report pursuant to Section 13 and 15(d)

Fair Value of Financial Instruments (Tables)

v3.23.1
Fair Value of Financial Instruments (Tables)
12 Months Ended
Dec. 31, 2022
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 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 following table presents the fair value per warrant and the valuation assumptions under the Black-Scholes OPM as of December 31, 2022 and December 31, 2021:
December 31, 2022 December 31, 2021
Fair value $ 0.17  $ 2.47 
Exercise price $ 11.50  $ 11.50 
Common stock price $ 1.98  $ 6.75 
Expected option term (years) 3.67 years 4.67 years
Expected volatility 60.70  % 60.50  %
Risk-free rate of return 4.10  % 1.21  %
Expected annual dividend yield —  % —  %
Schedule of Liabilities Measured at Fair Value
The following table presents information about the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2022 and December 31, 2021 were as follows:
  December 31, 2022
  Balance Sheet
Location
Level 1 Level 2 Level 3 Total
Assets:
Committed equity facility Other non-current assets $ —  $ —  $ 216  $ 216 
Total assets $ —  $ —  $ 216  $ 216 
Liabilities:
Private warrants Warrant liabilities $ —  $ —  $ 1,314  $ 1,314 
Contingent consideration
Notes payable to sellers —  —  1,000  1,000 
Total liabilities $ —  $ —  $ 2,314  $ 2,314 
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 liabilities $ —  $ —  $ 20,098  $ 20,098 
Changes in the Fair Value of Level 3 Financial Assets
Changes in the fair value of Level 3 financial assets and liabilities were as follows:
Assets: Committed Equity Facility Total
Level 3
December 31, 2020 $ —  $ — 
Additions
—  — 
Changes in fair value
—  — 
Settlements
—  — 
December 31, 2021 $ —  $ — 
Additions
756  756 
Changes in fair value
(540) (540)
Settlements
—  — 
December 31, 2022 $ 216  $ 216 
Liabilities: Contingent Consideration Private
Warrants
Total
Level 3
December 31, 2020 $ 1,257  $ —  $ 1,257 
Additions
450  21,727  22,177 
Changes in fair value
10,891  (2,629) 8,262 
Settlements
(11,598) —  (11,598)
December 31, 2021 $ 1,000  $ 19,098  $ 20,098 
Additions
—  —  — 
Changes in fair value
—  (17,784) (17,784)
Settlements
—  —  — 
December 31, 2022 $ 1,000  $ 1,314  $ 2,314 
Changes in the Fair Value of Level 3 Financial Liabilities
Changes in the fair value of Level 3 financial assets and liabilities were as follows:
Assets: Committed Equity Facility Total
Level 3
December 31, 2020 $ —  $ — 
Additions
—  — 
Changes in fair value
—  — 
Settlements
—  — 
December 31, 2021 $ —  $ — 
Additions
756  756 
Changes in fair value
(540) (540)
Settlements
—  — 
December 31, 2022 $ 216  $ 216 
Liabilities: Contingent Consideration Private
Warrants
Total
Level 3
December 31, 2020 $ 1,257  $ —  $ 1,257 
Additions
450  21,727  22,177 
Changes in fair value
10,891  (2,629) 8,262 
Settlements
(11,598) —  (11,598)
December 31, 2021 $ 1,000  $ 19,098  $ 20,098 
Additions
—  —  — 
Changes in fair value
—  (17,784) (17,784)
Settlements
—  —  — 
December 31, 2022 $ 1,000  $ 1,314  $ 2,314