Fair Value of Financial Instruments (Tables)
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12 Months Ended |
Dec. 31, 2022 |
Fair Value Disclosures [Abstract] |
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Schedule of Fair Value Assumptions |
These two types of inputs have created the following fair-value hierarchy:
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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:
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Roccor Black-Scholes OPM Assumptions |
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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:
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December 31, 2022 |
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December 31, 2021 |
Fair value |
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$ |
0.17 |
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$ |
2.47 |
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Exercise price |
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$ |
11.50 |
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$ |
11.50 |
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Common stock price |
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$ |
1.98 |
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$ |
6.75 |
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Expected option term (years) |
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3.67 years |
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4.67 years |
Expected volatility |
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60.70 |
% |
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60.50 |
% |
Risk-free rate of return |
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4.10 |
% |
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1.21 |
% |
Expected annual dividend yield |
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— |
% |
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— |
% |
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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:
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December 31, 2022 |
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Balance Sheet Location |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
Assets: |
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Committed equity facility |
Other non-current assets |
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$ |
— |
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$ |
— |
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$ |
216 |
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$ |
216 |
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Total assets |
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$ |
— |
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$ |
— |
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$ |
216 |
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$ |
216 |
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Liabilities: |
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Private warrants |
Warrant liabilities |
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$ |
— |
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$ |
— |
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$ |
1,314 |
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$ |
1,314 |
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Contingent consideration |
Notes payable to sellers |
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— |
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— |
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1,000 |
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1,000 |
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Total liabilities |
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$ |
— |
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$ |
— |
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$ |
2,314 |
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$ |
2,314 |
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December 31, 2021 |
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Balance Sheet Location |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
Liabilities: |
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Private warrants |
Warrant liabilities |
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$ |
— |
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$ |
— |
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$ |
19,098 |
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$ |
19,098 |
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Contingent consideration |
Notes payable to sellers |
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— |
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— |
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1,000 |
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1,000 |
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Total liabilities |
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$ |
— |
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$ |
— |
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$ |
20,098 |
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$ |
20,098 |
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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:
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Assets: |
Committed Equity Facility |
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Total Level 3 |
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December 31, 2020 |
$ |
— |
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$ |
— |
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Additions |
— |
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— |
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Changes in fair value |
— |
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— |
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Settlements |
— |
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— |
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December 31, 2021 |
$ |
— |
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$ |
— |
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Additions |
756 |
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756 |
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Changes in fair value |
(540) |
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(540) |
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Settlements |
— |
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— |
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December 31, 2022 |
$ |
216 |
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$ |
216 |
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Liabilities: |
Contingent Consideration |
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Private Warrants |
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Total Level 3 |
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December 31, 2020 |
$ |
1,257 |
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$ |
— |
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$ |
1,257 |
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Additions |
450 |
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21,727 |
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22,177 |
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Changes in fair value |
10,891 |
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(2,629) |
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8,262 |
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Settlements |
(11,598) |
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— |
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(11,598) |
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December 31, 2021 |
$ |
1,000 |
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$ |
19,098 |
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$ |
20,098 |
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Additions |
— |
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— |
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— |
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Changes in fair value |
— |
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(17,784) |
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(17,784) |
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Settlements |
— |
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— |
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— |
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December 31, 2022 |
$ |
1,000 |
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$ |
1,314 |
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$ |
2,314 |
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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:
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Assets: |
Committed Equity Facility |
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Total Level 3 |
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December 31, 2020 |
$ |
— |
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$ |
— |
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Additions |
— |
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— |
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Changes in fair value |
— |
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— |
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Settlements |
— |
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— |
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December 31, 2021 |
$ |
— |
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$ |
— |
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Additions |
756 |
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756 |
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Changes in fair value |
(540) |
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(540) |
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Settlements |
— |
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— |
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December 31, 2022 |
$ |
216 |
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$ |
216 |
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Liabilities: |
Contingent Consideration |
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Private Warrants |
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Total Level 3 |
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December 31, 2020 |
$ |
1,257 |
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$ |
— |
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$ |
1,257 |
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Additions |
450 |
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21,727 |
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22,177 |
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Changes in fair value |
10,891 |
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(2,629) |
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8,262 |
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Settlements |
(11,598) |
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— |
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(11,598) |
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December 31, 2021 |
$ |
1,000 |
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$ |
19,098 |
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$ |
20,098 |
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Additions |
— |
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— |
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— |
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Changes in fair value |
— |
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(17,784) |
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(17,784) |
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Settlements |
— |
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— |
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— |
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December 31, 2022 |
$ |
1,000 |
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$ |
1,314 |
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$ |
2,314 |
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