Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Instruments (Tables)

v3.22.2.2
Fair Value of Financial Instruments (Tables)
9 Months Ended
Sep. 30, 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 September 30, 2022 and December 31, 2021:
September 30, 2022 December 31, 2021
Fair value $ 0.40  $ 2.47 
Exercise price $ 11.50  $ 11.50 
Common stock price $ 2.38  $ 6.75 
Expected option term (years) 3.92 years 4.67 years
Expected volatility 66.30  % 60.50  %
Risk-free rate of return 4.12  % 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 September 30, 2022 and December 31, 2021 were as follows:
  September 30, 2022
  Balance Sheet
Location
Level 1 Level 2 Level 3 Total
Assets:
Committed equity facility Other non-current assets $ —  $ —  $ 616  $ 616 
Total assets $ —  $ —  $ 616  $ 616 
Liabilities:
Private warrants Warrant liabilities $ —  $ —  $ 3,093  $ 3,093 
Contingent consideration
Notes payable to sellers —  —  1,000  1,000 
Total liabilities $ —  $ —  $ 4,093  $ 4,093 
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 during the nine months ended September 30, 2022 were as follows:
Assets: Committed Equity Facility Total
Level 3
December 31, 2021 $ —  $ — 
Additions
756  756 
Changes in fair value
(140) (140)
Settlements
—  — 
September 30, 2022 $ 616  $ 616 
Liabilities: Contingent Consideration Private
Warrants
Total
Level 3
December 31, 2021 $ 1,000  $ 19,098  $ 20,098 
Additions
—  —  — 
Changes in fair value
—  (16,005) (16,005)
Settlements
—  —  — 
September 30, 2022 $ 1,000  $ 3,093  $ 4,093 
Changes in the Fair Value of Level 3 Financial Liabilities
Changes in the fair value of Level 3 financial assets and liabilities during the nine months ended September 30, 2022 were as follows:
Assets: Committed Equity Facility Total
Level 3
December 31, 2021 $ —  $ — 
Additions
756  756 
Changes in fair value
(140) (140)
Settlements
—  — 
September 30, 2022 $ 616  $ 616 
Liabilities: Contingent Consideration Private
Warrants
Total
Level 3
December 31, 2021 $ 1,000  $ 19,098  $ 20,098 
Additions
—  —  — 
Changes in fair value
—  (16,005) (16,005)
Settlements
—  —  — 
September 30, 2022 $ 1,000  $ 3,093  $ 4,093