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Fair Value Measurements | 6 Months Ended
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Jun. 30, 2022
Fair Value Measurements | 11. FAIR VALUE MEASUREMENTS The Company reports all financial assets and liabilities and nonfinancial assets and liabilities that are recognized or disclosed at fair value in the consolidated financial statements on a recurring basis. Valuation techniques used to measure fair value must maximize the use of observable inputs and minimize the use of unobservable inputs. The authoritative guidance establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to measurements involving significant unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows: Level 1—Inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Company has the ability to access at the measurement date. Level 2—Inputs are observable, unadjusted quoted prices in active markets for similar assets or liabilities, unadjusted quoted prices for identical or similar assets or liabilities in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the related assets or liabilities. Level 3—Inputs are unobservable inputs for the asset or liability. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest-level input that is significant to the fair value measurement in its entirety. The fair value measurements of financial assets and liabilities that are measured at fair value at June 30, 2022 and December 31, 2021 are as follows:
|  | June 30, 2022 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |
|  |  |  |  |  |  |  | As Restated (1) |
|  | (in thousands) |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Forward Warrant Agreement |  | $ | — |  |  | $ | — |  |  | $ | 1,543 |
Total Assets |  | $ | — |  |  | $ | — |  |  | $ | 1,543 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Derivative warrant liability-Private Warrants, as restated (1) |  |  | — |  |  |  | — |  |  |  | 6,542 |
Derivative warrant liability-Public Warrants |  |  | 5,606 |  |  |  | — |  |  |  | — |
Earn-out liability, as restated (1) |  |  |  |  |  |  | — |  |  |  | 7,856 |
Total liabilities, as restated (1) |  | $ | 5,606 |  |  | $ | — |  |  | $ | 14,398 |
|  | December 31, 2021 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |
|  | (in thousands) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Derivative warrant liability - Trinity Warrants |  |  |  |  |  |  | — |  |  |  | 4,355 |
Forward warrant agreement |  |  | — |  |  |  | — |  |  |  | 230 |
Total liabilities |  | $ | — |  |  | $ | — |  |  | $ | 4,585 |
(1) | For discussion on the restatement adjustments, see Note 1 — Description of Business — Restatement of Condensed Consolidated Financial Statements and Immaterial Correction of Prior-Period Errors
As of June 30, 2022, the Company has recorded the following financial instruments subject to fair value measurements: 1) Derivative warrant liabilities— Public Warrants liability and Private Warrants, 2) Forward Warrant Agreement, and 3) Earn-out liability. The fair value of the Public Warrants has been measured based on the observable listed prices for such warrants, a Level 1 measurement. All other financial instruments are classified as Level 3 liabilities as they all include unobservable inputs. The Private Warrants were initially measured at fair value using a Black Scholes model. The Company estimated the fair value of the Forward Warrant Agreement using a forward analysis with unobservable inputs which included selected risk-free rate and probability outcomes. The Company has further discussed the key aspects of the fair value measurements described above in Notes 9 and 10 to the financial statements. The aggregate fair value of the Sponsor Vesting Shares on the Closing date was estimated using a Monte Carlo simulation model. The Company has further discussed the key aspect of the valuation inputs in Note 2 significant accounting policy for Sponsor Earn-Out Liability. As of December 31, 2021, the Company recorded a derivative warrant liability – Trinity Warrants which was fair valued based on a Black-Scholes option model with unobservable inputs which included volatility. The Company estimates the volatility of its ordinary share warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s ordinary shares that matches the expected remaining life of the warrants. On June 2, 2022, all outstanding Trinity Warrants were exercised into shares of the Company’s common stock. There have been no changes in fair value measurement techniques (other than the change in valuation assumptions described in Note 1) during the three and six months ended June 30, 2022. There were no transfers between Level 1 or Level 2, or transfers in or out of Level 3 of the fair value hierarchy during the three and six months ended June 30, 2022. A summary of the changes in the fair value of the Company’s Level 3 financial instruments as of June 30, 2022 and December 31, 2021 are as follows:
|  | Derivative warrant liability - Trinity Warrants |  |  | Derivative warrant liability-Private Warrants, as restated (1) |  |  | Forward Warrant Agreement Liability (Asset) |  |  | Earn-out Liability, as restated (1) |
|  |  |  |  | (in thousands) |  |  |  |  |  |  |
Balance - December 31, 2021 |  | $ | 4,355 |  |  | $ | — |  |  | $ | 230 |  |  | $ | — |
Initial measurement on March 2, 2022 upon Business Combination, as restated (Note 3) (1) |  |  |  |  |  |  | 9,612 |  |  |  |  |  |  |  | 20,413 |
Change in fair values, as restated (1) |  |  | 2,015 |  |  |  | (3,070 | ) |  |  | (5,078 | ) |  |  | (12,557 | )
Extinguishment due to exercise of the warrants |  |  | (6,370 | ) |  |  | — |  |  |  | 3,305 |  |  |  | — |
Balance - June 30, 2022, as restated (1) |  | $ | — |  |  | $ | 6,542 |  |  | $ | (1,543 | ) |  | $ | 7,856 |
(1) | For discussion on the restatement adjustments, see Note 1 — Description of Business — Restatement of Condensed Consolidated Financial Statements and Immaterial Correction of Prior-Period Errors

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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