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FAIR VALUE MEASUREMENTS | 6 Months Ended
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Jun. 30, 2022
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS The Company determines fair value in accordance with ASC 820 which established a hierarchy for the inputs used to measure the fair value of financial assets and liabilities based on the source of the input, which generally range from quoted prices for identical instruments in a principal trading market (i.e. Level 1) to estimates determined using significant unobservable inputs (i.e. Level 3). The fair value hierarchy prioritizes the inputs, which refer to assumptions that market participants would use in pricing an asset or liability, based upon the highest and best use, into three levels as follows: The standard describes three levels of inputs that may be used to measure fair value:: •Level 1: Unadjusted quoted prices in active markets for identical assets or liabilities at the measurement date. •Level 2: Observable inputs other than unadjusted quoted prices in active markets for identical assets or liabilities such as: ◦Quoted prices for similar assets or liabilities in active markets ◦Quoted prices for identical or similar assets or liabilities in inactive markets ◦Inputs other than quoted prices that are observable for the asset or liability ◦Inputs that are derived principally from or corroborated by observable market data by correlation or other mean •Level 3: Unobservable inputs in which there is little or no market data available, which are significant to the fair value measurement and require the Company to develop its own assumptions. The Company’s financial assets and liabilities measured at fair value on a recurring basis, consisted of the following types of instruments as of the following dates:
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
June 30, 2022 |  |  |  |  |  |  |  |
Assets Carried at Fair Value: |  |  |  |  |  |  |  |
Derivative asset - interest rate swap |  | $ | — |  |  | $ | — |  |  | $ | 5,590 |  |  | $ | 5,590 |
Liabilities Carried at Fair Value: |  |  |  |  |  |  |  |
Public warrants |  | 8,452 |  |  | — |  |  | — |  |  | 8,452 |
Private warrants |  | — |  |  | — |  |  | 8,778 |  |  | 8,778 |
Earnout consideration |  | — |  |  | — |  |  | 19,386 |  |  | 19,386 |
Derivative liability - redemption with make-whole provision |  | — |  |  | — |  |  | 613 |  |  | 613 |
December 31, 2021 |  |  |  |  |  |  |  |
Liabilities Carried at Fair Value: |  |  |  |  |  |  |  |
Public warrants |  | $ | 17,714 |  |  | $ | — |  |  | $ | — |  |  | 17,714 |
Private warrants |  | — |  |  | — |  |  | 17,557 |  |  | 17,557 |
Earnout consideration |  | — |  |  | — |  |  | 38,427 |  |  | 38,427 |
Derivative liability - redemption with make-whole provision |  | — |  |  | — |  |  | 552 |  |  | 552 |
Additional information is provided below about assets and liabilities remeasured at fair value on a recurring basis and for which the Company utilizes Level 3 inputs to determine fair value. Derivative asset - interest rate swap The Company is exposed to interest rate risk on variable interest rate debt obligations. To manage interest rate risk, the Company entered into an interest rate swap agreement on January 5, 2022. At June 30, 2022, the Company’s interest rate swap contract outstanding had a notional amount of $125,000 maturing in December 2025. The Company has designated the interest rate swap as a cash flow hedge for accounting purposes. The Company determined the fair value of the interest rate swap to be zero at the inception of the agreement and $5,590 at June 30, 2022. The Company reflects the unrealized changes in fair value of the interest rate swap at each reporting period in other comprehensive income and a derivative asset or liability will be recognized at each reporting period in the Company’s consolidated financial statements. The fair value of interest rate swap has been classified as a Level 3 asset as its valuation requires estimation of factors that are not currently readily observable in the market. If different assumptions were used for the various inputs to the valuation approach, the estimated fair value could be significantly higher or lower than the fair value determined. Warrant liabilities As a result of the Business Combination, the Company assumed warrant liability related to previously issued warrants in connection with Roman DBDR's initial public offering. The warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on our consolidated balance sheet. The warrant liabilities were remeasured at June 30, 2022, with changes in fair value presented within revaluation of warrant liabilities in the consolidated statement of operations. The following table provides a reconciliation of the ending balances for the warrant liabilities remeasured at fair value:
|  | Warrant Liabilities
Estimated fair value at December 31, 2021 |  | $ | 35,271 |
Change in estimated fair value |  | (18,041) |
Estimated fair value at June 30, 2022 |  | $ | 17,230 |
The Public Warrants were valued using the quoted market price as the fair value at the end of each balance sheet date. The Private Placement Warrants were valued using the Black Scholes Option Pricing Model. The following assumptions were used to determine the fair value of the private warrants as of June 30, 2022:
|  | June 30, 2022
Exercise Price |  | $ | 11.50 |
Risk-free interest rate |  | 3.01 | %
Expected volatility |  | 42 | %
Expected dividends |  | 0 | %
Expected term (years) |  | 4.5
Common Stock market value |  | $ | 5.20 |
The fair value of private warrants has been classified as a Level 3 liability as its valuation requires substantial judgment and estimation of factors that are not currently readily observable in the market. If different assumptions were used for the various inputs to the valuation approach, the estimated fair value could be significantly higher or lower than the fair value determined. Earnout Consideration Holdings' equity holders have the right to receive an aggregate of up to 7,500,000 additional (i) shares of the Company's class A common stock or (ii) Holdings Units (and a corresponding number of shares of the Company's class B common stock), as applicable, in Earnout consideration based on the achievement of certain stock price thresholds. Earnout Considerations held by Holdings' holders (not including the holders under ASC 718) were determined to be derivative instruments in accordance with ASC 815 and were accounted as derivative liabilities, initially valued at fair value in accordance with ASC 815-40-30-1. The liability for Earnouts are remeasured at each reporting period at fair value, with changes in fair value recorded in earnings in accordance with ASC 815. The Company established the initial fair value for the earnouts at the closing date on December 27, 2021 using a Monte Carlo simulation model. The following table provides a reconciliation of the ending balances for the earnout consideration liabilities remeasured at fair value:
|  | Earnout Consideration Liability
Estimated fair value at December 31, 2021 |  | $ | 38,427 |
Change in estimated fair value |  | (19,041) |
Estimated fair value at June 30, 2022 |  | $ | 19,386 |
The following assumptions were used to determine the fair value of the Earnout considerations as of June 30, 2022:
|  | June 30, 2022
Valuation date share price |  | $ | 5.20 |
Risk-free interest rate |  | 2.95% - 2.99%
Expected volatility |  | 75% - 82.5%
Expected dividends |  | 0 | %
Expected term (years) |  | 2.5 - 3.5 years
The fair value of Earnouts has been classified as a Level 3 liability as its valuation requires substantial judgment and estimation of factors that are not currently readily observable in the market. If different assumptions were used for the various inputs to the valuation approach, the estimated fair value could be significantly higher or lower than the fair value determined.

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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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