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Fair Value Measurements
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

NOTE 9. FAIR VALUE MEASUREMENTS

The fair values of cash and cash equivalents, restricted cash, accounts receivable, accounts payable, and certain prepaid and other current assets and accrued expenses approximate carrying values because of their short-term nature. The Company’s credit facilities are carried at amortized cost and the carrying value approximates fair value because of their short-term nature.

The Company’s liabilities that are measured at fair value on a recurring basis consist of the following as of September 30, 2021 (in thousands):

Description

 

Quoted Prices in
Active Markets for
Identical Liabilities
(Level 1)

 

 

Significant Other
Observable Inputs
(Level 2)

 

 

Significant
Unobservable Inputs
(Level 3)

 

Public warrant liabilities

 

$

23,480

 

 

$

—

 

 

$

—

 

Private placement warrant liabilities

 

$

—

 

 

$

—

 

 

$

16,231

 

Public Warrants

The fair value of the public warrants is estimated based on the quoted market price of such warrants on the valuation date. The public warrants were initially recognized as a liability in connection with the Business Combination on September 1, 2021 at a fair value of $16.2 million. As of September 30, 2021, the estimated fair value of the public warrants was $23.5 million. The $7.3 million change in fair value of the public warrants between September 1, 2021 and September 30, 2021 is recorded in Change in fair value of warrant liabilities in our Condensed Consolidated Statements of Operations during the three and nine months ended September 30, 2021.

Private Placement Warrants

The private placement warrants were initially recognized as a liability in connection with the Business Combination on September 1, 2021. The following summarizes the changes in the Company’s private placement warrant liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the respective periods (in thousands):

 

 

Three Months Ended
September 30,

 

 

Nine Months Ended
September 30,

 

 

 

2021

 

 

2020

 

 

2021

 

 

2020

 

Beginning balance

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Initial fair value of private placement warrants

 

 

10,291

 

 

 

—

 

 

 

10,291

 

 

 

—

 

Change in fair value of private placement warrants included in net loss

 

 

5,940

 

 

 

—

 

 

 

5,940

 

 

 

—

 

Ending balance

 

$

16,231

 

 

$

—

 

 

$

16,231

 

 

$

—

 

The fair value of the private placement warrants is estimated using the Black-Scholes-Merton option-pricing model based on the following key assumptions and significant inputs as of the respective valuation dates:

 

 

September 30,
2021

 

 

September 1,
2021

 

Volatility

 

 

34.50

%

 

 

25.00

%

Stock price

 

$

8.72

 

 

$

8.80

 

Expected life of the options to convert

 

 

4.919

 

 

 

5.000

 

Risk-free rate

 

 

0.98

%

 

 

0.78

%

Dividend yield

 

 

0.00

%

 

 

0.00

%

Volatility: Expected volatility is estimated using a Monte Carlo simulation model to determine volatility based on the trading price of the public warrants and to reflect the probability of different outcomes.

Expected Life: The expected life of the warrants is assumed to be equivalent to their remaining contractual term.

Risk-Free Interest Rate: The risk-free interest rate is estimated based on the U.S. Treasury zero-coupon yield curve on the valuation date for a maturity similar to the expected remaining life of the warrants.

Expected Dividend Yield: The expected dividend yield assumption considers that we have not historically paid dividends and we do not expect to pay dividends in the foreseeable future.

There were no transfers between Levels 1, 2, and 3 during the three and nine months ended September 30, 2021 and 2020.