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Fair Value of Financial Instruments (Tables)
6 Months Ended
Jun. 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 June 30, 2022 and December 31, 2021:
June 30, 2022December 31, 2021
Fair value$0.51 $2.47 
Exercise price$11.50 $11.50 
Common stock price$3.04 $6.75 
Expected option term (years)4.18 years4.67 years
Expected volatility59.50 %60.50 %
Risk-free rate of return2.98 %1.21 %
Expected annual dividend yield— %— %
Schedule of Liabilities Measured at Fair Value
The following table presents information about the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021 were as follows:
 June 30, 2022
 Balance Sheet
Location
Level 1Level 2Level 3Total
Assets:
Committed equity facilityOther non-current assets$— $— $756 $756 
Total assets$— $— $756 $756 
Liabilities:
Private warrantsWarrant liabilities$— $— $3,943 $3,943 
Contingent consideration
Notes payable to sellers— — 1,000 1,000 
Total liabilities$— $— $4,943 $4,943 
December 31, 2021
Balance Sheet
Location
Level 1Level 2Level 3Total
Liabilities:
Private warrantsWarrant liabilities$— $— $19,098 $19,098 
Contingent consideration
Notes payable to sellers— — 1,000 1,000 
Total liabilities$— $— $20,098 $20,098 
Changes in the Fair Value of Level 3 Financial Assets
Changes in the fair value of Level 3 financial assets and liabilities during the six months ended June 30, 2022 were as follows:
Assets:Committed Equity FacilityTotal
Level 3
December 31, 2021$— $— 
Additions
756 756 
Changes in fair value
— — 
Settlements
— — 
June 30, 2022$756 $756 
Liabilities:Contingent ConsiderationPrivate
Warrants
Total
Level 3
December 31, 2021$1,000 $19,098 $20,098 
Additions
— — — 
Changes in fair value
— (15,155)(15,155)
Settlements
— — — 
June 30, 2022$1,000 $3,943 $4,943 
Changes in the Fair Value of Level 3 Financial Liabilities
Changes in the fair value of Level 3 financial assets and liabilities during the six months ended June 30, 2022 were as follows:
Assets:Committed Equity FacilityTotal
Level 3
December 31, 2021$— $— 
Additions
756 756 
Changes in fair value
— — 
Settlements
— — 
June 30, 2022$756 $756 
Liabilities:Contingent ConsiderationPrivate
Warrants
Total
Level 3
December 31, 2021$1,000 $19,098 $20,098 
Additions
— — — 
Changes in fair value
— (15,155)(15,155)
Settlements
— — — 
June 30, 2022$1,000 $3,943 $4,943