General form of registration statement for all companies including face-amount certificate companies

Fair Value Disclosures (Tables)

v3.21.2
Fair Value Disclosures (Tables)
6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table summarizes the Company’s liabilities measured at fair value on a recurring basis:
 
    
June 30, 2021
 
(dollars in thousands)
  
Level I
    
Level II
    
Level III
    
Total
 
Liabilities, at Fair Value
                                   
TRA liability
   $ —        $ —        $ 102,791      $ 102,791  
Warrant liability
     25,829        —          14,600        40,429  
Earnout Securities liability
     —          —          954,247        954,247  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total Liabilities, at Fair Value
  
$
25,829
 
  
$
—  
 
  
$
1,071,638
 
  
$
1,097,467
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation The following table sets for a summary of changes in the fair value of the Level III measurements for the three months ended June 30, 2021:
 
    
Level III Liabilities
 
(dollars in thousands)
  
TRA
Liability
    
Warrant
Liability
    
Earnout
Securities
Liability
    
Total
 
Beginning balance
   $ —        $ —        $ —        $ —    
Impact of the Business Combination
     101,645        9,131        491,277        602,053  
Unrealized (gains) losses
     1,146        5,469        462,970        469,585  
    
 
 
    
 
 
    
 
 
    
 
 
 
Ending Balance
  
$
102,791
 
  
$
14,600
 
  
$
954,247
 
  
$
1,071,638
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Net change in unrealized (gains) losses held as of the reporting date
   $ 1,146      $ 5,469      $ 462,970      $ 469,585  
    
 
 
    
 
 
    
 
 
    
 
 
 
The following table sets forth a summary of changes in the fair value of the Level III measurements for the six months ended June 30, 2021:
 
    
Level III Liabilities
 
(dollars in thousands)
  
TRA
Liability
    
Warrant
Liability
    
Earnout
Securities
Liability
    
Total
 
Beginning balance
   $ —        $ —        $ —        $ —    
Impact of the Business Combination
     101,645        9,131        491,277        602,053  
Unrealized (gains) losses
     1,146        5,469        462,970        469,585  
    
 
 
    
 
 
    
 
 
    
 
 
 
Ending Balance
  
$
102,791
 
  
$
14,600
 
  
$
954,247
 
  
$
1,071,638
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Net change in unrealized (gains) losses held as of the reporting date
   $ 1,146      $ 5,469      $ 462,970      $ 469,585  
    
 
 
    
 
 
    
 
 
    
 
 
 
The following table summarizes the quantitative inputs and assumptions used for the Company’s Level III measurements as of June 30, 2021:
 
    
Fair Value
    
Valuation Technique
    
Significant Unobservable
Inputs
  
Input
   
Impact to
Valuation from
an Increase in
Input
(dollars in thousands)
                             
TRA liability
   $ 102,791       
Discounted
cash flow
 
 
   Discount rate      11   Decrease
Warrant liability
     14,600       
Monte Carlo
simulation
 
 
   Volatility      18   Increase
         Risk-free rate      1   Increase
Earnout Securities liability
     954,247       
Monte Carlo
simulation
 
 
   Volatility      23   Increase
         Risk-free rate      1   Increase
         Discount for lack of
marketability
     10   Decrease
  
 
 
            
Total Liabilities, at Fair Value
  
$
1,071,638