Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements and Financial Instruments (Tables)

v3.22.2
Fair Value Measurements and Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]  
Fair Value Measurement Inputs and Valuation Techniques The Private Warrants have been recorded at fair value based on a Black-Scholes option pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

June 30,
2022

 

Expected term (in years)

 

3.5

 

Expected dividend rate

 

 

1.0

%

Volatility

 

 

38.2

%

Risk-free interest rate

 

 

3.0

%

Strike price

 

$

11.50

 
The Deferred Shares have been recorded at fair value based on a Monte Carlo pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

June 30,
2022

 

Expected term (in years)

 

4.9

 

Volatility

 

 

40.2

%

Risk-free interest rate

 

 

3.0

%

Stock price

 

$

8.16

 
The Ares Put Option has been recorded at its fair value based on a Monte Carlo pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

June 30,
2022

 

Expected term (in years)

 

0.7

 

Volatility

 

 

33.5

%

Risk-free interest rate

 

 

2.6

%

Strike price

 

$

12.895