Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements and Hierarchy

v3.22.2.2
Fair Value Measurements and Hierarchy
6 Months Ended
Jun. 30, 2022
Fair Value Measurements and Hierarchy  
Fair Value Measurements and Hierarchy

Note 8: Fair Value Measurements and Hierarchy

See Note 4 “Significant Accounting Policies” for a summary of the Company’s policies relating to fair value measurements.

The following table presents the carrying amounts of the Company’s financial instruments as of June 30, 2022 and December 31, 2021, respectively:

    

Successor

    

June 30, 2022

    

December 31, 2021

Financial assets:

 

  

 

  

Cash

$

63,145,379

$

140,477,586

Restricted cash

 

753,920

 

356,286

Clinics fees and insurance receivables, net

 

1,931,291

 

1,090,104

Other receivables

 

261,935

 

726,903

Financial liabilities:

 

  

 

  

Accounts payable and accrued expenses

 

20,693,070

 

17,730,683

Warrants liabilities

 

5,429,009

 

11,382,826

The book value of cash, clinic fees and insurance receivables, net, other receivables, and accounts payable and accrued expenses approximate fair value because of the short maturity and high liquidity of these instruments. Liabilities for private placement warrants are measured at fair value using Level 3 inputs.

The following table represents the Company’s fair value hierarchy for its financial liabilities measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021:

    

Level 1

    

Level 2

    

Level 3

    

Total

Warrant liability as of June 30, 2022

$

5,270,834

$

$

158,175

$

5,429,009

Warrant liability as of December 31, 2021

 

10,880,550

 

 

502,276

 

11,382,826

The key Level 3 inputs into the option pricing model as of June 30, 2022 relating to the Private Placement Warrants to purchase Class A Common Stock were as follows:

Volatility

    

65.00

%

Risk-Free Interest rate

 

3.00

%

Exercise Price

$

11.50

Expected Term

 

4.4

Years

The key Level 3 inputs into the option pricing model as of December 31, 2021 relating to the Private Placement Warrants to purchase Class A Common Stock were as follows:

Volatility

    

60.00

%

Risk-Free Interest rate

 

1.26

%

Exercise Price

$

11.50

Expected Term

 

4.9

Years

Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the warrants would each result in a directionally similar change in the estimated fair value of the Company’s warrant liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not, and does not plan to, declare dividends on its common stock and, as such, there is no change in the estimated fair value of the warrant liabilities due to the dividend assumption.

The following tables set forth a summary of changes in the fair value of the Company’s Level 3 fair value measurements for the periods indicated:

Successor

Predecessor

    

Six Months Ended June

  

  

Six Months Ended June

30, 2022

30, 2021

Beginning Balance of Private Warrant Liability

$

502,276

$

6,316,605

Mark-to-Market Adjustment for Stock Warrants

 

(344,101)

 

10,661,579

Ending Balance of Private Warrant Liability

$

158,175

$

16,978,184