Fair Value Measurements

6 Months Ended

Jun. 30, 2022

8. Fair Value Measurements

The following table presents information about the Company’s derivative instruments that are measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.


	As of June 30, 2022
	Level 1		Level 2		Level 3		Total
Liabilities:
Warrants	$	2,380,000	$	—	$	—	$	2,380,000
Private Placement Warrants		—		2,040,000		—		2,040,000
Forward purchase agreements (FPAs)		—		—		615,000		615,000
Total	$	2,380,000	$	2,040,000	$	615,000	$	5,035,000

	As of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Forward purchase agreements (FPAs)	$	—	$	—	$	2,353,677	$	2,353,677
Total	$	—	$	—	$	2,353,677	$	2,353,677
Liabilities:
Warrants	$	5,828,722	$	—	$	—	$	5,828,722
Private Placement Warrants		—		5,007,058		—		5,007,058
Forward purchase agreements (FPAs)		—		—		2,073,086		2,073,086
Total	$	5,828,722	$	5,007,058	$	2,073,086	$	12,908,866

The following table presents the changes in the fair value of the Company’s derivative instruments that are measured at fair value for the three and six months ended June 30, 2022 and 2021.


	Warrants			Private Placement Warrants			Forward Purchase Agreements (FPAs)			Total
Assets:
Fair value at March 31, 2022	$	—		$	—		$	1,810,000		$	1,810,000
Change in fair value		—			—			(1,810,000	)		(1,810,000	)
Fair value at June 30, 2022	$	—		$	—		$	—		$	—
Liabilities:
Fair value at March 31, 2022	$	4,480,000		$	3,840,000		$	2,670,000		$	10,990,000
Change in fair value		(2,100,000	)		(1,800,000	)		(2,055,000	)		(5,955,000	)
Fair value at June 30, 2022	$	2,380,000		$	2,040,000		$	615,000		$	5,035,000

Assets:
Fair value at December 31, 2021	$	—		$	—		$	2,353,677		$	2,353,677
Change in fair value		—			—			(2,353,677	)		(2,353,677	)
Fair value at June 30, 2022	$	—		$	—		$	—		$	—
Liabilities:
Fair value at December 31, 2021	$	5,828,722		$	5,007,058		$	2,073,086		$	12,908,866
Change in fair value		(3,448,722	)		(2,967,058	)		(1,458,086	)		(7,873,866	)
Fair value at June 30, 2022	$	2,380,000		$	2,040,000		$	615,000		$	5,035,000

	Warrants			Private Placement Warrants			Forward Purchase Agreements (FPAs)			Total
Liabilities:
Fair value at March 31, 2021	$	52,290,000		$	55,982,797		$	113,024,178		$	221,296,975
Change in fair value		(29,120,000	)		(36,122,797	)		(79,394,178	)		(144,636,975	)
Fair value at June 30, 2021	$	23,170,000		$	19,860,000		$	33,630,000		$	76,660,000

Liabilities:
Fair value at December 31, 2020	$	51,380,000		$	89,862,127		$	186,468,494		$	327,710,621
Change in fair value		(28,210,000	)		(70,002,127	)		(152,838,494	)		(251,050,621	)
Fair value at June 30, 2021	$	23,170,000		$	19,860,000		$	33,630,000		$	76,660,000

The valuation methodology used in the determination of the fair value of financial instruments for which Level 3 inputs were used at June 30, 2022 and 2021 was a market approach.

The following tables summarize the changes in the fair value of financial instruments for which the Company has used Level 3 inputs to determine fair value for the three and six months ended June 30, 2022 and 2021.


	Private Placement Warrants			Forward Purchase Agreements (FPAs)			Total
Assets:
Fair value at December 31, 2021	$	—		$	2,353,677		$	2,353,677
Change in fair value		—			(543,677	)		(543,677	)
Fair value at March 31, 2022		—			1,810,000			1,810,000
Change in fair value		—			(1,810,000	)		(1,810,000	)
Fair value at June 30, 2022	$	—		$	—		$	—
Liabilities:
Fair value at December 31, 2021	$	—		$	2,073,086		$	2,073,086
Change in fair value		—			596,914			596,914
Fair value at March 31, 2022		—			2,670,000			2,670,000
Change in fair value		—			(2,055,000	)		(2,055,000	)
Fair value at June 30, 2022	$	—		$	615,000		$	615,000

Liabilities:
Fair value at December 31, 2020	$	89,862,127		$	186,468,494		$	276,330,621
Change in fair value		(33,879,330	)		(73,444,316	)		(107,323,646	)
Fair value at March 31, 2021		55,982,797			113,024,178			169,006,975
Transfer out of Level 3		(55,982,797	)		—			(55,982,797	)
Change in fair value		—			(79,394,178	)		(79,394,178	)
Fair value at June 30, 2021	$	—		$	33,630,000		$	33,630,000

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details

TPG Pace Beneficial Finance Corp. 10-Q