| Fair Value Measurements |
Note 4. Fair Value Measurement
The following table details the fair value measurements of assets and liabilities that were measured at fair value on a recurring basis based on the following three-tiered fair value hierarchy per ASC 820, Fair Value Measurement, as of October 3, 2021 and December 31, 2020 (in thousands).
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Fair Value Measurement using |
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Level 1 |
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Level 2 |
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Level 3 |
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Total
Fair Value |
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As of October 3, 2021 |
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Liabilities: |
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Private Placement Warrants |
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$ |
— |
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$ |
— |
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$ |
64,440 |
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$ |
64,440 |
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As of December 31, 2020 |
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Liabilities: |
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Convertible preferred stock warrants |
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$ |
— |
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$ |
— |
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$ |
15,995 |
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$ |
15,995 |
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Level 1: |
Observable inputs, such as quoted prices (unadjusted) in active markets for identical assets or liabilities at the measurement date. |
Level 2: |
Observable inputs, other than Level 1 prices, such as quoted prices in active markets for similar assets and liabilities, quoted prices in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities. |
Level 3: |
Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities. |
The Company’s liabilities are measured at fair value on a non-recurring basis, including its Private Placement Warrants. The fair value of the Private Placement Warrants is considered a Level 3 valuation and is determined using the Black-Scholes valuation model. As of October 3, 2021, the fair value of the Private Placement Warrant was $10.74 per share with an exercise price of $11.50. The changes for Level 3 items measured at fair value on a recurring basis using significant unobservable inputs are as follows (in thousands):
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Private Placement Warrants |
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Convertible
Preferred Stock
Warrants |
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Fair value as of December 31, 2020 |
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$ |
— |
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$ |
15,995 |
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Acquired from the Business Combination |
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72,900 |
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— |
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Settlements |
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— |
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(20,776 |
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Change in fair value |
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(8,460 |
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4,781 |
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Fair value as of October 3, 2021 |
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$ |
64,440 |
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$ |
— |
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Convertible
Promissory
Notes |
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Convertible
Preferred Stock
Warrants |
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Fair value as of December 31, 2019 |
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$ |
5,651 |
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$ |
730 |
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Additions |
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— |
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1,476 |
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Settlements |
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(8,073 |
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— |
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Change in fair value |
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2,422 |
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6,756 |
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Fair value as of September 30, 2020 |
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$ |
— |
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$ |
8,962 |
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The following table summarizes the key assumptions used for determining the fair value of convertible preferred stock warrants and common stock warrants.
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Private Placement Warrants outstanding as of October 3, 2021 |
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Private Placement Warrants acquired on July 14, 2021 |
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Convertible
preferred stock
warrants
exercised
on February 22,
2021 |
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Convertible
preferred stock
warrants
outstanding
as of September 30,
2020 |
Expected term (in years) |
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4.8 |
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5.0 |
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2.5 - 4.1 |
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2.9 - 4.5 |
Expected volatility |
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50.0% |
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50.0% |
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75.0% |
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63.6% |
Risk-free interest rate |
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0.9% |
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0.8% |
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0.2% - 0.4% |
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0.2% - 0.3% |
Expected dividend rate |
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0.0% |
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0.0% |
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0.0% |
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0.0% |
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