Annual report pursuant to Section 13 and 15(d)

Fair Value Measurement and Fair Value of Financial Instruments (Tables)

v3.22.1
Fair Value Measurement and Fair Value of Financial Instruments (Tables)
12 Months Ended
Jan. 02, 2022
Fair Value Disclosures [Abstract]  
Schedule of Assets Measured at Fair Value on Recurring Basis

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 January 2, 2022 and December 31, 2020 (in thousands).

 

 

 

Fair Value Measurement using

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total
Fair Value

 

As of January 2, 2022

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Private Placement Warrants

 

$

 

 

$

 

 

$

124,260

 

 

$

124,260

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Convertible preferred stock warrants

 

$

 

 

$

 

 

$

15,995

 

 

$

15,995

 

Schedule of Key Assumptions for Determining Fair Value of Convertible Preferred Stock Warrants and Common Stock Warrants

The following table summarizes the key assumptions used for determining the fair value of convertible preferred stock warrants and common stock warrants.

 

 

 

Private Placement Warrants outstanding as of January 2, 2022

 

Private Placement Warrants acquired on July 14, 2021

 

Convertible
preferred stock
warrants
exercised
on February 22,
2021

 

Convertible
preferred stock
warrants
outstanding
as of December 31,
2020

Expected term (in years)

 

4.5

 

5.0

 

2.5 - 4.1

 

2.6 - 4.2

Expected volatility

 

77.5%

 

50.0%

 

75.0%

 

63.6%

Risk-free interest rate

 

1.2%

 

0.8%

 

0.2% - 0.4%

 

0.2% - 0.3%

Expected dividend rate

 

0.0%

 

0.0%

 

0.0%

 

0.0% 

Schedule of Changes in Fair Value for Level 3 The changes for Level 3 items measured at fair value on a recurring basis using significant unobservable inputs are as follows (in thousands):

 

 

 

Private Placement Warrants

 

 

Convertible
Preferred Stock
Warrants

 

Fair value as of December 31, 2020

 

$

 

 

$

15,995

 

Acquired from the Business Combination

 

 

72,900

 

 

 

 

Settlements

 

 

 

 

 

(20,776

)

Change in fair value

 

 

51,360

 

 

 

4,781

 

Fair value as of January 2, 2022

 

$

124,260

 

 

$

 

 

 

 

Convertible
Promissory
Notes

 

 

Convertible
Preferred Stock
Warrants

 

Fair value as of December 31, 2019

 

$

5,651

 

 

$

730

 

Additions

 

 

 

 

 

1,476

 

Settlements

 

 

(8,073

)

 

 

 

Change in fair value

 

 

2,422

 

 

 

13,789

 

Fair value as of December 31, 2020

 

$

 

 

$

15,995