Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.22.1
Fair Value Measurements
3 Months Ended
Apr. 03, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 3. Fair Value Measurement

The fair value of the Company’s financial assets and liabilities are determined in accordance with the fair value hierarchy established in ASC 820, Fair Value Measurements, issued by the Financial Accounting Standards Board. The fair value hierarchy of ASC 820 requires an entity to maximize the use of observable inputs when measuring fair value and classifies those inputs into three levels:

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.

Our financial instruments consist primarily of cash and cash equivalents, accounts payable and the warrant liabilities. Cash and cash equivalents are reported at their respective fair values on our condensed consolidated balance sheets. 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 April 3, 2022 and January 2, 2022 (in thousands).

 

 

 

Fair Value Measurement using

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total
Fair Value

 

As of April 3, 2022

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Private Placement Warrants

 

$

 

 

$

 

 

$

56,460

 

 

$

56,460

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of January 2, 2022

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Private Placement Warrants

 

$

 

 

$

 

 

$

124,260

 

 

$

124,260

 

The Company’s liabilities are measured at fair value on a non-recurring basis, including 6,000,000 warrants that were assumed from the Business Combination and were held by Rodgers Capital, LLC (the “Sponsor”) and certain of its members (the “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 April 3, 2022, the fair value of the Private Placement Warrants was $9.41 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):

 

 

 

 

 

Private Placement Warrants

 

Fair value as of January 2, 2022

 

 

 

$

124,260

 

Change in fair value

 

 

 

 

(67,800

)

Fair value as of April 3, 2022

 

 

 

$

56,460

 

 

 

 

 

 

Convertible
Preferred Stock
Warrants

 

Fair value as of December 31, 2020

 

 

 

$

15,995

 

Settlements

 

 

 

 

(20,776

)

Change in fair value

 

 

 

 

4,781

 

Fair value as of March 31, 2021

 

 

 

$

 

 

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 April 3, 2022

 

Private Placement Warrants outstanding as of January 2, 2022

 

Convertible
preferred stock
warrants
exercised
on February 22,
2021

Expected term (in years)

 

4.3

 

4.5

 

2.5 - 4.1

Expected volatility

 

75.0%

 

77.5%

 

75.0%

Risk-free interest rate

 

2.8%

 

1.2%

 

0.2% - 0.4%

Expected dividend rate

 

0.0%

 

0.0%

 

0.0%