Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
3 Months Ended
Apr. 03, 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 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

 

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

 

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

 

 

 

$

 

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 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%