| Fair Value Measurement |
Fair Value MeasurementThe 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:
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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 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 the Company's 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 July 3, 2022 and January 2, 2022 (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 |
As of July 3, 2022 |
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| Assets: |
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| Money Market Funds |
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$ |
384,146 |
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$ |
— |
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$ |
— |
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$ |
384,146 |
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| Liabilities: |
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| Private Placement Warrants |
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$ |
— |
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$ |
— |
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$ |
30,060 |
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$ |
30,060 |
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As of January 2, 2022 |
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| Liabilities: |
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| Private Placement Warrants |
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$ |
— |
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$ |
— |
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$ |
124,260 |
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$ |
124,260 |
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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 July 3, 2022, the fair value of the Private Placement Warrants was $5.01 per share with an exercise price of $11.50 per share. 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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Fair value as of January 2, 2022 |
$ |
124,260 |
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| Change in fair value |
(94,200) |
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Fair value as of July 3, 2022 |
$ |
30,060 |
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Convertible
Preferred Stock
Warrants |
Fair value as of December 31, 2020 |
$ |
15,995 |
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| Settlements |
(20,776) |
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| Change in fair value |
4,781 |
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Fair value as of June 30, 2021 |
$ |
— |
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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 July 3, 2022 |
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Private Placement Warrants Outstanding as of January 2, 2022 |
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Convertible
Preferred Stock
Warrants
Exercised
on February 22,
2021 |
| Expected term (in years) |
4.0 |
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4.5 |
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2.5 - 4.1 |
| Expected volatility |
85.0% |
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77.5% |
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75.0% |
| Risk-free interest rate |
2.9% |
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1.2% |
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0.2% - 0.4% |
| Expected dividend rate |
0.0% |
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0.0% |
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0.0% |
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