General form of registration statement for all companies including face-amount certificate companies

Fair value measurements (Tables)

v3.21.2
Fair value measurements (Tables)
 6 Months Ended 12 Months Ended
Jun. 30, 2021
Dec. 31, 2020
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]    
Summary of Binomial Lattice Model for the initial measurement of Public Warrants and Private Placement Warrants
The following tables provide quantitative information associated with the fair value measurement of the Level 3 inputs:
 
   
Fair Value as of
June 30, 2021
    
Valuation Methodology
  
Transaction
  
Probability of
Occurrence
    
Period (years)
    
Discount Rate
  
   
(in thousands)
                            
Convertible Bridge Notes
   $ 77,574    
Probability-Weighted

Payoff Approach		   Merger     90.0 %      0.17       6.9 % 
                Maturity     5.0 %      3.84       8.2 % 
                Other     5.0 %     
0.17 -
0 .34
     
6.9%-7.0
 % 
Consent Fee Liability
   $ 2,983     Probability-Weighted
Payoff Approach		   Merger     90.0 %      0.17       6.9 % 
                Maturity     5.0 %      3.84       8.2 % 
                Other     5.0 %     
0.17-0.34
       6.9 % 
    
Fair Value as of
June 30, 2021
     
Valuation Methodology
   
Transaction
     
Probability of
Occurrence
    
Period
(years)
  
    
(in thousands)
                           
Class A Common Stock Warrants
    $ 32,889      Option Pricing Method (“OPM”)      Merger        90.0 %      0.17  
                     Other        10.0 %      0.17  
 
    
Fair Value as of
June 30, 2021
     
Valuation Methodology
   
Significant Other
Unobservable Inputs
   
Inputs
  
    
(in thousands)
                   
Series B Preferred Stock Warrants
    $ 1,106      Black-Scholes Option Pricing Model    Preferred stock value    $ 1.1140  
                   Exercise price of warrant    $ 0.0100  
                   Term in years      0.17  
                   Risk-free interest rate      0.05 % 
                   Volatility      50.0 % 
 
    
Fair Value as of
June 30, 2021
     
Valuation Methodology
   
Significant Other
Unobservable Inputs
   
Inputs
  
    
(in thousands)
                   
Series C Preferred Stock Warrants
    $ 70      Black-Scholes Option Pricing Model    Preferred stock value    $ 4.6506  
                   Exercise price of warrant    $ 4.3177  
                   Term in years      0.17  
                   Risk-free interest rate      0.05 % 
                   Volatility      15.0 % 
 
Osprey Technology Acquisition Corp [Member]    
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]    
Summary of Assets Measured at Fair Value On Recurring Basis
The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at June 30, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
Description
   
Level
     
June 30,
2021
     
December 31,
2020
  
Assets:
                           
Marketable securities held in Trust Account
      1      $ 317,984,713      $ 318,041,728  
Liabilities:
                           
Warrant Liability – Public Warrants
      1        27,039,375        23,244,375  
Warrant Liability – Private Placement Warrants
      3        20,313,000        12,487,500  
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2020 and, 2019, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
Description
   
        Level        
     
December 31,
2020
     
December 31,
2019
  
Assets:
         
Marketable securities held in Trust Account
      1      $ 318,041,728      $ 316,958,514  
Liabilities:
         
Warrant Liability – Public Warrants
      1        23,244,375        14,231,250  
Warrant Liability – Private Placement Warrants
      3        12,487,500        7,575,750  
Summary of Binomial Lattice Model for the initial measurement of Public Warrants and Private Placement Warrants
The key inputs into the Binomial Lattice Model for the initial measurement of Public Warrants and Private Placement Warrants and subsequent measurement of the Private Placement Warrants are as follows:
 
Input
   
June 30, 2021
    
December 31, 2020
  
Risk-free interest rate
      0.86 %      0.38 % 
Market price of public stock
    $ 9.99     $ 10.47  
Dividend Yield
      0.00 %      0.00 % 
Implied volatility
      32.8 %      21.8 % 
Exercise price
    $ 11.50     $ 11.50  
The key inputs into the Binomial Lattice Model for the initial measurement of Public Warrants and Private Placement Warrants and subsequent measurement of the Private Place Warrants are as follows:
 
Input
   
November 5,
2019

(Initial
Measurement)
    
December 31,
2019
    
March 31,
2020
    
June 30,
2020
    
September 30,
2020
    
December 31,
2020
  
Risk-free interest rate
      1.66 %      1.76 %      0.45 %      0.35 %      0.32 %      0.38 % 
Market price of public stock
    $ 9.69       9.78       9.72       10.05       10.19       10.47  
Dividend Yield
      0.0 %      0.0 %      0.0 %      0.0 %      0.0 %      0.0 % 
Implied volatility
      10.7 %      13.8 %      14.4 %      17.9 %      22.1 %      21.8 % 
Exercise price
    $ 11.50       11.50       11.50       11.50       11.50       11.50  
Summary of Warrants
The following table presents the changes in the fair value of warrant liabilities:
 
For the six month-period ended June 30, 2021
   
Private
Placement
     
Public
     
Warrant
Liabilities
  
Fair value as of January 1, 2021
    $ 12,487,500      $ 23,244,375      $ 35,731,875  
Change in fair value of warrant liability
      7,242,750        3,478,750        10,721,500  
    
 
 
     
 
 
     
 
 
  
Fair value as of March 31, 2021
    $ 19,730,250      $ 26,723,125      $ 46,453,375  
    
 
 
     
 
 
     
 
 
  
Change in fair value of warrant liability
      582,750        316,250        899,000  
    
 
 
     
 
 
     
 
 
  
Fair value as of June 30, 2021
   
$
20,313,000
 
   
$
27,039,375
 
   
$
47,352,375
 
    
 
 
     
 
 
     
 
 
  
 
For the six month-period ended June 30, 2020
   
Private
Placement
     
Public
     
Warrant
Liabilities
  
Fair value as of January 1, 2020
    $ 7,575,750      $ 14,231,250      $ 21,807,000  
Change in fair value of warrant liability
      (1,914,750 )       (3,478,750 )       (3,620,625 ) 
    
 
 
     
 
 
     
 
 
  
Fair value as of March 31, 2020
    $ 5,661,000      $ 10,752,500      $ 16,413,500  
    
 
 
     
 
 
     
 
 
  
Change in fair value of warrant liability
      (3,1630,50 )       (5,850,625 )       (5,393,500 ) 
    
 
 
     
 
 
     
 
 
  
Fair value as of June 30, 2020
   
$
8,824,500
 
   
$
16,603,125
 
   
$
25,427,625
 
    
 
 
     
 
 
     
 
 
  
The following table presents the changes in the fair value of warrant liabilities:
 
    
Private
Placement
    
Public
    
Warrant
Liabilities
  
Fair value as of January 1, 2018
      —         —         —    
Initial measurement on November 5, 2019 (IPO)
      4,650,000       8,387,500       13,037,500  
Initial measurement on November 13, 2019 (over-allotment)
      511,500       1,258,125       1,769,625  
Change in valuation inputs or other assumptions
      2,414,250       4,585,625       6,999,875  
Fair value as of December 31, 2019
      7,575,750       14,231,250       21,807,000  
Change in valuation inputs or other assumptions
      (1,914,750 )     (3,478,750 )     (5,393,000 ) 
Fair value as of March 31, 2020
      5,661,000       10,752,500       16,413,500  
Change in valuation inputs or other assumptions
      3,163,500       5,850,625       9,014,125  
Fair value as of June 30, 2020
      8,824,500       16,603,125       25,427,625  
Change in valuation inputs or other assumptions
      3,080,250       5,534,375       8,614,625  
Fair value as of September 30, 2020
      11,904,750       22,137,500       34,042,250  
Change in valuation inputs or other assumptions
      582,750       1,106,875       1,689,625  
Fair value as of December 31, 2020
      12,487,500       23,244,375       35,731,875  
Fair value as of January 1, 2018
    $ —       $ —       $ —    
Initial measurement on November 5, 2019
      4,650,000       8,387,500       13,037,500  
Initial measurement on November 13, 2019 (over-allotment)
      511,500       1,258,125       1,769,625  
Change in valuation inputs or other assumptions
      2,414,250       4,585,625       6,999,875  
    
 
 
    
 
 
    
 
 
  
Fair value as of December 31, 2019
      7,575,750       14,231,250       21,807,000  
Change in valuation inputs or other assumptions
      4,911,750       9,013,125       13,924,875  
    
 
 
    
 
 
    
 
 
  
Fair value as of December 31, 2020
    $ 12,487,500     $ 23,244,375     $ 35,731,875  
    
 
 
    
 
 
    
 
 
  
Due to the use of quoted prices in an active market (Level 1) to measure the fair value of the Public Warrants, subsequent to initial measurement, the Company had transfers out of Level 3 totaling $9,645,625 during the period from November 11, 2019 through December 31, 2019.