BlackSky Technology Inc. General form of registration statement for all companies including face-amount certificate companies

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

Fair Value of Financial Instruments (Tables)

Fair Value of Financial Instruments (Tables)

6 Months Ended

12 Months Ended

Jun. 30, 2021

Dec. 31, 2020

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following tables present information about the Company’s liabilities that are measured at fair value on a recurring basis as of June 30, 2021 and December 31, 2020, as well as indicate the fair value hierarchy level of the valuation techniques and inputs that the Company utilized to determine such fair value:


June 30, 2021	Quoted Prices in Active Markets		Significant Other Observable Input		Significant Other Unobservable Inputs
	(Level 1)		(Level 2)		(Level 3)
	(in thousands)
Liabilities
Convertible Bridge Notes (1)	$	—	$	—	$	77,574
Class A Common Stock Warrants		—		—		32,889
Consent Fee Liability		—		—		2,983
Series B Preferred Stock Warrants		—		—		1,106
Series C Preferred Stock Warrants		—		—		70

	$	—	$	—	$	114,622

(1)	The Convertible Bridge Notes includes loans from Mithril II, LP in the principal amount of $15 million, VCVC in the principal of $5 million.


December 31, 2020	Quoted Prices in Active Markets		Significant Other Observable Input		Significant Other Unobservable Inputs
	(Level 1)		(Level 2)		(Level 3)
Liabilities
Series B Preferred Stock Warrants	$	—	$	—	$	508
Series C Preferred Stock Warrants		—		—		50

	$	—	$	—	$	558

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2020 and 2019 and indicate the fair value hierarchy level of the valuation techniques and inputs that the Company utilized to determine such fair value:


December 31, 2020	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Input (Level 2)		Significant Other Unobservable Inputs (Level 3)
	(in thousands)
Liabilities
Series B Preferred Stock Warrants	$	—	$	—	$	508
Series C Preferred Stock Warrants		—		—		50

	$	—	$	—	$	558


December 31, 2019	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Input (Level 2)		Significant Other Unobservable Inputs (Level 3)
	(in thousands)
Liabilities
Series B Preferred Stock Warrants	$	—	$	—	$	1
Series C Preferred Stock Warrants		—		—		—

	$	—	$	—	$	1

Schedule of Quantitative Information Associated with the Fair Value Measurement

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	%

Warrants Liabilities [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following is a summary of changes in the fair value of the Level 3 liabilities during the six months ended June 30, 2021 and 2020:


	Convertible Bridge Notes		Class A Common Stock Warrants		Consent Fee Liability		Preferred Stock Warrant Series B and C

	(in thousands)
Balance, December 31, 2020	$	—	$	—	$	—	$	558
Issuance of financial instruments carried at fair value		77,033		18,800		—		—
Liability recorded at fair value		—		—		2,715		—
Loss from changes in fair value		—		14,089		268	$	618
Changes recorded in other comprehensive income		541		—		—		—

Balance, June 30, 2021	$	77,574	$	32,889	$	2,983	$	1,176

Balance, December 31, 2019							$	1
Loss from changes in fair value of the warrant liabilities								279

Balance, June 30, 2020							$	280

The following is a summary of changes in the fair value of the Level 3 warrants liabilities for the years ended December 31, 2020 and 2019:


	December 31,
	2020		2019
	(in thousands)
Balance at the beginning of the year	$	1	$	542
Loss/(gain) from changes in fair value of the warrant liabilities		557		(541	)

Balance at the end of the year	$	558	$	1

Promissory Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following is a summary of changes in the fair value of the Level 3 promissory notes for the year ended December 31, 2019:


	December 31,
	2019
	(in thousands)
Balance at the beginning of the year	$	24,000
Accrued interest		2,400
Realized gain on conversion of promissory notes		(4,113	)

Balance at the conversion date, October 31, 2019	$	22,287