Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.21.2
Fair Value Measurement (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of fair value of assets and liabilities measured on a non-recurring basis The following table sets forth the fair value of the Company’s assets and liabilities at September 30, 2021 (dollars in thousands):
Level 1 Level 2 Level 3 Totals
Cash and cash equivalents $ 104,980  $ —  $ —  $ 104,980 
Restricted cash 100  —  —  100 
Total assets $ 105,080  $ —  $ —  $ 105,080 
Term loan $ —  $ 55,133  $ —  $ 55,133 
Finance lease obligations —  98  —  98 
VCIP/OBIP liability —  238  —  238 
Warrant liability—Forward Purchase Warrants —  —  1,333  1,333 
Total liabilities $ —  $ 55,469  $ 1,333  $ 56,802 
The following table sets forth the fair value of the Company’s assets and liabilities at December 31, 2020 (dollars in thousands):

Level 1 Level 2 Level 3 Totals
Cash and cash equivalents $ 18,098  $ —  $ —  $ 18,098 
Restricted cash 1,468  —  —  1,468 
Total assets $ 19,566  $ —  $ —  $ 19,566 
Term loan $ —  $ 56,044  $ —  $ 56,044 
Finance lease obligations —  430  —  430 
VCIP/OBIP liability —  —  286  286 
Total liabilities $ —  $ 56,474  $ 286  $ 56,760 
Schedule of valuation assumptions
The following table provides quantitative information regarding assumptions used in the Black Scholes option-pricing model to determine the fair value of the Forward Purchase Warrants:

September 30, 2021 June 18, 2021 (Closing Date)
Stock price $ 6.52 $ 9.12
Exercise price $ 11.50 $ 11.50
Contractual term
4.70 years
5.00 years
Expected volatility 47.50% 37.50%
Risk-free rate 0.90% 0.90%
Dividend yield 0.00% 0.00%
Schedule of changes in fair value of level 3 liabilities
The changes in fair value of the Level 3 liabilities are as follows (dollars in thousands):

September 30, 2021 December 31, 2020
Balance, beginning of the year $ 286  $ 286 
VCIP/OBIP liability transferred out of Level 3 (286) — 
Closing-date fair value of warrant liability 2,008  — 
Changes in fair value of warrant liability (675) — 
Balance, end of period $ 1,333  $ 286