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

FAIR VALUE MEASUREMENTS (Tables)

v3.21.2
FAIR VALUE MEASUREMENTS (Tables)
 4 Months Ended 6 Months Ended 12 Months Ended
Dec. 31, 2020
Jun. 30, 2021
Dec. 31, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Fair Value Assumptions   The level 3 fair value assumptions used in the Black-Scholes model for the recurring valuation of the redeemable convertible preferred stock warrant liability were as follows:
Six months ended June 30,
2021 2020
Expected volatility
55% – 65%
35% – 45%
Risk-free interest rate
0.1% – 0.5%
0.1% – 0.8%
Dividend yield —  — 
The level 3 fair value assumptions used in the
Black-Scholes model for the recurring valuation of the redeemable convertible preferred stock warrant liability were as follows:
Year ended December 31,
2020 2019
Expected volatility
35% – 45%
41% – 54%
Risk-free interest rate
0.1% – 0.8%
1.6% – 1.9%
Dividend yield —  — 
JAWS Spitfire Acquisition Corporation      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Schedule of company's assets that are measured at fair value on a recurring basis   The gross holding gains and fair value of held-to-maturity securities at June 30, 2021 and December 31, 2021 are as follows:
Held-To-Maturity Level Fair Value
June 30, 2021 U.S. Mutual Funds 1 $ 345,009,910 
December 31, 2020 U.S. Mutual Funds 1 $ 345,000,000 
 
Schedule of company's liabilities that are measured at fair value on a recurring basis  
The following table presents information about the Company’s liabilities 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.
Level June 30,
2021		 Level December 31,
2020
Liabilities:
Warrant Liability – Public Warrants 1 $ 16,560,000  3 $ 28,462,500 
Warrant Liability – Private Placement Warrants 2 $ 8,544,000  3 $ 14,685,000 
 
Schedule of level 3 inputs used for the fair value measurements  
The following table provides quantitative information regarding the Level 3 inputs used for the fair value measurements:
As of December 31, 2020
Exercise Price $ 11.50 
Stock Price $ 10.00 
Term (years) 5.0
Volatility 82.9 %
Risk free interest rate 0.42 %
Dividend yield 0.0  %
Public warrant price $ 3.30 
 
Schedule of changes in the fair value of Level 3 warrant liabilities
The following table provides a roll-forward of the fair value of the Company’s warrant liability, for which fair value was determined using Level 3 inputs:
Warrant liabilities
Fair value at December 7, 2020 $ 43,147,500 
Change in fair value — 
Fair value at December 31, 2020 $ 43,147,500 
The following table presents the changes in the fair value of Level 3 warrant liabilities:
Private Placement Public Warrant Liabilities
Fair value as of January 1, 2021 $ 14,685,000  $ 28,462,500  $ 43,147,500 
Change in fair value (5,963,000) (11,557,500) (17,520,500)
Transfer to Level 1 —  (16,905,000) (16,905,000)
Transfer to Level 2 (8,722,000) —  (8,722,000)
Fair value as of June 30, 2021 $ —  $ —  $ — 
 
Schedule of fair value of warrant liabilities
The fair value of warrant liabilities at December 31, 2020 is as follows:
Fair Value Measurements at December 31, 2020 Using:
Level 1 Level 2 Level 3   Total
Liabilities:        
Public Warrant liabilities $ —  $ —  $ 28,462,500  $ 28,462,500 
Private Placement Warrant Liabilities $ —  $ —  $ 14,685,000  $ 14,685,000 
   
Fair Value Assumptions  
The following table provides quantitative information regarding the Level 3 inputs used for the fair value measurements:
As of December 7, 2020
(Initial Measurement) 		As of December 31, 2020
Exercise price $ 11.50  $ 11.50 
Stock price $ 10.00  $ 10.00 
Term (years) 5.0 5.0
Volatility 82.8 % 82.9 %
Risk free interest rate 0.46 % 0.42 %
Dividend yield 0.0 % 0.0 %
Public and private warrant price $ 3.30  $ 3.30 
 
Schedule of roll-forward of the fair value of the warrant liability
The following table provides a roll-forward of the fair value of the Company’s warrant liability, for which fair value was determined using Level 3 inputs:
Warrant liabilities
Fair value at December 7, 2020 $ 43,147,500 
Change in fair value — 
Fair value at December 31, 2020 $ 43,147,500 
The following table presents the changes in the fair value of Level 3 warrant liabilities:
Private Placement Public Warrant Liabilities
Fair value as of January 1, 2021 $ 14,685,000  $ 28,462,500  $ 43,147,500 
Change in fair value (5,963,000) (11,557,500) (17,520,500)
Transfer to Level 1 —  (16,905,000) (16,905,000)
Transfer to Level 2 (8,722,000) —  (8,722,000)
Fair value as of June 30, 2021 $ —  $ —  $ —