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Fair value measurements
9 Months Ended
Sep. 30, 2021
Fair value measurements  
Fair value measurements

Note 12 – Fair value measurements

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

Level 1: Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

Level 2: Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

Level 3: Unobservable inputs based on an assessment of the assumptions that market participants would use in pricing the asset or liability.

There were no earnout or warrant liabilities as of December 31, 2020. The following table presents information about the Company’s liabilities that were measured at fair value on a recurring basis as of September 30, 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

September 30, 

(in thousands)

Level

2021

Earnout liability

 

 

3

$

3,730

Warrant liability – Public Warrants

1

$

20,127

Warrant liability – Private Placement Warrants

3

$

13,511

The Warrants are accounted for as liabilities in accordance with ASC 815 and are presented as warrant liabilities on the condensed consolidated balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liability in the unaudited condensed consolidated statements of operations. The Private Placement Warrants were valued using a Monte Carlo simulation methodology. The close price of the Public Warrants price was used as the fair value as of each relevant date.

The following table presents the changes in the fair value of warrant and earnout liabilities during the nine months ended September 30, 2021:

Warrant

Earnout

(in thousands)

Liability

Liability

Fair value as of December 31, 2020

$

$

Liability recognized due to the CRIS Business Combination

79,584

18,278

Liability settled through equity

(10,853)

Change in fair value of liability

(45,946)

(3,695)

Fair value as of September 30, 2021

$

33,638

$

3,730

There were no transfers in or out of Level 3 from other levels in the fair value hierarchy during the nine months ended September 30, 2021.