Quarterly report pursuant to Section 13 or 15(d)

Private Warrants (Tables)

v3.21.2
Private Warrants (Tables)
6 Months Ended
Jun. 30, 2021
Fair Value Measurement Inputs and Valuation Techniques [Abstract]  
Schedule of Private Warrants Fair Value Measurement Valuation

The table below sets forth the inputs we used in our Black-Scholes models for Private Warrant valuations and the fair values determined.

 

 

As Of

 

 

Three Months Ended

 

 

Six Months Ended

 

 

As Of

 

 

 

June 30, 2021

 

 

June 30, 2021

 

 

June 30, 2021

 

 

December 31, 2020

 

Share price of our common stock

 

$

25.05

 

 

$

17.45

 

-

$

38.33

 

 

$

17.45

 

-

$

44.26

 

 

$

23.51

 

Expected annual dividend yield (1)

 

 

0

%

 

 

 

 

 

0

%

 

 

 

 

 

0

%

 

 

0

%

Expected volatility (2)

 

 

40

%

 

 

 

 

 

40

%

 

 

 

 

 

40

%

 

 

40.0

%

Risk-free rate of return (3)

 

 

0.76

%

 

 

 

 

 

0.76

%

 

 

0.76

%

-

 

0.85

%

 

 

0.36

%

Expected warrant term (years) (4)

 

 

4.50

 

 

 

4.50

 

-

 

4.73

 

 

 

4.50

 

-

 

4.99

 

 

 

4.99

 

Fair value determined per warrant

 

$

15.14

 

 

$

8.53

 

-

$

27.82

 

 

$

8.53

 

-

$

33.65

 

 

$

13.81

 

 

(1)

We have not paid and do not currently anticipate paying a cash dividend on our common stock.

(2)

We estimated expected volatilities using stock data for select peer public companies over a timeframe similar to the expected term. We selected peer companies using our judgment and as such, expected volatility is a Level 3 input.

(3)

We estimated risk-free rates based on the expected terms using the U.S. Treasury yield curve in effect as of the valuation dates.

(4)

 The expected warrant terms are equal to the remaining contractual life of the Private Warrants at each measurement date.

Summary of Rollforward of Private Warrants Liability A rollforward of the Private Warrants liability is below.

(in thousands)

 

 

 

 

 

Balance at December 31, 2020

 

 

 

$

(82,860

)

Loss on remeasurement of Private Warrants

 

 

 

 

(80,697

)

Fair value of Private Warrants sold

 

 

 

 

13,922

 

Balance at March 31, 2021

 

 

 

 

(149,635

)

Gain on remeasurement of Private Warrants

 

 

 

 

58,740

 

Fair value of Private Warrants sold

 

 

 

 

31,593

 

Balance at June 30, 2021

 

 

 

$

(59,302

)