XML 27 R16.htm IDEA: XBRL DOCUMENT

FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 26, 2021

8. FAIR VALUE MEASUREMENTS

The Company’s financial liabilities subject to fair value measurement on a recurring basis and the level of inputs used for such measurements were as follows:


	Fair Value Measured as of September 26, 2021
	Level 1		Level 2		Level 3		Total
Liabilities included in:
Warrant liability (Public)	$	30,400	$	—	$	—	$	30,400
Warrant liability (Private)		—		—		15,586		15,586
Acquisition contingent consideration payable		—		—		24,373		24,373
Earn-out liability		—		—		24,588		24,588
Total fair value	$	30,400	$	—	$	64,547	$	94,947

As of September 26, 2021, the Company's derivative liabilities for its private and public warrants, the earn-out liability (see Note 2, “Business Combination and Acquisitions,” for more details), and the acquisition contingent consideration payable are measured at fair value on a recurring basis. The fair value for the private warrants, earn-out liability, and acquisition contingent consideration payable are determined based on significant inputs not observable in the market (Level 3). The valuation of the Level 3 liabilities uses assumptions and estimates the Company believes would be made by a market participant in making the same valuation. The Company assesses these assumptions and estimates on an on-going basis as additional data impacting the assumptions and estimates are obtained. The Company uses a Monte Carlo simulation model to estimate the fair value of its private warrants and earn-out liability. The fair value of the public warrants is determined using publicly traded prices (Level 1). Changes in the fair value of the derivative liabilities related to warrants and the earn-out liability are recognized as non-operating expense in the condensed consolidated statements of comprehensive income. Changes in the fair value of acquisition contingent consideration payable are recognized as acquisition and restructuring costs in the condensed consolidated statements of comprehensive income.

The fair value of private warrants was estimated as of September 26, 2021 using the Monte Carlo simulation model with the following assumptions:


Valuation date price	$	12.21
Strike price	$	11.50
Remaining life	4.81 years
Expected dividend	$	-
Risk-free interest rate		0.93	%
Price threshold	$	18.00

The fair value of the earn-out liability was estimated as of September 26, 2021 using the Monte Carlo simulation model with the following assumptions:


Valuation date price	$	12.21
Expected term	6.81 years
Expected volatility		38.24	%
Risk-free interest rate		1.25	%
Price hurdle 1	$	13.00
Price hurdle 2	$	15.00

As of September 26, 2021 and December 31, 2020, the Company has accounts receivable, accounts payable and accrued expenses for which the carrying value approximates fair value due to the short-term nature of these instruments. The carrying value of the Company’s long-term debt approximates fair value as the rates used approximate the market rates currently available to the Company. Fair value measurements used in the impairment reviews of goodwill and intangible assets are Level 3 measurements.

The reconciliation of changes in Level 3 during the 13-week and 39-week periods ended September 26, 2021 is as follows:


	For the thirty-nine weeks ended September 26, 2021
	Private Warrants		Acquisition Contingent Consideration			Earn-Out Liability		Total
Balance on December 31, 2020	$	—	$	9,200		$	—	$	9,200
Cash paid for contingent consideration		—		(2,000	)		—		(2,000	)
Liabilities assumed in recapitalization		9,613		—			17,722		27,335
Losses included in earnings		5,973		17,173			6,866		30,012
Balance on September 26, 2021	$	15,586	$	24,373		$	24,588	$	64,547

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details