Rodgers Silicon Valley Acquisition Corp. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Fair Value Measurement

Fair Value Measurement

12 Months Ended

Dec. 31, 2023

The fair value of the Company’s financial assets and liabilities are determined in accordance with the fair value hierarchy established in ASC 820, Fair Value Measurements, issued by the FASB. The fair value hierarchy of ASC 820 requires an entity to maximize the use of observable inputs when measuring fair value and classifies those inputs into three levels:


Level 1:			Observable inputs, such as quoted prices (unadjusted) in active markets for identical assets or liabilities at the measurement date.
Level 2:			Observable inputs, other than Level 1 prices, such as quoted prices in active markets for similar assets and liabilities, quoted prices in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3:			Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities.

The Company's financial instruments consist primarily of cash and cash equivalents, short-term investments, accounts receivable, notes receivable, accounts payable, short-term and long-term debt, and warrant liabilities. Cash and cash equivalents are reported at their respective fair values on the Company's Consolidated Balance Sheets. As of December 31, 2023 and January 1, 2023, the carrying values of accounts and notes receivables, accounts payable, short-term debt and accrued liabilities approximated the fair value based on the short maturity of those instruments.

Cash and cash equivalents are reported at their respective fair values on the Consolidated Balance Sheets. Where quoted prices are available in an active market, securities are classified as Level 1. The Company classifies money market funds as Level 1. When quoted market prices are not available for the specific security, then the Company estimates fair value by using quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant inputs are observable in the market or can be corroborated by observable market data for substantially the full term of the assets. Where applicable, these models project future cash flows and discount the future amounts to a present value using market-based observable inputs obtained from various third-party data providers, including but not limited to benchmark yields, reported trades and broker/dealer quotes. Where applicable the market approach utilizes prices and information from market transactions for similar or identical assets. The Company will classify commercial paper, corporate debt securities and asset-backed securities as Level 2. As of December 31, 2023 and January 1, 2023, the Company had cash and cash equivalents of $233.1 million and $322.9 million, respectively.

The following table details the fair value measurements of assets and liabilities that were measured at fair value on a recurring basis based on the following three-tiered fair value hierarchy per ASC 820, Fair Value Measurement, as of December 31, 2023 and January 1, 2023 (in thousands).


	Fair Value Measurement using
	Level 1		Level 2		Level 3		Total Fair Value
As of December 31, 2023
Assets:
Cash equivalents:
Money Market Funds	$	19,312	$	—	$	—	$	19,312
U.S. Treasuries	—		45,175		—		45,175
Short-term investments:
U.S. Treasuries	—		73,694		—		73,694


Liabilities:
Private Placement Warrants	$	—	$	—	$	42,900	$	42,900

As of January 1, 2023
Assets:
Cash equivalents:
Money Market Funds	$	319,946	$	—	$	—	$	319,946
Liabilities:
Private Placement Warrants	$	—	$	—	$	49,080	$	49,080

Cash Equivalents and Short-term Investments:

The following is a summary of cash equivalents and short-term investments (in thousands).


									Reported as
	Amortized Cost		Unrealized Gain		Unrealized Loss		Estimated Fair Value		Cash Equivalents		Short-term Investments
As of December 31, 2023
Money Market Funds	$	19,312	$	—	$	—	$	19,312	$	19,312	$	—
U.S. Treasuries	118,854		15				118,869		45,175		73,694
Total	$	138,166	$	15	$	—	$	138,181	$	64,487	$	73,694

As of January 1, 2023
Money Market Funds	$	319,946	$	—	$	—	$	319,946	$	319,946	$	—

As of December 31, 2023, the short-term investments have contractual maturity due within one year.

Private Placement Warrants

The Company’s liabilities are measured at fair value on a recurring basis, including 6,000,000 shares of the Private Placement Warrants that were held by Rodgers Capital, LLC (the “Sponsor”) and certain of its members. The fair value of the Private Placement Warrants is considered a Level 3 valuation and is determined using the Black-Scholes valuation model. The key assumptions impacting the fair value of the Private Placement Warrants are the fair value of the Company’s common stock as of each re-measurement date, the remaining contractual terms of the Private Placement Warrants, risk-free rate of return and expected volatility which is based on the historical and implied volatility of the Company and the volatility of the Company’s peer group.

As of December 31, 2023, the fair value of the Private Placement Warrants was $7.15 per share with an exercise price of $11.50 per share. The following table summarizes the changes for Level 3 items measured at fair value on a recurring basis using significant unobservable inputs (in thousands).


	Private Placement Warrants
Fair value as of January 2, 2022	$	124,260


Change in fair value	(75,180)
Fair value as of January 1, 2023	49,080
Change in fair value	(6,180)
Fair value as of December 31, 2023	$	42,900

The following table summarizes the key assumptions used for determining the fair value of common stock warrants.


	Private Placement Warrants Outstanding as of December 31, 2023	Private Placement Warrants Outstanding as of January 1, 2023	Private Placement Warrants Outstanding as of January 2, 2022
Expected term (in years)	2.5	3.5	4.5
Expected volatility	90.0%	92.5%	77.5%
Risk-free interest rate	4.1%	4.2%	1.2%
Expected dividend rate	—%	—%	—%

Convertible Senior Notes and Long-term Loans

The Company considers the fair value of the Convertible Senior Notes to be a Level 2 measurement as they are not actively traded in the market. As of December 31, 2023, the fair value of the Convertible Senior Notes was approximately $179.1 million. As of December 31, 2023, the Company considers the fair value of the long-term loans are approximately close to its carrying value of $3.3 million.

- 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.

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