Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.23.3
Fair Value Measurements
 9 Months Ended
Oct. 02, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value MeasurementsFair values of financial instruments are estimated using public market prices, quotes from financial institutions, and other available information. The fair values of cash equivalents, receivables, net, accounts payable and short-term debt approximate their carrying amounts due to their short duration.
The following tables summarize the fair values of financial instruments measured at fair value on a recurring basis as of October 2, 2023 and January 2, 2023.

Items Measured at Fair Value at October 2, 2023
(in thousands) Quoted prices in active market for identical assets (liabilities) (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3)
Warrant liability —  $ 362  — 
Total $ —  $ 362  $ — 

Items Measured at Fair Value at January 2, 2023
(in thousands) Quoted prices in active market for identical assets (liabilities) (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3)
Warrant liability —  $ 195  — 
Total $ —  $ 195  $ — 

In estimating our fair value disclosures for financial instruments, we use the following methods and assumptions:
The fair value of the Company’s warrant liability is measured at fair value on a recurring basis, classified as Level 2 in the fair value hierarchy. The fair value of the private placement warrants, private warrants, and working capital warrants are determined using the publicly-traded price of its common stock on the valuation dates of $1.14 on October 2, 2023 and $1.26 on January 2, 2023. The fair value is calculated using the Black-Scholes option-pricing model. The Black-Scholes model requires us to make assumptions and judgments about the variables used in the calculation, including the expected term, expected volatility, risk-free interest rate, dividend rate and service period. The calculated warrant price for private warrants was $0.10 and $0.05 on October 2, 2023 and January 2, 2023.

The input variables for the Black-Scholes are noted in the table below:

October 2, 2023 January 2, 2023
Risk-free interest rate 4.95  % 4.14  %
Expected life in years 2.2 3.0
Expected volatility 94.5  % 68.0  %
Expected dividend yield —  % —  %

Assets and liabilities that are measured at fair value on a non-recurring basis include our long-lived assets and definite-lived intangible assets which are adjusted to fair value upon impairment. In determining fair value, we used an income-based approach. As a number of assumptions and estimates were involved that are largely unobservable, they are classified as Level 3 inputs within the fair value hierarchy. Assumptions used in these forecasts are consistent with internal planning, and include revenue growth rates, royalties, gross margins, and operating expense in relation to the current economic environment and the Company’s future expectations.