Innoviz Technologies Ltd. Registration statement for securities of certain foreign private issuers

Registration statement for securities of certain foreign private issuers

Fair Value Measurements

Fair Value Measurements

12 Months Ended

Dec. 31, 2020

Collective Growth Corp [Member]

Fair Value Measurements

NOTE 11. FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC 820 for its financial assets and liabilities that are

re-measured

and reported at fair value at each reporting period, and

non-financial

assets and liabilities that are

re-measured

and reported at fair value at least annually.

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 the Company’s assessment of the assumptions that market participants would use in pricing the asset or liability.

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


Description	Level		December 31, 2020
Assets:
Marketable securities held in Trust Account		1	$	150,100,083
Liabilities:
Warrant Liability – Public Warrants		1		28,875,000
Warrant Liability – Private Placement Warrants		3		13,100,813

The Warrants were accounted for as liabilities in accordance with ASC

815-40

and are presented within warrant liabilities on the balance sheet. 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 liabilities in the consolidated statement of operations.

Initial Measurement

The Company established the initial fair value for the Warrants on May 5, 2020, the date of the Company’s Initial Public Offering, using a Binomial Lattice Model for the Public Warrants and a Black-Scholes Model for the Private Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A ordinary shares and

one-half

of one Public Warrant), (ii) the sale of Private Placement Warrants, and (iii) the issuance of Class B ordinary shares, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption, Class A ordinary shares and Class B ordinary shares based on their relative fair values at the initial measurement date. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.

The key inputs into the Binomial Lattice Model for the Public Warrants were as follows at initial measurement:


Input	May 5, 2020 (Initial Measurement)
Risk-free interest rate		0.4	%
Dividend Yield		0.0	%
Expected volatility		35.0	%
Contractual term (years)		5.5
Probability of closing		80.00	%
Exercise price	$	11.50
Stock Price	$	9.15

The key inputs into the Black-Scholes Model for the Private Placement Warrants were as follows at initial measurement:


Input	May 5, 2020 (Initial Measurement)
Risk-free interest rate		0.4	%
Dividend Yield		0.0	%
Expected volatility		35.0	%
Contractual term (years)		5.5
Probability of closing		80.00	%
Exercise price	$	11.50
Stock Price	$	9.15

On May 5, 2020, the Private Placement Warrants and Public Warrants were determined to be $1.83 and $1.58 per warrant for aggregate values of $3.67 million and $11.85 million, respectively.

Subsequent Measurement

The Warrants are measured at fair value on a recurring basis. The subsequent measurement of the Public Warrants as of December 31, 2020 is classified as Level 1 due to the use of an observable market quote in an active market.

As of December 31, 2020, the aggregate values of the Private Placement Warrants and Public Warrants were $13.1 million and $28.88 million, respectively.

The following table presents the changes in the fair value of warrant liabilities:


	Private Placement		Public		Warrant Liabilities
Fair value as of January 1, 2020	$	—	$	—	$	—
Initial measurement on May 5, 2020 (IPO)		3,671,438		11,850,000		15,521,438
Change in valuation inputs or other assumptions		9,429,375		17,025,000		26,454,375

Fair value as of December 31, 2020	$	13,100,813	$	28,875,000	$	41,975,813

Due to the use of quoted prices in an active market (Level 1) to measure the fair value of the Public Warrants, subsequent to initial measurement, the Company had transfers out of Level 3 totaling $11,850,000 during the year ended December 31, 2020.

Level 3 financial liabilities consist of the Private Placement Warrant liability for which there is no current market for these securities such that the determination of fair value requires significant judgment or estimation. Changes in fair value measurements categorized within Level 3 of the fair value hierarchy are analyzed each period based on changes in estimates or assumptions and recorded as appropriate.

- 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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