Fair Value Measurements
|9 Months Ended|
Sep. 30, 2021
|Bird Rides [Member]|
|Fair Value Measurements||
Note 2 – Fair Value Measurements
Recurring Fair Value Measurements
GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants in the principal market or, if none exists, the most advantageous market, for the specific asset or liability at the measurement date (referred to as the “exit price”). Fair value is a market-based measurement that is determined based upon assumptions that market participants would use in pricing an asset or liability, including consideration of nonperformance risk.
The Company discloses and recognizes the fair value of its assets and liabilities using a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. This hierarchy indicates the extent to which inputs used in measuring fair value are observable in the market.
The Company’s Redeemable Convertible Senior Preferred Stock (“Senior Preferred Stock”) contains an embedded derivative which, consistent with FASB Accounting Standards Codification (“ASC”) Topic 815 Derivatives and Hedging (“ASC 815”), is bifurcated and accounted for separately from the Senior Preferred Stock. In addition, when the Company issued the Senior Preferred Stock, it granted certain holders warrants (“Senior Preferred Warrants”) to purchase additional shares of Senior Preferred Stock (See Note 8).
The bifurcated embedded derivative and warrant liabilities are initially recorded at issuance date fair value, and revalued at each fiscal
quarter-endwith any changes to fair value reflected in other expense, net. Key assumptions used in the valuation model were based on the terms and conditions of the Senior Preferred Stock and Senior Preferred Warrants, including the dividend and conversion discount per the Company’s amended charter, the probability of and proximity to redemption or exercise scenarios ranging from 1 to 16 months, and a discount rate of 25% based on the Company’s stage of development and expected rate of return.
As of September 30, 2021, the Company had $142.8 million of level 3 financial instruments, comprised of $100.8 million of bifurcated embedded derivatives included in derivative liabilities and $41.9
million of warrant liabilities included in derivative liabilities in the condensed consolidated balance sheets.
As of December 31, 2020, the Company had $1.1 million of level 3 financial instruments, comprised of $0.6 million of current warrant liabilities included in prepaid expenses and other current assets and $0.5
million of non-current warrant liabilities included in derivative liabilities in the condensed consolidated balance sheets.
Expenses associated with the issuance and
adjustments of level 3 financial instruments are reflected in other expense, net and totaled $6.4 million and $0 for the three months ended September 30, 2021 and 2020, respectively, and $53.6 million and $0.1 million for the nine months ended September 30, 2021 and 2020, respectively.
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.
Reference 1: http://www.xbrl.org/2003/role/disclosureRef