Fair Value of Financial Assets and Liabilities

9 Months Ended

12 Months Ended

Oct. 31, 2021

Sep. 30, 2021

Jan. 31, 2021

Fair Value of Financial Assets and Liabilities

Note 9—Fair Value Measurements

The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were measured at fair value using Black-Scholes and Monte Carlo simulation model. For the three months ended September 30, 2021, the Company recognized a

non-operating

loss in the accompanying unaudited condensed consolidated statements of operations resulting from an increase in the fair value of derivative warrant liabilities of approximately $2.7 million. For the nine months ended September 30, 2021, the Company recognized a

non-operating

gain in the accompanying unaudited condensed consolidated statements of operations resulting from a decrease in the fair value of derivative warrant liabilities of approximately $0.7 million.

The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2021 by level within the fair value hierarchy:


Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)

Assets:
Investments held in Trust Account—U.S. Treasury Securities (1)	$	345,097,744	$	—	$	—
Liabilities:
Derivative warrant liabilities	$	13,110,000	$	—	$	21,360,000

(1)	Excludes $914 of cash balance held within the Trust Account

Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement in April 2021, when the Public Warrants were separately listed and traded. As of September 30, 2021, the Public Warrants were publicly traded

at $1.90 per warrant.

The estimated fair value of the Private Placement Warrants, and the Public Warrants prior to being separately listed and traded, is determined using Level 3 inputs. Inherent in a Black-Scholes and Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury

zero-coupon

yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

The following table provides quantitative information regarding Level 3 f

ir value measurements inputs as their measurement dates:


	As of September 30, 2021

Exercise price	$	11.50
Stock price	$	9.91
Volatility		26.6% - 45.2	%
Term		5.17
Risk-free rate		1.0	%
Dividend yield		0.0	%

The change in the fair value of the derivative warrant liabilities at level 3 for the nine months ended September 30, 2021 is summarized as follows:


Level 3—Derivative warrant liabilities at January 1, 2021	$	—
Issuance of Public and Private Warrants		35,175,000
Change in fair value of derivative warrant liabilities		(495,335	)

Level 3—Derivative warrant liabilities at March 31, 2021	$	34,679,665
Transfer to Level 1		(12,489,000	)
Change in fair value of derivative warrant liabilities		(237,333	)

Level 3—Derivative warrant liabilities at June 30, 2021	$	21,953,332
Change in fair value of derivative warrant liabilitie s		(593,332	)
Level 3—Derivative warrant liabilities at September 30, 2021	$	21,360,000

Planet Labs Inc [Member]

Fair Value of Financial Assets and Liabilities

4.	Fair Value of Financial Assets and Liabilities

Assets and liabilities recognized or disclosed at fair value in the financial statements are categorized based upon the level of judgment associated with the inputs used to measure their respective fair values.

The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis for recognition or disclosure purposes as of October 31, 2021 and January 31, 2021 by level within the fair value hierarchy. Assets and liabilities measured at fair value are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires management to make judgments and considers factors specific to the asset or liability.


	October 31, 2021
(in thousands)	Level 1		Level 2		Level 3
Assets
Cash equivalents: money market funds	$	37,535	$	—	$	—
Restricted cash: money market funds		5,875		—		—

Total assets		43,410		—		—

Liabilities
Convertible notes		—		—		109,953
Preferred stock warrant liability		—		—		14,047

Total liabilities	$	—	$	—	$	124,000


	January 31, 2021
(in thousands)	Level 1		Level 2		Level 3
Assets
Cash equivalents: money market funds	$	50,449	$	—	$	—
Restricted cash: money market funds		5,165		—		—

Total assets		55,614		—		—

Liabilities
Convertible notes		—		—		101,212
Preferred stock warrant liability		—		—		11,359

Total liabilities	$	—	$	—	$	112,571

The fair value of the Company’s money market funds is based on quoted active market prices for the funds and is determined using the market approach. There were no realized or unrealized gains or losses on money market funds as of October 31, 2021 and January 31, 2021.

The Company measures its convertible notes and preferred stock warrants at fair value based on significant inputs not observable in the market, which causes them to be classified as a Level 3 measurement within the fair value hierarchy. These valuations use assumptions and estimates the Company believes would be made by a market participant in making the same valuation. The Company assess these assumptions and estimates on an

on-going

basis as additional data impacting the assumptions and estimates are obtained. Changes in the fair value of the convertible notes and preferred stock warrants related to updated assumptions and estimates are recognized within the unaudited condensed consolidated statements of operations and comprehensive loss.

The fair value of the convertible notes and preferred stock warrants may change significantly as additional data is obtained, impacting the Company’s assumptions regarding probabilities of outcomes used to estimate the fair value of the liabilities. In evaluating this information, considerable judgment is required to interpret the data used to develop the assumptions and estimates. The estimates of fair value may not be indicative of the amounts that could be realized in a current market exchange. Accordingly, the use of different market assumptions and/or different valuation techniques may have a material effect on the estimated fair value amounts, and such changes could materially impact the Company’s results of operations in future periods.

Level 3 Disclosures

The following table provides quantitative information associated with the fair value measurements of the Company’s Level 3 inputs:


	Fair Value as of October 31, 2021		Valuation Technique	Unobservable Input Description	Input
	(in thousands)

Convertible Notes		$109,953	Market approach	Probability of Conversion upon Business Combination	100%

				Discount for lack of marketability	5%

Preferred Stock Warrant Liability		14,047	Black-Scholes	Expected Term	8.4 years

				Volatility	60%

				Risk-free interest rate	1.49%

				Dividend yield	0%

			Market approach	Probability of Conversion upon Business Combination	100%

				Discount for lack of marketability	5%

	Fair value as of January 31, 2021		Valuation Technique	Unobservable Input Description	Input
	(in thousands)

Convertible Notes	$	101,212	Probability-weighted	Estimated time to liquidation	0.2-.5 years

				Volatility	35.00%

				Discount Yield	16.00%

				Risk-free interest rate	0.06%

Preferred Stock Warrant Liability		11,359	Option Pricing Method	Term	0.5-1.75 years

				Volatility	60.00%

				Discount for lack of marketability	10%- 17%

The fair value of the convertible notes as of October 31, 2021 was estimated using a market approach. The fair value of the convertible notes as of January 31, 2021 was estimated using a probability- weighted hybrid method combining (i) an option pricing model, and (2) a discounted cash flow analysis. The significant unobservable inputs used in the fair value measurement of the Company’s convertible note are the probability of conversion upon business combination, discount for lack of marketability, estimated time to liquidation, volatility, discount yield and risk-free interest rates. Significant changes in the probability of conversion upon business combination, estimated time to liquidation, volatility and discount yield would result in significantly lower or higher fair value measurement, respectively.

The fair value of the preferred stock warrant liability as of October 31, 2021 was estimated using a market approach and the Black-Scholes option pricing model. As of January 31, 2021, the fair value of the preferred stock warrants was estimated using an option pricing model. The significant unobservable inputs used in the fair value measurement of the Company’s preferred stock warrant liabilities are probability of conversion upon business combination, volatility, term and discount for lack of marketability. Significant changes in the probability of conversion upon business combination and volatility would result in significantly lower or higher fair value measurement, respectively.

The following table presents changes in Level 3 liabilities measured at fair value for the nine months ended October 31, 2021 and 2020:


(in thousands)	Convertible Notes			Preferred Stock Warrant Liability
Fair value, January 31, 2020	$	10,804		$	3,849
Issuance		68,528			2,596
Extinguishment		(3,260	)		—
Change in fair value		15,346			1,167

Fair value at end of period, October 31, 2020	$	91,418		$	7,612

Fair value, January 31, 2021	$	101,212		$	11,359
Change in fair value		8,741			2,688

Fair value at end of period, October 31, 2021	$	109,953		$	14,047

For the nine months ended October 31, 2021 and 2020, the changes in fair value of the convertible notes resulted from an increase in probability of conversion upon a business combination, an adjustment to the remaining period to the expected outcome and changes to the overall enterprise valuation. For the nine months ended October 31, 2021 and 2020, the changes in the fair value of the preferred stock warrant liability resulted from a change in probability of conversion upon a business combination, change in the estimated fair value of preferred stock and overall enterprise valuation.

Immediately prior to the Closing of the Business Combination, the convertible notes and certain preferred stock warrants converted into shares of the Company’s Class A Common Stock, see Note 1.

4.	Fair Value of Financial Assets and Liabilities

The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis for recognition or disclosure purposes as of January 31, 2021 and 2020 by level within the fair value hierarchy. Assets and liabilities measured at fair value are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires management to make judgments and considers factors specific to the asset or liability.


	January 31, 2021
(in thousands)	Level 1		Level 2		Level 3
Assets
Cash equivalents: money market funds	$	50,449	$	—	$	—
Restricted cash: money market funds		5,165		—		—

Total assets	$	55,614	$	—	$	—

Liabilities
Convertible notes	$	—	$	—	$	101,212
Preferred stock warrant liability		—		—		11,359

Total liabilities	$	—	$	—	$	112,571


	January 31, 2020
(in thousands)	Level 1		Level 2		Level 3
Assets
Cash equivalents: money market funds	$	13,991	$	—	$	—
Restricted cash: money market funds		5,886		—		—

Total assets	$	19,877	$	—	$	—

Liabilities
Convertible notes	$	—	$	—	$	10,804
Preferred stock warrant liability		—		—		3,849

Total liabilities	$	—	$	—	$	14,653

an on-going

basis as additional data impacting the assumptions and estimates are obtained. Changes in the fair value of the convertible notes and preferred stock warrants related to updated assumptions and estimates are recognized within the Consolidated Statements of Operations and Comprehensive Loss.

Level 3 Disclosures

The following table provides quantitative information associated with the fair value measurements of the Company’s Level 3 inputs:

Fair Value as of
January 31, 2021

Valuation Technique

Unobservable Input
Description

Input

(in thousands)

Convertible Notes

101,212

Probability-weighted

Estimated time to
liquidation

0.2-.5 years

Volatility

35.0%

Discount Yield

16.0%

Risk-free interest rate

0.1%

Preferred Stock Warrant Liability

11,359

Option Pricing Method

Term

0.5-1.75 years

Volatility

60%

Discount for lack of
marketability

10%- 17%

Fair Value as of
January 31, 2020

Valuation Technique

Unobservable Input
Description

Input

(in thousands)

Convertible Notes

10,804

Probability-weighted

Estimated time to
liquidation

2.0 years

Discount Yield

27.6%

Risk-free interest rate

1.6%

Preferred Stock Warrant Liability

3,849

Option Pricing Method

Term

2.0 years

Volatility

60.0%

Discount for lack of
marketability

25.0%

Risk-free interest rate

1.6%

The fair value of the convertible notes as of January 31, 2021 and 2020 was estimated using a probability- weighted hybrid method combining (i) an option pricing model, and (ii) a discounted cash flow analysis. The significant unobservable inputs used in the fair value measurement of the Company’s convertible note are the estimated time to liquidation, volatility, discount yield and risk-free interest rates. Significant changes in the estimated time to liquidation, volatility and discount yield would result in significantly lower or higher fair value measurement, respectively.

The fair value of the preferred stock warrant liability as of January 31, 2021 and 2020 was estimated using an option pricing model. The significant unobservable inputs used in the fair value measurement of the Company’s preferred stock warrant liabilities are volatility, term and discount for lack of marketability. Significant changes in the volatility would result in significantly lower or higher fair value measurement, respectively.

The following table presents changes in Level 3 liabilities measured at fair value for the years ended January 31, 2021 and 2020:


(in thousands)	Convertible Notes			Preferred Stock Warrant Liability
Fair value, February 1, 2019	$	—		$	3,897
Issuance		10,963			—
Change in fair value		(159	)		(48	)

Fair value at end of year, January 31, 2020		10,804			3,849
Issuance		68,529			2,596
Extinguishment		(3,260	)		—
Change in fair value		25,139			4,914

Fair value at end of year, January 31, 2021	$	101,212		$	11,359

For the years ended January 31, 2021 and 2020, the changes in fair value of the convertible notes resulted from an adjustment to the remaining period to the expected outcome and changes to the overall enterprise valuation. For the years ended January 31, 2021 and 2020, the changes in the fair value of the preferred stock warrant liability resulted from a change to the estimated fair value of preferred stock and overall enterprise valuation.

- 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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