Vyome Holdings, Inc Fair Value Disclosure
3. Fair Value Measurements
Instruments Recorded at Fair Value on a Recurring Basis
The Company has segregated all financial assets and liabilities that are measured at fair value on a recurring basis (at least annually) into the most appropriate level within the fair value hierarchy based on the inputs used to determine the fair value at the measurement date in the table below.
Assets and liabilities measured at fair value on a recurring basis at December 31, 2020 and 2019 are as follows (in thousands):
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Fair value measurements at reporting date using |
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Quoted prices |
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Significant |
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in active |
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other |
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Significant |
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markets for |
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observable |
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unobservable |
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Balance as of |
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identical assets |
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inputs |
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inputs |
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December 31, 2020 |
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Assets: |
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Cash |
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$ |
823 |
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$ |
823 |
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— |
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— |
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Cash Equivalents: |
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Money Market Funds |
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3,082 |
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3,082 |
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$ |
— |
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$ |
— |
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Total assets |
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$ |
3,905 |
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$ |
3,905 |
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$ |
— |
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$ |
— |
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Fair value measurements at reporting date using |
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Quoted prices |
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Significant |
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in active |
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other |
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Significant |
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markets for |
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observable |
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unobservable |
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Balance as of |
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identical assets |
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inputs |
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inputs |
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December 31, 2019 |
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Assets: |
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Cash |
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$ |
1,012 |
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$ |
1,012 |
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— |
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— |
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Cash Equivalents: |
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Money Market Funds |
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13,043 |
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13,043 |
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— |
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— |
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Total assets |
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$ |
14,055 |
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$ |
14,055 |
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$ |
— |
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$ |
— |
The Company’s investments in Level 1 assets are valued based on publicly available quoted market prices for identical securities as of December 31, 2020 and 2019.
The warrant liabilities are recorded at fair value using the Black-Scholes option pricing model based on the following assumptions as of December 31, 2020:
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December 31, 2020 |
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Assumed risk-free interest rate |
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0.38% - 0.44 |
% |
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Assumed volatility |
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69.86% - 70.84 |
% |
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Expected life |
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6.10 years |
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Expected dividend yield |
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— |
% |
The assumptions were determined as follows:
Assumed risk-free interest rate — Based on the average yield of U.S. Treasury bills as of the valuation date for the expected term of the awards.
Assumed volatility — Based on the historical volatility of a number of publicly traded companies comparable in size, business model, industry and business description.
Expected life — Based on the remaining contractual term of warrant or the equity award as of the valuation date.
Expected dividend yield — Based upon the Company’s historic dividends and dividend expectations for the foreseeable future.
As of December 31, 2020, reasonable changes in the unobservable inputs would not be expected to have a significant impact on the consolidated financial statements. The Company’s policy is to recognize transfers between levels of the fair value hierarchy on the date of the event or change in circumstances that caused the transfer. There were no significant transfers into or out of Level 1, 2, or 3 for the year ended December 31, 2020.
The following table provides reconciliation for all liabilities measured at fair value using significant unobservable inputs (Level 3) for the year ended December 30, 2020 (in thousands):
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Fair value |
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measurements at |
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reporting date |
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using significant |
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unobservable |
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inputs (Level 3) |
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Balance as of December 31, 2019 |
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$ |
— |
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Issuance of cash settled equity awards |
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5 |
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Change in fair value of warrant and cash settled award liabilities |
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33 |
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Balance as of December 31, 2020 |
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$ |
38 |
Instruments Not Recorded at Fair Value on a Recurring Basis
The estimated fair value of the Company's long-term loan is determined by Level 2 inputs and is based primarily on quoted market prices for the same or similar issues. The recorded value of the Company's long-term loan approximates the current fair value as the interest rate and other terms are more favorable than that which are currently available to the Company.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2020 | Mar 12, 2021 | Showing above |
| 2019 | Feb 27, 2020 | |
| 2018 | Feb 22, 2019 | |
| 2017 | Mar 5, 2018 | |
| 2016 | Feb 23, 2017 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.