Local Bounti Corporation General form of registration statement for all companies including face-amount certificate companies

General form of registration statement for all companies including face-amount certificate companies

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Summary of Fair Values of Assets and Liabilities

The following table sets forth, by level within the fair value hierarchy, the accounting of the Company’s financial assets and liabilities at fair value on a recurring and nonrecurring basis according to the valuation techniques the Company uses to determine their fair value (in thousands):


	As of September 30, 2021
	Level 1		Level 2		Level 3
Recurring fair value measurments
Assets:
Money market funds	$	10,372	$	—	$	—

Total	$	10,372	$	—	$	—

Liabilities:
Convertible notes	$	—	$	—	$	31,117
Warrant liability	$	—	$	—	$	1,425

Total	$	—	$	—	$	32,542

Summary of fair value measurements inputs

The Company calculated the estimated fair value of the Convertible Notes on the date of issuance and at each subsequent reporting date. The Company used the following assumptions as of September 30, 2021:


Nine months ended September 30,		2021
Implied Yield		25.2% - 29.6%
Time from Valuation to Maturity (Years)		1.36
Time from Valuation to SPAC Merger (Years)		0.13
Time from Valuation to Qualified Financing (Years)		0.83

The Company calculated the estimated fair value of the warrants on the date of issuance and at each subsequent reporting date using the following assumptions:


Nine months ended September 30,		2021
Risk Free Rate		1.00% - 1.12%
Warrant Term (Years)		5.00
Dividend Yield		0.00%
Class Volatility		50.00%
Time to Issuance (Years)		0.13 - 0.83

Summary of change in the fair value of derivative warrant liabilities

The following table presents changes in the Level 3 fair value measurement for the Convertible Notes and warrant liability on a recurring basis (in thousands):


	For the nine months ended September 30, 2021
	Convertible Notes		Warrant Liability
Balance as of December 31, 2020	$	—	$	—
Additions		26,050		1,415
Fair value measurement adjustments		5,067		10

Balance as of September 30, 2021	$	31,117	$	1,425

LEO HOLDINGS III CORP [Member]

Summary of Fair Values of Assets and Liabilities


	Fair Value Measured as of September 30, 2021
	Level 1		Level 2		Level 3		Total
Assets
Investments held in Trust Account - U.S. Treasury Securities	$	275,013,714	$	—	$	—	$	275,013,714
Liabilities:
Warrant liabilities - public warrants	$	4,235,000	$	—	$	—	$	4,235,000
Warrant liabilities - private warrants	$	—	$	—	$	4,106,666	$	4,106,666

Summary of Changes in Fair Value of the Derivative Warrant Liabilities

The change in the fair value of the Level 3 derivative warrant liabilities for the three months ended September 30, 2021 and the period from January 8, 2021 (inception) through September 30, 2021 is summarized as follows:


Warrant liabilities at January 8, 2021 (inception)	$	—
Issuance of Public and Private Warrants		9,153,333
Change in fair value of warrant liabilities		(1,408,333	)

Warrant liabilities at March 31, 2021		7,745,000
Public Warrants transferred to Level 1		(3,905,000	)
Change in fair value of warrant liabilities		2,346,666

Warrant liabilities at June 30, 2021		6,186,666
Change in fair value of warrant liabilities		(2,080,000	)

Warrant liabilities at September 30, 2021	$	4,106,666

Summary of fair value measurements inputs

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:


	September 30, 2021			March 2, 2021
Exercise price	$	11.50		$	11.50
Stock Price	$	9.94		$	9.83
Term (in years)		5.09			5.58
Volatility		12.90	%		15.10	%
Risk-free interest rate		0.99	%		0.79	%
Dividend yield		0.0	%		0.0	%