Have any of you recently gone through a vendor due diligence done by your customer wherein they asked for your company’s financial statements to assess vendor risk? If yes, how did you handle the request?

You can respond that as a private company you don't share financials, but that you'd be happy to get on a call with their financial team to answer any questions and alleviate concerns. Once on the call, if asked about revenues you can just answer that last year you did under $X.

Typically, the sourcing people are just following a template for onboarding a vendor and due diligence is one of the steps.