Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value MeasurementsThe Company’s assets and liabilities that were measured at fair value on a recurring basis were as follows:
Fair Value Measured as of September 30, 2021
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds $ 296,826  $ —  $ —  $ 296,826 
Total financial assets $ 296,826  $ —  $ —  $ 296,826 
Liabilities
Common stock warrant liabilities (Public) $ 13,283  $ —  $ —  $ 13,283 
Common stock warrant liabilities (Private Placement) —  —  6,853  6,853 
Contingent earnout liabilities —  —  118,749  118,749 
Total financial liabilities $ 13,283  $ —  $ 125,602  $ 138,885 
Fair Value Measured as of December 31, 2020
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds $ 15,517  $ —  $ —  $ 15,517 
Total financial assets $ 15,517  $ —  $ —  $ 15,517 
Liabilities
Redeemable convertible preferred stock warrant liability $ —  $ —  $ 181  $ 181 
Total financial liabilities $ —  $ —  $ 181  $ 181 
The money market funds were classified as cash and cash equivalents on the condensed balance sheets. The aggregate fair value of the Company’s money market funds approximated amortized cost and, as such, there were no unrealized gains or losses on money market funds as of September 30, 2021 and December 31, 2020. Realized gains and losses, net of tax, were not material for any of the periods presented.
As of September 30, 2021 and December 31, 2020, the Company had no investments with a contractual maturity of greater than one year.
The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments:
Redeemable convertible preferred stock warrant liabilities Private placement warrant liabilities Contingent earnout liabilities
(In thousands)
Fair value as of January 1, 2021 $ 181  $ —  $ — 
Private placement warrant liabilities acquired as part of the reverse recapitalization —  7,165  — 
Contingent earnout liabilities recognized upon the closing of the reverse recapitalization —  —  120,763 
Change in fair value 718  (312) (2,014)
Issuance of warrants —  —  — 
Exercise of warrants (899) —  — 
Fair value as of September 30, 2021 $ —  $ 6,853  $ 118,749 
Redeemable convertible preferred stock warrant liabilities Private placement warrant liabilities Contingent earnout liabilities
(In thousands)
Fair value as of January 1, 2020 $ 185  $ —  $ — 
Change in fair value (5) —  — 
Issuance of warrants —  —  — 
Exercise of warrants —  —  — 
Fair value as of September 30, 2020 $ 180  $ —  $ — 
The fair value of the private placement warrant liability, redeemable convertible preferred stock warrant liability and contingent earnout liability are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. In determining the fair value of the private placement warrant liability, the Company used the Binomial-Lattice Model that assumes optimal exercise of the Company’s redemption option at the earliest possible date. In determining the fair value of the redeemable convertible preferred stock warrant liability, the Company used the Black-Scholes option pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate and dividend yield (please refer to Note 16, Equity Instruments). In determining the fair value of the contingent earnout liability, the Company used the Monte Carlo simulation valuation model using a distribution of potential outcomes on a monthly basis over the Earnout Period using the most reliable information available (please refer to Note 16, Equity Instruments).