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Fair Value Measurements

12 Months Ended

Dec. 31, 2021

As of December 31, 2021, the Company carried cash equivalents, marketable securities and Private Warrants. The Company had previously carried Public Warrants which were exercised and redeemed in March 2021.

Fair value is based on the price that would be received from selling an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value is estimated by applying the following hierarchy, which prioritizes the inputs used to measure fair value into three levels and bases the categorization within the hierarchy upon the lowest level of input that is available and significant to the fair value measurement:

Level 1 — Observable inputs, which include unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — Observable inputs other than Level 1 inputs, such as quoted prices in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.

Level 3 — Unobservable inputs that are supported by little or no market activity and that are based on management’s assumptions, including fair value measurements determined by using pricing models, discounted cash flow methodologies or similar techniques.

The Company determined the fair value of its Level 1 financial instruments, which are traded in active markets, using quoted market prices for identical instruments.

Marketable investments classified within Level 2 of the fair value hierarchy are valued based on other observable inputs, including broker or dealer quotations, alternative pricing sources or U.S. Government Treasury yield of appropriate term. When quoted prices in active markets for identical assets or liabilities are not available, the Company relies on non-binding quotes from its investment managers, which are based on proprietary valuation models of independent pricing services. These models generally use inputs such as observable market data, quoted market prices for similar instruments, historical pricing trends of a security as relative to its peers. To validate the fair value determination provided by its investment managers, the Company reviews the pricing movement in the context of overall market trends and trading information from its investment managers. The Company performs routine procedures such as comparing prices obtained from independent source to ensure that appropriate fair values are recorded.

Given that the transfer of Private Warrants to anyone outside of a small group of individuals constituting the sponsors of Gores Metropoulos, Inc. would result in the Private Warrants having substantially the same terms as the Public Warrants, management determined that the fair value of each Private Warrant is the same as that of a Public Warrant, with an insignificant adjustment for short-term marketability restrictions, as of December 31, 2020. As of December 31, 2021, management determined the fair value of the Private Warrants using observable inputs in the Black-Scholes valuation model, which used the remaining term of warrants of 3.92 years, volatility of 67.2% and a risk-free rate of 1.10%. Accordingly, the Private Warrants are classified as Level 3 financial instruments.

The Company’s financial assets and liabilities subject to fair value measurements on a recurring basis and the level of inputs used for such measurements were as follows (in thousands):


	Fair Value (in thousands) Measured as of December 31, 2021 Using:
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents:
Money market funds	$	25,654	$	—	$	—	$	25,654

Commercial paper	—		950		—		950
Total cash equivalents	$	25,654	$	950	$	—	$	26,604
Marketable investments:
U.S. Treasury	$	161,465	$	—	$	—	$	161,465
U.S. agency and government sponsored securities	—		4,970		—		4,970
Commercial paper	—		39,834		—		39,834
Corporate bonds	—		165,190		—		165,190
Asset-backed securities	—		46,466		—		46,466
Marketable equity investments	44,216		—		—		44,216
Total marketable investments	$	205,681	$	256,460	$	—	$	462,141
Liabilities:

Private Warrants	—		—		31,230		31,230
Total warrant liabilities	$	—	$	—	$	31,230	$	31,230


	Fair Value (in thousands) Measured as of December 31, 2020 Using:
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents:
Money market funds	$	64,971	$	—	$	—	$	64,971
U.S. Treasury	24,999		—		—		24,999

Commercial paper	—		108,322		—		108,322

Total cash equivalents	$	89,970	$	108,322	$	—	$	198,292
Marketable investments:
U.S. Treasury	$	130,348	$	—	$	—	$	130,348
U.S. agency and government sponsored securities	—		19,996		—		19,996
Commercial paper	—		73,898		—		73,898
Corporate bonds	—		45,450		—		45,450
Asset-backed securities	—		7,018		—		7,018
Total marketable investments	$	130,348	$	146,362	$	—	$	276,710
Liabilities:
Public Warrants	$	228,933	$	—	$	—	$	228,933
Private Warrants	—		114,467		—		114,467
Total warrant liabilities	$	228,933	$	114,467	$	—	$	343,400

The following table presents changes in Public and Private Warrant liabilities, which as of December 31, 2020, were classified in the fair value hierarchy as Level 1 and Level 2, respectively, (in thousands):


	Public Warrants		Private Warrants
Balance as of December 31, 2020	$	228,933	$	114,467
Change in fair value prior to exercise in March 2021	35,943		15,296
Change in fair value prior to redemption in March 2021	(3,511)		—
Exercise or redemption in March 2021	(261,365)		(76,931)
Private Warrants transferred to Level 3 in March 2021	—		(52,832)

Balance as of December 31, 2021	$	—	$	—

Level 3 Disclosures

The following table presents changes in Level 3 liabilities relating to Private Warrants measured at fair value as of December 31, 2021 (in thousands):


	Private Warrants
Balance as of December 31, 2020	$	—
Private warrants transferred from Level 2	52,832

Measurement adjustments	(21,602)
Balance as of December 31, 2021	$	31,230

The decrease in fair value of private warrants for the year ended December 31, 2021 was $21.6 million, which was included in the change in fair value of warrant liabilities in the consolidated statement of operations and comprehensive loss. The decrease in Private Warrant liability as of December 31, 2021 is predominantly attributable to the decrease in per share price of the Company’s Class A common stock.

The Legacy Warrants outstanding on December 2, 2020, were valued using the closing stock price of $18.00 per share, immediately prior to the consummation of the Business Combination in accordance with the terms of the warrant agreements.

13,647 Legacy Warrants were exercised on a cashless basis with all previously held warrant shares converted to closing warrant shares and 130,376 Legacy Warrants were exercised to the extent such net issue exercise resulted in the issuance of shares based on the strike price and fair value. No Legacy Warrants have been outstanding since December 31, 2020.

The fair value of Legacy Warrants was classified as Level 3 in the fair value hierarchy due to the significant management judgment required for the assumptions underlying the calculation of value.

The following table presents changes in Level 3 liabilities measured at fair value for the year ended December 31, 2020 (in thousands):


	2017 Warrants		2018 Warrants		2020 Warrants		Total Legacy Warrants
Balance as of December 31, 2019	$	1,035	$	87	$	—	$	1,122
Additions	—		—		1,728		1,728
Exercise or conversion	(13,714)		(1,700)		(14,698)		(30,112)
Measurement adjustments	12,679		1,613		12,970		27,262
Balance as of December 31, 2020	$	—	$	—	$	—	$	—

As of December 31, 2021, the estimated fair value of the Company’s outstanding Convertible Senior Notes was $669.4 million. The fair value was determined based on the quoted price of the Convertible Senior Notes in an inactive market on the last trading day of the reporting period and have been classified as Level 2 in the fair value hierarchy. See Note 8 for further information on the Company’s Convertible Senior Notes.

The Company’s other financial instruments’ fair value, including accounts receivable, accounts payable and other current liabilities, approximate its carrying value due to the relatively short maturity of those instruments. The carrying amounts of the Company’s finance leases approximate their fair value, which is the present value of expected future cash payments based on assumptions about current interest rates and the creditworthiness of the Company.

- 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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