Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The Company’s fair value hierarchy for its financial assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2021, is as follows (in thousands):

	Level 1		Level 2		Level 3		Total
Assets
Cash and cash equivalents:
Money market funds	$	57,575	$	—	$	—	$	57,575
Government bonds	—		3,024		—		3,024
Short-term investments:
Corporate bonds	—		149,595		—		149,595
Government bonds	—		15,499		—		15,499
Asset-backed bonds	—		22,559		—		22,559
Restricted cash:
Money market funds	856		—		—		856
Total assets	$	58,431	$	190,677	$	—	$	249,108
Liabilities
Earn-out liabilities, current	—		—		23,205		23,205
Earn-out liabilities, long-term	—		—		11,200		11,200
Total liabilities	$	—	$	—	$	34,405	$	34,405

The Company’s fair value hierarchy for its financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2020, is as follows (in thousands):

	Level 1		Level 2		Level 3		Total
Assets
Cash and cash equivalents:
Money market funds	$	12,163	$	—	$	—	$	12,163
Government bonds	—		12,693		—		12,693
Short-term investments:
Corporate bonds	—		55,227		—		55,227
Government bonds	—		14,123		—		14,123
Asset-backed bonds	—		3,514		—		3,514
Restricted cash:
Money market funds	1,006		—		—		1,006
Total assets	$	13,169	$	85,557	$	—	$	98,726
Liabilities
Warrant liabilities	$	—	$	—	$	906	$	906
Total liabilities	$	—	$	—	$	906	$	906

Schedule of Share-based Payment Award, Equity Instrument Other Than Options, Valuation Assumptions

The following assumptions were used for the valuation of the Private Placement Warrants on the settlement date:

Expected term	0.16
Volatility	65.0	%
Risk-free rate	—	%
Dividend yield	—	%

The following assumptions were used in this valuation:

Expected term (in years)	5.00
Expected volatility	60.0	%
Risk-free interest rate	0.5	%
Expected dividend yield	—	%

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The change in the fair value of warrant liabilities is as follows (in thousands):

Balance at December 31, 2020	$	906
Conversion of Series D preferred stock warrants to Class A common stock warrants	(1,160)
Private Placement Warrants and Public Warrants	51,814
Redeemed/exercised warrants	(37,859)
Change in fair value	(13,701)
Balance at September 30, 2021	$	—

The change in the fair value of earn-out liabilities is as follows (in thousands):

Balance at December 31, 2020	$	—
HHL acquisition	1,208
Apostrophe acquisition	32,650
Change in fair value due to revaluation and service-based vesting	547
Balance at September 30, 2021	$	34,405

Fair Value Measurement Inputs and Valuation Techniques

The following assumptions were used to determine the fair value:

	HHL		Apostrophe
Revenue risk-adjusted discount rate	9.1	%	4.9	%
Revenue volatility	50.0	%	50.0	%
Counterparty discount rate	5.0	%	5.0	%