Financial Instruments

3 Months Ended

Mar. 31, 2021

Note 4. Financial Instruments

The following tables summarize the Company’s financial assets and liabilities measured at fair value on a recurring basis by level within the fair value hierarchy:


	March 31, 2021
	Adjusted Cost		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	5,725	$	-		$	5,725	$	5,725	$	-

Level 1
Money market funds		434,984		—			434,984		434,984		—

Level 2
U.S. Government securities		5,089		(1	)		5,088		—		5,088
Commercial paper		59,967		(11	)		59,956		28,696		31,260
Corporate bonds		17,141		(17	)		17,124		—		17,124
Subtotal		82,197		(29	)		82,168		28,696		53,472
Total assets	$	522,906	$	(29	)	$	522,877	$	469,405	$	53,472

Liabilities
Level 3
Warrant liabilities		2,346		—			2,346		—		—
Total liabilities	$	2,346	$	-		$	2,346	$	-	$	-

As of December 31, 2020, the Company did not have any outstanding marketable securities.

The fair value of the Private Placement warrant liabilities is based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. In determining the fair value of the warrant liabilities, 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.

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments:


	March 31, 2021
	Private Placement Warrant Liability
	(in thousands)
Fair value as of January 1, 2021	$	—
Private placement warrant liability acquired as part of the merger	$	3,014
Change in the fair value included in other income (expense), net	$	(668	)
Fair value as of March 31, 2021	$	2,346

The key inputs into the Black-Scholes option pricing model for the private warrants were as follows for the relevant periods:


	March 31, 2021			March 12, 2021
Expected term (years)		4.9			5.0
Expected volatility		62.6	%		70.0	%
Risk-free interest rate		0.90	%		0.85	%
Exercise Price	$	11.50		$	11.50

- 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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