Financial Instruments

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Financial Instruments

Note 4. Financial Instruments

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

	March 31, 2022
	Adjusted Cost		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	10,496	$	—		$	10,496	$	10,496	$	—
Level 1
Money market funds		21,031		—			21,031		21,031		—
Level 2
U.S. Government securities		51,475		(838	)		50,637		—		50,637
U.S. Treasury securities		67,968		(58	)		67,910		25,983		41,927
Commercial paper		98,197		(200	)		97,997		4,989		93,008
Corporate bonds		167,292		(1,882	)		165,410		—		165,410
Municipal securities		1,007		(1	)		1,006		—		1,006
Subtotal		385,939		(2,979	)		382,960		30,972		351,988
Total assets	$	417,466	$	(2,979	)	$	414,487	$	62,499	$	351,988
Liabilities
Level 3
Warrant liabilities		426		—			426		—		—
Total liabilities	$	426	$	—		$	426	$	—	$	—

	December 31, 2021
	Adjusted Cost		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	2,765	$	—		$	2,765	$	2,765	$	—
Level 1
Money market funds		38,045		—			38,045		38,045		—
Level 2
U.S. Government securities		45,982		(66	)		45,916		—		45,916
U.S. Treasury securities		80,500		(7	)		80,493		26,000		54,493
Commercial paper		94,887		(15	)		94,872		—		94,872
Corporate bonds		182,338		(435	)		181,903		—		181,903
Municipal securities		1,017		(1	)		1,016		—		1,016
Subtotal		404,724		(524	)		404,200		26,000		378,200
Total assets	$	445,534	$	(524	)	$	445,010	$	66,810	$	378,200
Liabilities
Level 3
Warrant liabilities		1,060		—			1,060		—		—
Total liabilities	$	1,060	$	—		$	1,060	$	—	$	—

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 (in thousand):

	March 31, 2022			December 31, 2021
Fair value, beginning balance	$	1,060		$	—
Private placement warrant liability acquired as part of the merger		—			3,014
Change in the fair value included in other income (expense), net		(634	)		(1,954	)
Fair value, closing balance	$	426		$	1,060

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

	March 31, 2022			December 31, 2021
Expected term (years)		4.0			4.2
Expected volatility		64.2	%		60.3	%
Risk-free interest rate		2.42	%		1.14	%
Dividend yield		0	%		0	%
Exercise Price	$	11.50		$	11.50