Fair Value Measurements

3 Months Ended

Mar. 31, 2021

5. Fair value measurements

The following table presents a summary of fair value measurements for items as of March 31, 2021 and December 31, 2020, respectively:


March 31, 2021	Level 1		Level 2		Level 3		Total fair value
	(in thousands)
U.S. government and government agencies	$	—	$	35,799	$	—	$	35,799
Total assets at fair value	$	—	$	35,799	$	—	$	35,799
Public Warrants	$	44,436	$	—	$	—	$	44,436
Private Placement Warrants			$	17,603	$	—	$	17,603
Total liabilities at fair value	$	44,436	$	17,603	$	—	$	62,039


December 31, 2020	Level 1		Level 2		Level 3		Total fair value
	(in thousands)
U.S. government and government agencies	$	—	$	53,963	$	—	$	53,963
Total assets at fair value	$	—	$	53,963	$	—	$	53,963
Derivative liabilities	$	—	$	—	$	44,810	$	44,810
Warrants payable		—		—		97,782		97,782
Total liabilities at fair value	$	—	$	—	$	142,592	$	142,592

See Note 9, "Notes and securities payable," Note 10, "Warrants payable," and Note 11, "Derivative liabilities" for additional information regarding liabilities.

The fair value of the convertible securities is based on Level 3 inputs. There was no fair value associated with the convertible securities at March 31, 2021, and the estimated fair value of the convertible securities was $949.6 million at December 31, 2020. The estimated fair value of the convertible securities and derivative liabilities at December 31, 2020, was calculated as the product of (i) the number of conversion shares at the valuation date and (ii) the marketable value per common share at the valuation date.

The significant unobservable inputs used in the Black-Scholes model to measure the warrants payable that are categorized within Level 3 of the fair value hierarchy, as of the year ended December 31, 2020, are as follows:


December 31, 2020	Preferred stock purchase warrants	Common stock purchase warrants
Beginning stock price	N/A	$30.14
Strike price	N/A	$1.04
Expected volatility	N/A	56.0%
Expected term	N/A	0.02 years
Risk-free interest rate	N/A	0.09%
Discount factor	N/A	13%

The changes in balances of Level 3 financial liabilities during the three months ended March 31, 2021 and 2020 were as follows:


	Convertible securities			Derivative liabilities			Warrants payable			Total
	(in thousands)
Balance, December 31, 2020	$	949,553		$	44,810		$	97,782		$	1,092,145
Issuances		—			—			—		$	—
Settlements		(949,553	)		(44,810	)		(97,782	)	$	(1,092,145	)
Transfers in		—			—			—			—
Transfers out		—			—			—			—
Total realized gains		—			—			—		$	—
Balance, March 31, 2021	$	—		$	—		$	—		$	—


	Convertible securities		Derivative liabilities			Warrants payable		Total
	(in thousands)
Balance, December 31, 2019	$	251,885	$	138,561		$	17,672	$	408,118
Issuances		—		—			—		—
Settlements		—		—			—		—
Transfers in		—		—			—		—
Transfers out		—		—			—		—
Total realized losses (gains)		20,816		(14,232	)		2,173		8,757
Balance, March 31, 2020	$	272,701	$	124,329		$	19,845	$	416,875

In addition to the Level 3 financial liabilities in the table above, on September 25, 2020, the Corporation issued the 2020 Convertible Note with the carrying value approximating the fair value of $20.0 million. For additional information, see Note 9, "Notes and securities payable." As of March 31, 2021, and December 31, 2020, both the carrying values and the fair values of the 2020 Convertible Note were $19.9 million and $20.4 million, respectively, and these were considered Level 3 financial liabilities.

There were no transfers in or out of Level 3 financial assets or liabilities for the three months ended March 31, 2021 or 2020.

Warrants

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrants payable on the Consolidated Balance Sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrants payable in the Consolidated Statement of Operations and Comprehensive Loss.

Liability Measurement

The Warrants are measured at fair value on a recurring basis. The measurement of the Warrants as of March 31, 2021 was $62.0 million. The Corporation has classified the Warrants as a liability due to certain settlement terms and provisions related to certain tender offers and indexation characteristics following a business combination and has accounted for them as liability instruments in accordance with ASC 815, adjusting the fair value at the end of each reporting period. Additionally, the Corporation has determined that the Public Warrants are classified within Level 1 of the fair value hierarchy as the fair value is equal to the publicly traded price of the Public Warrants, and the Private Placement Warrants are classified within Level 2 of the fair value hierarchy as the fair value is estimated using the price of the Public Warrants.

The following table presents the changes in the fair value of warrants payable:


March 31, 2021	Public and Private Placement Warrants
Initial measurement, January 7, 2021	$	147,582
Mark-to-market adjustment		(85,543	)
Warrants payable balance, March 31, 2021	$	62,039

- 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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