Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]

Summary of Fair Value Measurements for Items

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

Schedule of significant unobservable inputs used in black-scholes model to measure warrants payable

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%

Schedule of changes in balances of level 3 financial liabilities

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

Schedule of Changes in Fair Value of Warrants Payable

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