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Fair Value Measurements (Tables)
 9 Months Ended 12 Months Ended
Sep. 30, 2021
Dec. 31, 2020
Fair Value Disclosures [Abstract]    
Summary of Fair Value Measurements for Items
The following table presents a summary of fair value measurements for financial instruments as of September 30, 2021, and December 31, 2020, respectively:
September 30, 2021Level 1Level 2Level 3Total fair
value
(in thousands)
U.S. government and government agencies$— $167,325 $— $167,325 
Total assets at fair value$— $167,325 $— $167,325 
December 31, 2020Level 1Level 2Level 3Total fair
value
(in thousands)
U.S. government and government agencies$— $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 $142,592 
The following table presents a summary of fair value measurements for items that are measured at fair value on a recurring basis as of December 31,2020 and 2019, respectively:
December 31, 2020Level 1Level 2Level 3Total fair value
(in thousands)
U.S. government and government agencies$— $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 $142,592 
December 31, 2019Level 1Level 2Level 3 Total fair value
(in thousands)
U.S. government and government agencies$— $56,428 $— $56,428 
Total assets at fair value$— $56,428 $— $56,428 
Derivative liabilities— — 138,561 138,561 
Warrants payable— — 17,672 17,672 
Total liabilities at fair value$— $— $156,233 $156,233 
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, 2020Preferred stock purchase warrantsCommon stock purchase warrants
Beginning stock priceN/A$30.14 
Strike priceN/A1.04 
Expected volatilityN/A56.0 %
Expected termN/A0.02 years
Risk-free interest rateN/A0.09 %
Discount factorN/A13.0 
 The significant unobservable inputs used in the Black-Scholes model to measure the convertible
securities and derivative liabilities as of December 31, 2019, are as follows (the stock price and strike price are presented in thousands):
December 31, 2019
Convertible securities
Derivative liabilities
Beginning stock price (total value)
$305,132 - $357,802
$305,132 - $357,802
Strike price (total value)
$462,012 - $531,315
$462,012 - $965,184
Expected volatility
45% - 49%
45% - 49%
Expected term
2-3 years
2-3 years
Risk-free interest rate
1.58% -1.62%
1.58% - 1.62%
Discount factor
15 %15 %
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 years ended December 31, 2020 and 2019, respectively, are as follows:
December 31, 2020Preferred stock purchase warrantsCommon stock purchase warrants
Beginning stock priceN/A$30.14 
Strike priceN/A1.04 
Expected volatilityN/A56.0 %
Expected termN/A0.02 years
Risk-free interest rateN/A0.09 %
Discount factorN/A13 %
December 31, 2019Preferred stock purchase warrantsCommon stock purchase warrants
Beginning stock price$10.27 $7.19 
Strike price17.27 1.04 
Expected volatility
45% - 49%
81.1% - 84.6%
Expected term
2 -3 years
2-3 years
Risk-free interest rate
1.58% - 1.62%
1.58% - 1.62%
Discount factor15 %15 %
Schedule of Changes in Balances of Level 3 Financial Liabilities The changes in balances of Level 3 financial liabilities during the three months ended September 30, 2020, and the nine months ended September 30, 2021 and 2020, respectively, are as follows:
Convertible securitiesDerivative liabilitiesWarrants payableTotal
(in thousands)
Balance, June 30, 2020
$285,166 $119,167 $29,424 $433,757 
Issuances— — — — 
Settlements— — — — 
Transfers in— — — — 
Transfers out— — — — 
Total realized losses (gains)95,477 (68,081)19,978 47,374 
Balance, September 30, 2020
$380,643 $51,086 $49,402 $481,131 
Convertible securitiesDerivative liabilitiesWarrants payableTotal
(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 losses (gains)— — — — 
Balance, September 30, 2021
$— $— $— $— 
Convertible securitiesDerivative liabilitiesWarrants payableTotal
(in thousands)
Balance, December 31, 2019
$251,885 $138,561 $17,672 $408,118 
Issuances— — — — 
Settlements— — — — 
Transfers in— — — — 
Transfers out— — — — 
Total realized losses (gains)128,758 (87,475)31,730 73,013 
Balance, September 30, 2020
$380,643 $51,086 $49,402 $481,131 
The changes in balances of Level 3 financial liabilities during 2020 and 2019, respectively, were as follows:
December 31, 2020Convertible securitiesDerivative liabilitiesWarrants payable Total
(in thousands)
Beginning balance
$251,885 $138,561 $17,672 $408,118 
Issuances— — — — 
Settlements— — — — 
Transfers in
— — — — 
Transfers out
— — — — 
Total recognized losses (gains)
697,668 (93,751)80,110 684,027 
Ending balance
$949,553 $44,810 $97,782 $1,092,145 
December 31, 2019Convertible securitiesDerivative liabilitiesWarrants payable Total
(in thousands)
Beginning balance
$— $— $14,836 $14,836 
Issuances237,362 — — 237,362 
Settlements— — — — 
Transfers in
— — — — 
Transfers out
— — — — 
Total recognized losses (gains)
14,523 138,561 2,836 155,920 
Ending balance
$251,885 $138,561 $17,672 $408,118 
Schedule of Changes in Fair Value of Warrants Payable
The following table presents the changes in the fair value of warrants payable:
September 30, 2021Public and Private Placement Warrants
(in thousands)
Initial measurement, January 7, 2021
$147,582 
Mark-to-market adjustment(66,214)
Warrants exercised(81,283)
Warrants redeemed(85)
Warrants payable balance, September 30, 2021
$—