Fair Value Measurements

12 Months Ended

Dec. 31, 2021

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


December 31, 2021	Level 1		Level 2		Level 3		Total fair value
	(in thousands)
U.S. government and government agencies	$	—	$	196,735	$	—	$	196,735
Total assets at fair value	$	—	$	196,735	$	—	$	196,735


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 12 (Notes and Securities Payable), Note 13 (Warrants Payable), and Note 14 (Derivative Liabilities) for additional information regarding liabilities.

The fair value of the convertible securities was based on Level 3 inputs, which were unobservable and reflect management’s best estimate of what market participants would use when pricing the asset or liability, including assumptions about risk. There was no fair value associated with convertible securities at December 31, 2021, due to the conversion of the securities to shares of the Corporation’s common stock due to the completion of the Business Combination, and the estimated fair value of 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

13.0

The changes in balances of Level 3 financial liabilities during the years ended December 31, 2021 and 2020, respectively, are 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 losses (gains)	—		—		—		—
Balance, December 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)	697,668		(93,751)		80,110		684,027
Balance, December 31, 2020	$	949,553	$	44,810	$	97,782	$	1,092,145

In addition to the Level 3 financial liabilities in the table above, on September 25, 2020, Seek Insurance Services, Inc. (Seek), a field marketing organization and an indirect wholly-owned subsidiary of the Corporation, entered into a note purchase agreement with a third-party investor and issued a note (the “Seek Convertible Note”) in the principal amount of $20.0 million, for which the carrying value is approximately the same as the fair value. For additional information, see Note 12 (Notes and Securities Payable). As of December 31, 2021, and December 31, 2020, both the carrying values, which includes accrued interest, and the fair values of the Seek Convertible Note were $22.0 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 years ended December 31, 2021 or 2020.

Warrants

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrants payable on the Consolidated Balance Sheet. The warrant liabilities were measured at fair value at inception and measured 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. On July 22, 2021, the Corporation issued a press release stating that it would redeem all of its Warrants. The end of the redemption period was September 9, 2021, at which time the Corporation redeemed all unexercised Warrants at a price of $0.10

per warrant. Following the redemption exercise, no Warrants were outstanding. For additional information, please see Note 13 (Warrants Payable).

Liability Measurement

The Warrants were measured at fair value on a recurring basis. The Corporation classified the Warrants as a liability due to certain settlement terms and provisions related to certain tender offers and indexation characteristics following the Business Combination and 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 determined that the Public Warrants were classified within Level 1 of the fair value hierarchy as the fair value was equal to the publicly traded price of the Public Warrants, and the Private Placement Warrants were classified within Level 2 of the fair value hierarchy as the fair value was estimated using the price of the Public Warrants. In connection with the redemption, effective August 24, 2021, the Public Warrants were delisted and classified within Level 2 of the fair value hierarchy as the fair value of the Public Warrants was based on proportional changes in the price of the Corporation’s common stock. There were no Private Warrants outstanding at August 24, 2021. See Note 13 (Warrants Payable) for additional information on the exercises and redemption of Warrants.

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


December 31, 2021	Public 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, December 31, 2021	$	—

- 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.

+ References + Details