Fair Value Measurement

3 Months Ended

Mar. 31, 2022

The Company’s financial assets and liabilities subject to fair value measurements on a recurring basis and the level of inputs used for such measurements were as follows:


	Fair Value as of March 31, 2022
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash, cash equivalents and restricted cash	$	58,431	$	—	$	—	$	58,431
Marketable securities	—		369,289		—		369,289
Derivative asset	—		213		—		213
Total fair value	$	58,431	$	369,502	$	—	$	427,933
Liabilities:
Assumed common stock warrants (Public)	$	37,191	$	—	$	—	$	37,191
Assumed common stock warrants (Private Placement)	—		17,443		—		17,443
Earnout liability	—		—		112,531		112,531
Derivative liability	—		947		—		947
Total fair value	$	37,191	$	18,390	$	112,531	$	168,112


	Fair Value as of December 31, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash, cash equivalents and restricted cash	$	47,127	$	—	$	—	$	47,127
Marketable securities	—		397,458		—		397,458
Derivative asset	—		202		—		202
Total fair value	$	47,127	$	397,660	$	—	$	444,787
Liabilities:
Assumed common stock warrants (Public)	$	35,983	$	—	$	—	$	35,983
Assumed common stock warrants (Private Placement)	—		16,877		—		16,877
Earnout liability	—		—		127,757		127,757
Derivative liability	—		103		—		103
	$	35,983	$	16,980	$	127,757	$	180,720

The following table sets forth a summary of the activities of the Company’s redeemable convertible preferred stock warrant liability and embedded components of the stockholder convertible notes payable, which represents a recurring measurement that is classified within Level 3 of the fair value hierarchy wherein fair value is estimated using significant unobservable inputs:


Redeemable Convertible Preferred Stock Warrants	Three Months Ended March 31,
(in thousands)	2022		2021
Beginning warrants liability balance	$	—	$	19,233
Change in fair value of warrants liability	—		48,109

Ending warrant liability balance	$	—	$	67,342

Embedded Derivative - Stockholder Convertible Notes Payable	Three Months Ended March 31,
(in thousands)	2022		2021
Beginning derivative liability balance	$	—	$	1,239
Change in fair value of derivative liability	—		391
Additional derivative liability	—		2,197
Ending derivative liability balance	$	—	$	3,827

The Company performs routine procedures such as comparing prices obtained from independent sources to ensure that appropriate fair values are recorded. The marketable securities are categorized as Level 2 instruments as the estimated fair value was determined based on the estimated or actual bids and offers of the marketable securities in an over-the-counter market on the last business day of the period. All of the Company’s cash, cash equivalents, restricted cash, marketable securities and foreign currency derivative contracts are classified within Level 1 or Level 2 because the Company’s cash, cash equivalents, restricted cash, marketable securities and foreign currency derivative contracts are valued using quoted market prices or alternative pricing sources and models utilizing observable market inputs. Because the transfer of Private Placement Warrants to anyone outside of certain permitted transferees of Artius Acquisition Partners LLC (the “Sponsor”) would result in the Private Placement Warrants having substantially the same terms as the Public Warrants, the Company determined that the fair value of each Private Placement Warrant is consistent with that of a Public Warrant. Accordingly, the Private Placement Warrants are classified as Level 2 financial instruments.

The value of the redeemable convertible preferred stock warrants liability and the derivative liability are classified as Level 3 measurements under the fair value hierarchy, as these liabilities have been valued based on significant inputs not observable in the market.

As of March 31, 2022 and December 31, 2021, the carrying values of cash and cash equivalents, accounts payable and accrued liabilities approximate their respective fair values due to their short-term nature.

Marketable Securities

The following table summarizes, by major security type, the Company’s marketable securities that are measured at fair value on a recurring basis and are categorized using the fair value hierarchy. Amortized cost net of unrealized gain (loss) is equal to fair value as of March 31, 2022 and December 31, 2021. The fair value as of March 31, 2022 and December 31, 2021 are as follows:


	As of March 31, 2022
(in thousands)
Investments Classified as Marketable Securities	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
Corporate bonds	$	258,390	$	359	$	(4,363)	$	254,386
Asset-backed securities	91,916		—		(1,700)		90,216
U.S. government and agency securities	20,011		—		(556)		19,455
Foreign government and agency securities	3,262		4		(33)		3,233
Municipal/provincial bonds and other	2,000		—		(1)		1,999


Total marketable securities	$	375,579	$	363	$	(6,653)	$	369,289


	As of December 31, 2021
(in thousands)
Investments Classified as Marketable Securities	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
Corporate bonds	$	274,939	$	100	$	(1,725)	$	273,314
Asset-backed securities	96,713		190		(199)		96,704
U.S. government and agency securities	20,235		—		(64)		20,171
Foreign government and agency securities	3,262		—		(19)		3,243
Municipal/provincial bonds and other	4,000		5		—		4,005
Total	$	399,149	$	295	$	(2,007)	$	397,437
Pending purchases and sales	21		—		—		21
Total marketable securities	$	399,170	$	295	$	(2,007)	$	397,458

Any realized gains and losses and interest income are included in other income on the consolidated statements of operations and comprehensive income (loss).

During the three months ended March 31, 2022, we sold marketable securities for proceeds of $1,240.8 million and realized a loss of $(0.5) million as a result of those sales. We regularly review our available-for-sale marketable securities in an unrealized loss position and evaluate the current expected credit loss by considering factors such as historical

experience, market data, issuer-specific factors, and current economic conditions. The aggregate fair value of the marketable securities in unrealized loss position was $351.2 million and $346.3 million as of March 31, 2022 and December 31, 2021, respectively, none of which have been in the continuous unrealized loss for more than twelve months. The unrealized losses were attributable to changes in interest rates that impacted the value of the investments, and not increased credit risk. Accordingly, we have not recorded an allowance for credit losses associated with these investments.

The contractual maturities of the investments classified as marketable securities are as follows (in millions):


	As of March 31, 2022
(in thousands)	Mature within one year		Mature after one year through two years		Mature over two years		Fair Value
Corporate bonds	$	101,879	$	120,990	$	31,516	$	254,385
Asset-backed securities	—		4,948		85,268		90,216
U.S. government and agency securities	—		7,814		11,642		19,456
Foreign government and agency securities	2,856		—		377		3,233
Municipal/provincial bonds and other	—		1,999		—		1,999


Total marketable securities	$	104,735	$	135,751	$	128,803	$	369,289


	As of December 31, 2021
(in thousands)	Mature within one year		Mature after one year through two years		Mature over two years		Fair Value
Corporate bonds	$	92,559	$	134,199	$	46,556	$	273,314
Asset-backed securities	—		2,000		94,704		96,704
U.S. government and agency securities	—		7,995		12,176		20,171
Foreign government and agency securities	2,877		—		366		3,243
Municipal/provincial bonds and other	2,002		2,003		—		4,005
Total	$	97,438	$	146,197	$	153,802	$	397,437
Pending purchases and sales	—		—		—		21
Total marketable securities	$	97,438	$	146,197	$	153,802	$	397,458

Redeemable Convertible Preferred Stock Warrant Liability

At March 31, 2021, the fair value of the preferred stock warrants was determined using the probability-weighted expected return method which estimates the fair value of the warrants through an analysis of future values for the Company, assuming various future outcomes. At March 31, 2021, due to the increasing likelihood of the merger, the Black-Scholes option pricing model was not necessary.

Derivative Asset and Liability

Beginning in the year ended December 31, 2021, the Company entered into foreign currency derivative contracts with financial institutions to reduce foreign exchange risk related to marketable securities. Foreign currency derivative contracts are marked-to-market at the end of each reporting period with gains and losses recognized as other income (expense). During the three months ended March 31, 2022 and 2021, the Company recognized a net loss of $0.8 million and $0.0 million, respectively, on the fair value adjustment of the foreign currency derivative contracts.

- 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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