Fair Value Measurement

3 Months Ended

Mar. 31, 2023

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, 2023
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash, cash equivalents and restricted cash	$	87,444	$	—	$	—	$	87,444
Marketable securities	—		176,971		—		176,971
Derivative asset	—		477		—		477
Total fair value	$	87,444	$	177,448	$	—	$	264,892
Liabilities:
Assumed common stock warrants (Public)	$	16,410	$	—	$	—	$	16,410
Assumed common stock warrants (Private Placement)	—		7,696		—		7,696
Earnout liability	—		—		29,894		29,894
Derivative liability	—		61		—		61
Total fair value	$	16,410	$	7,757	$	29,894	$	54,061


	Fair Value as of December 31, 2022
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash, cash equivalents and restricted cash	$	108,348	$	—	$	—	$	108,348
Marketable securities	—		215,464		—		215,464

Total fair value	$	108,348	$	215,464	$	—	$	323,812
Liabilities:
Assumed common stock warrants (Public)	$	21,015	$	—	$	—	$	21,015
Assumed common stock warrants (Private Placement)	—		9,856		—		9,856
Earnout liability	—		—		42,533		42,533
Derivative liability	—		344		—		344
Total fair value	$	21,015	$	10,200	$	42,533	$	73,748

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 Earnout liability (Note 13) is 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, 2023 and December 31, 2022, 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 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. The following table summarized the marketable securities by major security type as follows:


	As of March 31, 2023
(in thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
Commercial paper	$	1,693	$	7	$	—	$	1,700
Corporate bonds	93,550		35		(4,177)		89,408
Asset-backed securities	68,591		13		(3,458)		65,146
U.S. government and agency securities	19,093		—		(696)		18,397
Foreign government and agency securities	374		—		(41)		333
Municipal/provincial bonds and other	2,000		—		(13)		1,987


Total marketable securities	$	185,301	$	55	$	(8,385)	$	176,971


	As of December 31, 2022
(in thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
Commercial paper	$	17,568	$	38	$	—	$	17,606
Corporate bonds	115,134		—		(4,923)		110,211
Asset-backed securities	70,825		8		(3,885)		66,948
U.S. government and agency securities	19,308		—		(917)		18,391
Foreign government and agency securities	375		—		(37)		338
Municipal/provincial bonds and other	2,000		—		(30)		1,970


Total marketable securities	$	225,210	$	46	$	(9,792)	$	215,464

Any realized gains and losses and interest income are included in other income on the unaudited Condensed Consolidated Statements of Operations and Comprehensive Income.

We sold marketable securities for proceeds of $1,000.7 million and $1,240.8 million during the three months ended March 31, 2023 and 2022, respectively. As a result of those sales, we realized a losses of $0.8 million and $0.5 million during the three months ended March 31, 2023 and 2022, respectively. 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 $166.0 million and $193.5 million as of March 31, 2023 and December 31, 2022, respectively. The unrealized losses were attributable to changes in interest rates that impacted the value of the investments, and not related to 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:


	As of March 31, 2023
(in thousands)	Mature within one year		Mature after one year through two years		Mature over two years		Fair Value
Commercial paper	$	1,700	$	—	$	—	$	1,700
Corporate bonds	66,687		22,721		—		89,408
Asset-backed securities	639		1,311		63,196		65,146
U.S. government and agency securities	7,785		7,581		3,031		18,397
Foreign government and agency securities	—		333		—		333
Municipal/provincial bonds and other	1,987		—		—		1,987


Total marketable securities	$	78,798	$	31,946	$	66,227	$	176,971


	As of December 31, 2022
(in thousands)	Mature within one year		Mature after one year through two years		Mature over two years		Fair Value
Commercial paper	$	17,606	$	—	$	—	$	17,606
Corporate bonds	74,797		35,414		—		110,211
Asset-backed securities	1,907		4,833		60,207		66,947
U.S. government and agency securities	7,719		7,480		3,192		18,391
Foreign government and agency securities	—		338		—		338
Municipal/provincial bonds and other	1,971		—		—		1,971


Total marketable securities	$	104,000	$	48,065	$	63,399	$	215,464

Derivative Asset and Liabilities

The Company entered into foreign currency derivative contracts with financial institutions to reduce foreign exchange risk related to certain marketable securities denominated in foreign currency. Foreign currency derivative contracts are marked-to-market at the end of each reporting period with gains and losses recognized as other expenses (income). The Company recognized a net gain of $0.8 million and a net loss of $0.8 million during the three months ended March 31, 2023 and 2022, 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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