Fair Value Measurement

6 Months Ended

Jun. 30, 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 June 30, 2023
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash, cash equivalents and restricted cash	$	66,013	$	—	$	—	$	66,013
Marketable securities	—		152,170		—		152,170
Derivative asset	—		160		—		160
Total fair value	$	66,013	$	152,330	$	—	$	218,343
Liabilities:
Assumed common stock warrants (Public)	$	17,869	$	—	$	—	$	17,869
Assumed common stock warrants (Private Placement)	—		8,380		—		8,380
Earnout liability	—		—		22,386		22,386
Derivative liability	—		9		—		9
Total fair value	$	17,869	$	8,389	$	22,386	$	48,644


	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. A gain of $7.5 million and $20.4 million during the three and six months ended June 30, 2023, respectively, and a gain of $33.2 million and $48.4 million during the three and six months ended June 30, 2022, respectively, was recorded on the unaudited Condensed Consolidated Statement of Operations and Comprehensive Income (Loss) in the change in fair value of earnout liability.

As of June 30, 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 June 30, 2023
(in thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value

Corporate bonds	$	74,647	$	54	$	(2,989)	$	71,712
Asset-backed securities	65,077		12		(3,169)		61,920
U.S. government and agency securities	18,884		—		(677)		18,207
Foreign government and agency securities	375		—		(44)		331



Total marketable securities	$	158,983	$	66	$	(6,879)	$	152,170


	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

The realized gains and losses are included in other income (expenses) on the unaudited Condensed Consolidated Statements of Operations and Comprehensive Income (Loss).

We sold marketable securities for proceeds of $2,462.9 million and $1,647.8 million during the six months ended June 30, 2023 and 2022, respectively. As a result of those sales, we realized losses of $0.7 million and $0.5 million during the six months ended June 30, 2023 and 2022, respectively, and a gain of $0.1 million and zero during the three months ended June 30, 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 $137.8 million and $193.5 million as of June 30, 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 June 30, 2023
(in thousands)	Mature within one year		Mature after one year through two years		Mature over two years		Fair Value

Corporate bonds	$	55,613	$	16,099	$	—	$	71,712
Asset-backed securities	—		910		61,010		61,920
U.S. government and agency securities	7,851		7,538		2,818		18,207
Foreign government and agency securities	—		331		—		331



Total marketable securities	$	63,464	$	24,878	$	63,828	$	152,170


	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 income (expenses). The Company recognized a net loss of $0.3 million and a net gain of $0.5 million during the three and six months ended June 30, 2023, respectively, and a net gain of $1.4 million and $0.6 million during the three and six months ended June 30, 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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