Fair Value Measurements and Marketable Securities Available-for-Sale

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures And Available For Sale Securities [Abstract]

Fair Value Measurements and Marketable Securities Available for Sale

3. Fair Value Measurements and Marketable Securities Available-for-Sale

The Company provides disclosure of financial assets and financial liabilities that are carried at fair value based on the price that would be received upon sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurements may be classified based on the amount of subjectivity associated with the inputs to fair valuation of these assets and liabilities using the following three levels:

Level 1 — Inputs are unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access at the measurement date.

Level 2 — Inputs include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability (i.e., interest rates, yield curves, etc.) and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market corroborated inputs).

Level 3 — Unobservable inputs that reflect the Company’s estimates of the assumptions that market participants would use in pricing the asset or liability. The Company develops these inputs based on the best information available, including its own data.

The following table presents information about the Company’s marketable securities as of June 30, 2022 and December 31, 2021 and the Warrant liability as of June 30, 2022 and December 31, 2021, measured at fair value on a recurring basis, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. The Company’s Warrant liabilities are included within the Level 1 and Level 3 fair value hierarchy. The fair value of the Public and Forward Purchase Warrants is determined using the closing price of the warrants on the NYSE market. The fair value of the Private Placement Warrants is determined using the Black-Scholes option pricing formula. The primary unobservable input utilized in determining the fair value of the Private Warrants is the expected volatility. The expected volatility was estimated considering observable Nuvation public warrant pricing,

Nuvation’s own historical volatility and the volatility of guideline public companies. There have not been any transfers between the levels during the periods.

	June 30, 2022
	Total		Level 1		Level 2		Level 3
	(In thousands)
Financial assets:
Cash equivalents:
Money market funds	$	20,998	$	20,998	$	—	$	—
Commercial paper		5,466		—		5,466		—
U.S. government securities		43,218		—		43,218		—
		69,682		20,998		48,684		—
Marketable securities:
Certificate of deposits		5,288		—		5,288		—
Commercial paper		38,771		—		38,771		—
U.S. government and government agency securities		282,260		—		282,260		—
Corporate bonds		265,901		—		265,901		—
Municipal bonds		9,256		—		9,256		—
		601,476		—		601,476		—
Total financial assets:	$	671,158	$	20,998	$	650,160	$	—
Financial liabilities:
Warrants	$	1,633	$	1,575	$	—	$	58

	December 31, 2021
	Total		Level 1		Level 2		Level 3
	(In thousands)
Financial assets:
Cash equivalents:
Money market funds	$	53,292	$	53,292	$	—	$	—
Commercial paper		30,845		—		30,845		—
Corporate bonds		571		—		571		—
		84,708		53,292		31,416		—
Marketable securities:
Certificate of deposits		3,000		—		3,000		—
Commercial paper		16,892		—		16,892		—
U.S. government and government agency securities		267,267		—		267,267		—
Corporate bonds		320,192		—		320,192		—
Municipal bonds		10,821		—		10,821		—
Exchange traded fund		14,797		14,797		—		—
		632,969		14,797		618,172		—
Total financial assets:	$	717,677	$	68,089	$	649,588	$	—
Financial liabilities:
Warrants	$	11,037	$	10,631	$	—	$	406

Marketable securities consist of U.S. government and government agency, certificate of deposits, commercial paper, corporate bond and municipal securities ("Debt Securities") and an exchange traded fund that primarily owns fixed income securities. Based on the Company’s intentions regarding its marketable securities, all Debt Securities are classified as available-for-sale and are carried at

fair value based on the price that would be received upon sale of the security. The following table provides the amortized cost, aggregate fair value, and unrealized gains (losses) of marketable securities as of June 30, 2022 and December 31, 2021:

	June 30, 2022
	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(In thousands)
Cash equivalents:
Money market funds	$	20,998	$	—	$	—		$	20,998
Commercial paper		5,466		—		—			5,466
U.S. government securities		43,230		—		(12	)		43,218
		69,694		—		(12	)		69,682
Marketable securities:
Certificate of deposits		5,338		—		(50	)		5,288
Commercial paper		38,947		5		(181	)		38,771
U.S. government and government agency securities		285,175		15		(2,930	)		282,260
Corporate bonds		269,657		37		(3,793	)		265,901
Municipal bonds		9,325		—		(69	)		9,256
		608,442		57		(7,023	)		601,476
	$	678,136	$	57	$	(7,035	)	$	671,158

	December 31, 2021
	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(In thousands)
Cash equivalents:
Money market funds	$	53,292	$	—	$	—		$	53,292
Commercial paper		30,845		—		—			30,845
Corporate bonds		571		—		—			571
		84,708		—		—			84,708
Marketable securities:
Certificate of deposits		3,000		—		—			3,000
Commercial paper		16,889		3		—			16,892
U.S. government and government agency securities		267,792		213		(738	)		267,267
Corporate bonds		320,827		147		(782	)		320,192
Municipal bonds		10,849		—		(28	)		10,821
Exchange traded fund		14,963		—		(166	)		14,797
		634,320		363		(1,714	)		632,969
	$	719,028	$	363	$	(1,714	)	$	717,677

For the three and six months ended June 30, 2022 and 2021, the activity related to the net gains (losses) on marketable securities included in other income (expense) on the consolidated statements of operations and comprehensive loss were as follows (in thousands):

	Three Months Ended June 30,					Six Months Ended June 30,
	2022			2021		2022			2021
Net realized gains (losses) on available-for-sale securities were as follows:
Realized gains from sales of available-for-sale securities	$	2		$	1	$	9		$	46
Realized losses from sales of available-for-sale securities		(695	)		—		(745	)		—
		(693	)		1		(736	)		46
Net recognized gains (losses) on equity securities were as follows:
Net realized losses on equities sold		—			—		(337	)		—
Net unrealized gains on equities		(1	)		—		165			—
		(1	)		—		(172	)		—
Total (losses) gains on marketable securities	$	(694	)	$	1	$	(908	)	$	46

The following tables provide marketable securities with continuous unrealized losses for less than 12 months and 12 months or greater and the related fair values as of June 30, 2022 and December 31, 2021 were as follows:

	June 30, 2022
	Less than 12 Months					12 Months or Greater					Total		Total
	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
	(In thousands)
Certificate of deposits	$	3,905	$	(50	)	$	—	$	—		$	3,905	$	(50	)
Commercial paper		32,292		(181	)		—		—			32,292		(181	)
U.S. government and government agency securities		243,386		(2,362	)		15,853		(569	)		259,239		(2,931	)
Corporate bonds		227,248		(3,516	)		12,488		(277	)		239,736		(3,793	)
Municipal bonds		7,260		(40	)		1,996		(29	)		9,256		(69	)
	$	514,091	$	(6,149	)	$	30,337	$	(875	)	$	544,428	$	(7,024	)

	December 31, 2021
	Less than 12 Months					12 Months or Greater				Total		Total
	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
	(In thousands)
Certificate of deposits	$	—	$	—		$	—	$	—	$	—	$	—
Commercial paper		—		—			—		—		—		—
U.S. government and government agency securities		218,106		(738	)		—		—		218,106		(738	)
Corporate bonds		201,481		(782	)		—		—		201,481		(782	)
Municipal bonds		10,821		(28	)		—		—		10,821		(28	)
Exchanged traded funds		14,798		(166	)		—		—		14,798		(166	)
	$	445,206	$	(1,714	)	$	—	$	—	$	445,206	$	(1,714	)

Unrealized losses from the marketable securities are primarily attributable to changes in interest rates. The Company does not believe the unrealized losses represents impairments because the unrealized losses on certain of the Company's marketable securities are due to general market factors.

Maturity information based on fair value is as follows as of June 30, 2022:

	Within one year		After one year through five years		Total
	(In thousands)
Certificate of deposits	$	5,288	$	—	$	5,288
Commercial paper		38,771		—		38,771
U.S. government and government agency securities		225,751		56,509		282,260
Corporate bonds		203,879		62,022		265,901
Municipal bonds		8,285		971		9,256
	$	481,974	$	119,502	$	601,476