FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2021

The accounting standard for fair value measurements provides a framework for measuring fair value and requires expanded disclosures regarding fair value measurements. Fair value is defined as the price that would be received for an asset or the “exit price” that would be paid to transfer a liability in the principal or most advantageous market in an orderly transaction between independent market participants on the measurement date. The Company measures financial assets and liabilities at fair value at each reporting period using a fair value hierarchy, which requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. A financial instrument classification within the fair value hierarchy is based upon the lowest level of input that is significant to the fair value measurement. This hierarchy prioritizes the inputs into three broad levels as follows:

•Level 1—Quoted prices (unadjusted) in active markets for identical assets or liabilities.

•Level 2—Observable inputs other than quoted prices in active markets for identical assets and liabilities, quoted prices for identical or similar assets or liabilities in inactive markets, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.

•Level 3—Inputs that are generally unobservable and typically reflect management’s estimates of assumptions that market participants would use in pricing the asset or liability. Factors used to develop the estimated fair value are unobservable inputs that are not supported by market activity. The sensitivity of the fair value measurement to changes in unobservable inputs may result in a significantly higher or lower measurement.

Level 1 investments consist solely of short-term and long-term restricted cash valued at amortized cost that approximates fair value. Level 2 investments consist solely of certificate of deposits. Level 3 liabilities consist of contingent forward contract liability, convertible preferred stock warrant liability and common stock warrant liability, in which the fair value was measured upon issuance and is remeasured at each reporting date. The valuation methodology and underlying assumptions are discussed further in Note 6 “Contingent Forward Contracts,” Note 7 “Convertible Preferred Stock Warrant Liability” and Note 8 “Common Stock Warrant Liability”.

The following table sets forth the Company’s financial assets subject to fair value measurements on a recurring basis by level within the fair value hierarchy as of September 30, 2021 (in thousands):


	Level 1		Level 2		Level 3		Total
Assets:
Short-term investment—
Certificates of deposit	$	—	$	505	$	—	$	505
Restricted cash	35,686		—		—		35,686
Total assets	$	35,686	$	505	$	—	$	36,191

Liabilities:
Common stock warrant liability	$	—	$	—	$	836,835	$	836,835
Total liabilities	$	—	$	—	$	836,835	$	836,835

The following table sets forth the Company’s financial assets and liabilities subject to fair value measurements on a recurring basis by level within the fair value hierarchy as of December 31, 2020 (in thousands):


	Level 1		Level 2		Level 3		Total
Assets:
Short-term investment—
Certificates of deposit	$	—	$	505	$	—	$	505
Restricted cash	26,006		—		—		26,006
Total assets	$	26,006	$	505	$	—	$	26,511

Liabilities:
Convertible preferred stock warrant liability	$	—	$	—	$	2,960	$	2,960
Total liabilities	$	—	$	—	$	2,960	$	2,960

A reconciliation of the contingent forward contract liability, convertible preferred stock warrant liability and common stock warrant liability measured and recorded at fair value on a recurring basis is as follows (in thousands):


	Nine Months Ended September 30, 2021						Nine Months Ended September 30, 2020
	Contingent Forward Contract Liability		Convertible Preferred Stock Warrant Liability		Common Stock Warrant Liability		Contingent Forward Contract Liability		Convertible Preferred Stock Warrant Liability
Fair value-beginning of period	$	—	$	2,960	$	—	$	30,844	$	1,755
Issuance	2,167,332		—		812,048		793		—
Change in fair value	454,546		6,976		24,787		8,719		171
Settlement	(2,621,878)		(9,936)		—		(39,563)		—
Fair value-end of period	$	—	$	—	836,835		$	793	$	1,926

- 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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