Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2021

Schedule of assets measured on a recurring basis at fair value

Assets measured on a recurring basis at fair value, primarily related to marketable securities, included in the consolidated balance sheets as of September 30, 2021 (unaudited) and December 31, 2020 are set forth below (in thousands):


	Fair Value Measurement at September 30, 2021 (unaudited)
	Level 1		Level 2		Level 3		Total
Cash equivalents
Money market accounts	$	154,111	$	—	$	—	$	154,111
Total cash equivalents	$	154,111	$	—	$	—	$	154,111

Restricted cash equivalents
Money market accounts	$	31,254	$	—	$	—	$	31,254
Certificates of deposits	3,331		—		—		3,331
Total restricted cash equivalents	$	34,585	$	—	$	—	$	34,585

Marketable securities - restricted
Corporate debt securities	$	—	$	3,356	$	—	$	3,356
U.S. treasury and agency securities	23,273		1,995		—		25,268
Commercial paper	—		12,088		—		12,088
Asset backed securities	—		9,080		—		9,080
Total marketable securities - restricted	$	23,273	$	26,519	$	—	$	49,792


	Fair Value Measurement at December 31, 2020
	Level 1		Level 2		Level 3		Total
Cash equivalents
Money market accounts	$	6,771	$	—	$	—	$	6,771
Total cash equivalents	$	6,771	$	—	$	—	$	6,771

Restricted cash equivalents
Money market accounts	$	6,201	$	—	$	—	$	6,201
Certificates of deposits	3,331		—		—		3,331
Total restricted cash equivalents	$	9,532	$	—	$	—	$	9,532

Marketable securities - restricted
Corporate debt securities	$	—	$	5,955	$	—	$	5,955
U.S. treasury securities	6,994		—		—		6,994
Commercial paper	—		8,791		—		8,791
Asset backed securities	—		2,911		—		2,911
Total marketable securities - restricted	$	6,994	$	17,657	$	—	$	24,651

Fair value of warrants

The table below sets forth a summary of changes in the fair value of the Company’s Level 1, Level 2, and Level 3 liabilities for the year ended December 31, 2020 and the nine months ended September 30, 2021 (unaudited) (in thousands):


Balance at December 31, 2019	$	1,738
Issuance of warrant on Series E convertible preferred stock	12,620
Increase in fair value of warrant	69,294
Balance at December 31, 2020	$	83,652
Increase in fair value of warrants	47,061
Exercise of preferred stock warrants prior to Business Combination	(130,714)
Public and Private placement Warrants acquired in Business Combination	45,623
Decrease in fair value of Public and Private placement Warrants	(38,929)
Balance at September 30, 2021	$	6,693

Schedule of Black-Scholes option valuation model

The fair value of the Private placement warrants was determined using the Black-Scholes option valuation model using the following assumptions for values as of September 30, 2021:


	Estimated Fair Value of Warrants as of September 30, 2021		Exercise Price		Dividend Yield		Volatility		Risk-Free Interest Rate		Expected Term
	(in thousands)		(in whole dollars)								(in years)
Private placement warrants	$	176	$	11.50	0	%	70	%	0.84	%	4.4