FAIR VALUE MEASUREMENTS

3 Months Ended

Mar. 31, 2022

The Company follows ASC 820, Fair Value Measurements, which establishes a common definition of fair value to be applied when U.S. GAAP requires the use of fair value, establishes a framework for measuring fair value, and requires certain disclosure about such fair value measurements. The following table presents the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis (in thousands):


March 31, 2022	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents and restricted cash:
Money market funds	$	211,369	$	—	$	—	$	211,369
Certificate of deposit	—		75		—		75
Total assets	$	211,369	$	75	$	—	$	211,444

Liabilities:
Earnout warrant liabilities	$	—	$	636	$	—	$	636
Public common stock warrants	8,042		—		—		8,042
Private common stock warrants	—		3,815		—		3,815
Total liabilities	$	8,042	$	4,451	$	—	$	12,493


December 31, 2021	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents and restricted cash:
Money market funds	$	237,897	$	—	$	—	$	237,897
Certificate of deposit	—		125		—		125
Total assets	$	237,897	$	125	$	—	$	238,022

Liabilities:
Earnout warrant liabilities	$	—	$	1,476	$	—	$	1,476
Public common stock warrants	18,666		—		—		18,666
Private common stock warrants	—		8,855		—		8,855
Total liabilities	$	18,666	$	10,331	$	—	$	28,997

There were no transfers among Level 1, Level 2, or Level 3 categories during the periods presented. The carrying amounts of the Company’s notes payable, and accounts payable approximate their fair values due to their short maturities.

Level 1 Assets:

The Company invests in money market funds that have maturities of 90 days or less. Money market funds are classified as cash equivalents and are recorded at their carrying value, which approximates fair value.

Level 2 Assets:

The Company invests in a certificate of deposit with a maturity of one year from purchase date. The certificate of deposit is classified as restricted cash and is recorded at its carrying value, which approximates fair value.

Level 1 Liabilities:

The Company values its public common stock warrants based on the market price of the warrant.

Level 2 Liabilities:

The Company values its earnout warrant liabilities and private common stock warrants based on the market price of the Company’s public common stock warrants.

Level 3 Liabilities:

Warrants

Freestanding warrants to purchase Redeemable Convertible Preferred Stock were accounted for as liability awards and recorded at fair value on their issuance date and adjusted to fair value at each reporting date, with the change in fair value being recorded as a component of other income (expenses), net. The warrants were accounted for as liabilities as the underlying shares of Preferred Stock were contingently redeemable upon occurrence of a change in control, which was outside the control of the Company.

As of March 31, 2021, the Company measured its warrant liabilities using Level 3 unobservable inputs within the Black-Scholes Merton option-pricing model. The Company used various key assumptions, such as the fair value of Series B redeemable convertible preferred stock warrants and Series C redeemable convertible preferred stock warrants, the volatility of peer companies’ stock prices, the risk-free interest rate based on the U.S. Treasury yield, and the expected term (based on remaining term to a significant event for Series B redeemable convertible preferred stock warrants and remaining contractual term for Series C redeemable convertible preferred stock warrants). The Company measured the fair value of the redeemable convertible Preferred Stock warrants at each reporting date, with subsequent gains and losses from remeasurement of Level 3 financial liabilities recorded through other income (expenses), net in the consolidated statements of operations and comprehensive loss.

Future Rights to Purchase Series C-2 Redeemable Convertible Preferred Stock

See Note 11 for a discussion of the Company’s Series C Redeemable Convertible Preferred Stock financing agreement.

The value of the Series C-2 Redeemable Convertible Preferred Stock Issuance Right was determined based on significant inputs not observable in the market, which represented a Level 3 measurement within the fair value hierarchy.

The fair value of the Series C-2 Redeemable Convertible Preferred Stock Issuance Right was determined using a discounted cash flow model, which takes into account the estimated value of Series C-2 stock, estimated time to purchase, probability of purchase and the risk-free interest rate based on the U.S. Treasury yield. The Company measures the fair value of the Series C-2 Redeemable Convertible Preferred Stock Issuance Right at each reporting date, with subsequent gains and losses from remeasurement of Level 3 financial liabilities recorded through other expense, net in the consolidated statements of operations and comprehensive loss.

The following table sets forth a summary of changes in the fair value of the Company’s Level 3 liabilities at fair value on a recurring basis (in thousands):


	Three Months Ended March 31,
	2022		2021
Warrant liabilities:
Beginning balance December 31	$	—	$	3,329
Change in fair value	—		8,426
Fair value of warrants issued	—		5,096
Fair value of warrants exercised	—		(356)
Ending balance March 31	—		16,495
Series C-2 Convertible Preferred Stock Issuance Right liability:
Beginning balance December 31	—		22,911
Change in fair value	—		138,141
Fair value of derivatives extinguished	—		(23,152)
Ending balance March 31	—		137,900
Total	$	—	$	154,395

- 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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