Investments and Fair Value Measurements

9 Months Ended

Sep. 30, 2022

Investments

Investments in debt securities as of September 30, 2022 were as follows (in thousands):


	As of September 30, 2022
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Cash Equivalents		Short-term Investments
Available-for-sale debt securities:
U.S. treasury securities	$	9,769	$	—	$	(80)	$	9,689	$	—	$	9,689
U.S. government agency securities	105,097		3		(281)		104,819		80,317		24,502
Commercial paper	130,993		—		(206)		130,787		76,704		54,083
Corporate debt securities	116,876		—		(1,522)		115,354		5,842		109,512
Total	$	362,735	$	3	$	(2,089)	$	360,649	$	162,863	$	197,786

The Company did not hold any investments in debt securities as of December 31, 2021.

The fair value and amortized cost of the Company’s debt securities with a stated contractual maturity or redemption date were as follows (in thousands):


	September 30, 2022
	Amortized Cost		Fair Value
Due in one year or less	$	255,526	$	255,007
Due in one year through five years	107,209		105,642
Total	$	362,735	$	360,649

As of September 30, 2022, investments in an unrealized loss position for which other-than-temporary impairments have not been recognized had an aggregate fair value of $320.3 million. None of these investments were in a continuous unrealized loss position for more than twelve months. The Company does not intend to sell these investments and it is not more likely than not that the Company will be required to sell these investments before recovery of their amortized cost basis. The Company anticipates that it will recover the entire amortized cost basis of these investments on or before maturity. During the three and nine months ended September 30, 2022, the Company did not recognize any other-than-temporary impairment losses on these securities.

Interest income from cash and cash equivalents and short-term investments was $0.5 million and $1.1 million for the three and nine months ended September 30, 2021, and $5.5 million and $7.9 million for the three and nine months ended September 30, 2022, respectively.

Fair Value Measurements

The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis and indicates the fair value hierarchy of the valuation (in thousands):


	As of September 30, 2022
	Total		Level 1		Level 2		Level 3
Assets:
Cash equivalents:
Money market funds	$	640,978	$	640,978	$	—	$	—
U.S. government agency securities	80,317		—		80,317		—
Commercial paper	76,704		—		76,704		—
Corporate debt securities	5,842		—		5,842		—
Total cash equivalents	$	803,841	$	640,978	$	162,863	$	—
Short-term investments:
U.S. treasury securities	$	9,689	$	9,689	$	—	$	—
U.S. government agency securities	24,502		—		24,502		—
Commercial paper	54,083		—		54,083		—
Corporate debt securities	109,512		—		109,512		—
Total short-term investments	$	197,786	$	9,689	$	188,097	$	—
Total	$	1,001,627	$	650,667	$	350,960	$	—


	As of December 31, 2021
	Total		Level 1		Level 2		Level 3
Assets:
Cash equivalents:
Money market funds	$	1,077,550	$	1,077,550	$	—	$	—
Total	$	1,077,550	$	1,077,550	$	—	$	—

Warrants Liability

In February and March 2021, TRATON Group (“TRATON”) and its subsidiary Navistar, Inc. (“Navistar”) exercised warrants to purchase 4,331,644 and 9,477,073 shares of Series E-2 and Series E redeemable convertible preferred stock at an exercise price of $11.31 and $14.14, resulting in proceeds of $49.0 million and $134.0 million, respectively. Immediately prior to their exercise, the fair value of the then existing warrants liability was remeasured using the Black-Scholes option-pricing model, resulting in a loss upon remeasurement of $326.9 million. The warrants exercised by TRATON represented only a portion of their total and the unexercised warrants expired as of the exercise date. As of September 30, 2022, there were no warrants outstanding.

The Company used the following assumptions in the model:


	As of
	February 26, 2021	March 19, 2021
Fair value of underlying securities	$40.00	$40.00
Expected volatility	62.95%	60.85%
Expected term (in years)	1.76	0.79
Risk-free interest rate	0.14%	0.08%

- 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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