Fair Value Measurements

3 Months Ended

Mar. 31, 2022

Assets measured at fair value on a recurring basis

The following tables set forth our financial assets measured at fair value on a recurring basis and the level of inputs used in such measurements:


As of March 31, 2022 (in thousands)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Aggregate Fair Value		Fair Value Level
Cash and cash equivalents:
Cash	$	105,219	$	—	$	—	$	105,219	Level 1
Money market funds	321,351		—		—		321,351		Level 1
Commercial paper	11,482		1		(1)		11,482		Level 2
Total cash and cash equivalents	438,052		1		(1)		438,052
Investments:
Commercial paper	132,631		—		(412)		132,219		Level 2
U.S. Treasuries	48,632		—		(211)		48,421		Level 2
Asset-backed securities	6,037		—		(22)		6,015		Level 2
Corporate bonds	18,180		—		(65)		18,115		Level 2
Agency bonds	5,000		—		(13)		4,987		Level 2
Total investments	210,480		—		(723)		209,757
Total assets measured at fair value on a recurring basis	$	648,532	$	1	$	(724)	$	647,809


As of December 31, 2021 (in thousands)	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Aggregate Fair Value		Fair Value Level
Cash and cash equivalents:
Cash	$	114,533	$	—	$	—	$	114,533	Level 1
Money market funds	324,955		—		—		324,955		Level 1
Total cash and cash equivalents	439,488		—		—		439,488
Investments:
Commercial paper	177,852		16		(57)		177,811		Level 2
U.S. Treasuries	12,021		—		(9)		12,012		Level 2
Asset-backed securities	12,084		—		(8)		12,076		Level 2
Corporate bonds	16,332		—		(13)		16,319		Level 2
Total investments	218,289		16		(87)		218,218
Total assets measured at fair value on a recurring basis	$	657,777	$	16	$	(87)	$	657,706

All of the commercial paper, U.S. Treasuries, asset-backed securities, corporate bonds, and agency bonds that are designated as available-for-sale securities have an effective maturity date that is less than one year from the respective balance sheet date, and accordingly, have been classified as current in the condensed consolidated balance sheets.

We classify our investments in money market funds within Level 1 of the fair value hierarchy because they are valued using quoted market prices. We classify our commercial paper, U.S Treasuries, asset-backed securities, corporate bonds and agency bonds as Level 2 and obtain the fair value from a third-party pricing service, which may use quoted market prices for identical or comparable instruments or model-driven valuations using observable market data or inputs corroborated by observable market data.

As all of our available-for-sale securities have been held for less than a year as of both March 31, 2022 and December 31, 2021, no security has been in an unrealized loss position for 12 months or greater. We evaluated our securities for other-than temporary impairment and considered the decline in market value for the securities to be primarily attributed to current economic and market conditions. It is not more likely than not that we will be required to sell the securities, and we do not intend to do so prior to the recovery of the amortized cost basis. Based on this analysis, the available-for-sale securities were not considered to be other-than-temporarily impaired as of March 31, 2022 and December 31, 2021.

Liabilities measured at fair value on a recurring basis

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


(in thousands)	March 31, 2022		December 31, 2021		Fair Value Level
Warrant liability - public warrants	$	11,813	$	18,437	Level 1
Warrant liability - private placement warrants	10,728		16,744		Level 2
Earn-out liability	10,423		26,885		Level 3
Total liabilities measured at fair value on a recurring basis	$	32,964	$	62,066

Warrant liabilities

The public warrants were valued using Level 1 inputs as they are traded in an active market. The fair value of the private placement warrants is equivalent to that of the public warrants as they have substantially the same terms; however, as they are not actively traded, they are classified as Level 2 in the hierarchy table above.

Earn-out liability

The fair value of the Earn-Out Shares was estimated using a Monte Carlo simulation model. The fair value is based on the simulated price of the Company over the maturity date of the contingent consideration and increased by estimated forfeitures of Earn-Out Shares issued to Earn-Out Service Providers.

The significant unobservable inputs used in the Monte Carlo simulation to measure the Earn-Out Shares that are categorized within Level 3 of the fair value hierarchy were as follows:


	March 31, 2022			December 31, 2021
Stock price on valuation date	$	8.02		$	11.64

Volatility	73.7		%	85.6		%
Risk-free rate	1.51		%	0.34		%
Dividend yield	—		%	—		%

The change in the fair value of the earn-out liability for the three months ended March 31, 2022 is summarized as follows:


(in thousands)	Fair Value
Balance as of December 31, 2021	$	26,885
Change in fair value of earn-out liability	(16,462)
Balance as of March 31, 2022	$	10,423