Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.24.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
Assets and liabilities recorded at fair value on a recurring basis in the condensed consolidated balance sheets are categorized based upon the level of judgment associated with the inputs used to measure their fair values. Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Valuation techniques used to measure fair value must maximize the use of observable inputs and minimize the use of unobservable inputs. The authoritative guidance on fair value measurements establishes a three-tier fair value hierarchy for disclosure of fair value measurements as follows:
•Level 1 - Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities at the measurement date;
•Level 2 - Inputs are observable, unadjusted quoted prices in active markets for similar assets or liabilities, unadjusted quoted prices for identical or similar assets or liabilities in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the related assets or liabilities; and
•Level 3 - Unobservable inputs that are significant to the measurement of the fair value of the assets or liabilities that are supported by little or no market data.
A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires management to make judgments and consider factors specific to the asset or liability.
The Company’s financial assets consist of Level 1 and 2 assets. The Company classifies its cash equivalents and marketable debt securities within Level 1 or Level 2 because they are valued using either quoted market prices or inputs other than quoted prices which are directly or indirectly observable in the market, including readily-available pricing sources for the identical underlying security which may not be actively traded. The Company’s fixed income available-for-sale securities consist of high quality, investment grade securities from diverse issuers. The valuation techniques used to measure the fair value of the Company’s marketable debt securities were derived from non-binding market consensus prices that are corroborated by observable market data and quoted market prices for similar instruments.
The Company’s financial liabilities measured at fair value on a recurring basis consist of Level 1, Level 2 and Level 3 liabilities. The Company’s Public Warrants (as defined in Note 7) are classified as Level 1 because they are directly observable in the market. The Company classifies the Private Placement Warrants (as defined in Note 7) within Level 2, because they were valued using inputs other than quoted prices which are directly observable in the market, including readily available pricing for the Company’s Public Warrants. The Company classifies Delta Warrant and Earnout Shares Liability (as defined in Note 7) within Level 3, because they were valued using unobservable inputs that are significant to
the fair value measurement. The Delta Warrant and Earnout Shares Liability are measured at fair value on a recurring basis. Changes in fair value of Level 3 liabilities are recorded in total other income (loss), net, in the condensed consolidated statements of operations.
The following tables set forth the fair value of the Company’s financial assets and liabilities measured on a recurring basis by level within the fair value hierarchy as of September 30, 2024 and December 31, 2023 (in thousands):
September 30, 2024
Level 1 Level 2 Level 3 Total
Assets measured at fair value
Money market funds $ 142,090  $ —  $ —  $ 142,090 
Cash equivalents $ 142,090  $ —  $ —  $ 142,090 
Term deposits $ —  $ 30,770  $ —  $ 30,770 
Asset backed securities —  51,400  —  51,400 
Government debt securities —  155,312  —  155,312 
Corporate debt securities —  320,210  —  320,210 
Available-for-sale investments —  557,692  —  557,692 
Total fair value of assets $ 142,090  $ 557,692  $ —  $ 699,782 
Liabilities measured at fair value        
Common stock warrant liabilities (Public) $ 10,867  $ —  $ —  $ 10,867 
Common stock warrant liabilities (Private) —  7,267  —  7,267 
Common stock warrant liabilities (Delta) —  —  24,230  24,230 
Warrant liability 10,867  7,267  24,230  42,364 
Earnout Shares Liability —  —  63,922  63,922 
Total fair value of liabilities $ 10,867  $ 7,267  $ 88,152  $ 106,286 

December 31, 2023
Level 1 Level 2 Level 3 Total
Assets measured at fair value
Money market funds $ 197,543  $ —  $ —  $ 197,543 
Cash equivalents $ 197,543  $ —  $ —  $ 197,543 
Term deposits $ —  $ 42,538  $ —  $ 42,538 
Asset backed securities —  27,469  —  27,469 
Government debt securities —  265,681  —  265,681 
Corporate debt securities —  492,545  —  492,545 
Available-for-sale investments —  828,233  —  828,233 
Total fair value of assets $ 197,543  $ 828,233  $ —  $ 1,025,776 
Liabilities measured at fair value        
Common stock warrant liabilities (Public) $ 21,097  $ —  $ —  $ 21,097 
Common stock warrant liabilities (Private Placement) —  14,105  —  14,105 
Common stock warrant liabilities (Delta) —  —  27,734  27,734 
Warrant liabilities 21,097  14,105  27,734  62,936 
Earnout Shares Liability —  —  95,969  95,969 
Total fair value of liabilities $ 21,097  $ 14,105  $ 123,703  $ 158,905 
The following is a summary of the Company’s available-for-sale securities (in thousands):
September 30, 2024
Cost or Amortized Cost Unrealized
Gains
Unrealized
Losses
Allowance for credit losses Fair value
Assets measured at fair value
Term deposits $ 30,770  $ —  $ —  $ —  $ 30,770 
Asset backed securities 51,261  139  —  —  51,400 
Government debt securities 155,137  175  —  —  155,312 
Corporate debt securities 319,399  811  —  —  320,210 
Total $ 556,567  $ 1,125  $ —  $ —  $ 557,692 
December 31, 2023
Cost or Amortized Cost Unrealized
Gains
Unrealized
Losses
Allowance for credit losses Fair value
Assets measured at fair value
Term deposits $ 42,538  $ —  $ —  $ —  $ 42,538 
Asset backed securities 27,465  21  (17) —  27,469 
Government debt securities 265,439  269  (27) —  265,681 
Corporate debt securities 492,761  299  (515) —  492,545 
Total $ 828,203  $ 589  $ (559) $ —  $ 828,233 
There were no transfers between Level 1, Level 2 or Level 3 financial instruments in the nine months ended September 30, 2024 and 2023.
The following table sets forth a summary of the change in the fair value, which is recognized as a component of total other income (loss), net within the condensed consolidated statement of operations, of the Company’s Level 3 financial liabilities (in thousands):
Earnout Shares Liability
Common Stock Warrant Liabilities Delta
Fair value as of January 1, 2024 $ 95,969  $ 27,733 
Change in fair value (32,047) (3,503)
Fair value as of September 30, 2024 $ 63,922  $ 24,230 
The fair value of the Earnout Shares Liability and Common stock warrant liabilities (Delta) (see Note 7) are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy.