Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 4. 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 2 and Level 3 liabilities. The Company classifies the Private Placement Warrants 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 the redeemable convertible preferred stock warrant and the Earnout Shares Liability within Level 3. The Common Stock 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 other income, net, in condensed consolidated statements of operations.

The following table sets forth the fair value of the Company’s financial assets and liabilities measured on a recurring basis by level within the fair value hierarchy (in thousands):

 

 

 

September 30, 2021

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets measured at fair value

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

982,110

 

 

$

 

 

$

 

 

$

982,110

 

Cash equivalents

 

 

982,110

 

 

 

 

 

 

 

 

 

982,110

 

Term deposits

 

 

 

 

 

40,046

 

 

 

 

 

 

40,046

 

Asset backed securities

 

 

 

 

 

69,676

 

 

 

 

 

 

69,676

 

Government debt securities

 

 

 

 

 

47,234

 

 

 

 

 

 

47,234

 

Corporate debt securities

 

 

 

 

 

189,035

 

 

 

 

 

 

189,035

 

Available-for-sale investments

 

 

 

 

 

345,991

 

 

 

 

 

 

345,991

 

Total fair value of assets

 

$

982,110

 

 

$

345,991

 

 

$

 

 

$

1,328,101

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities measured at fair value

 

 

 

 

 

 

 

 

 

 

 

 

Common stock warrant liabilities (Public)

 

$

38,814

 

 

$

-

 

 

$

-

 

 

$

38,814

 

Common stock warrant liabilities (Private Placement)

 

 

 

 

 

25,951

 

 

 

 

 

 

25,951

 

Earnout Shares Liability

 

 

 

 

 

 

 

 

151,323

 

 

 

151,323

 

Total fair value of liabilities

 

$

38,814

 

 

$

25,951

 

 

$

151,323

 

 

$

216,088

 

 

 

 

 

December 31, 2020

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets measured at fair value

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

74,049

 

 

$

 

 

$

 

 

$

74,049

 

Cash equivalents

 

 

74,049

 

 

 

 

 

 

 

 

 

74,049

 

Asset backed securities

 

 

 

 

 

52,022

 

 

 

 

 

 

52,022

 

Government debt securities

 

 

 

 

 

57,829

 

 

 

 

 

 

57,829

 

Corporate debt securities

 

 

 

 

 

258,736

 

 

 

 

 

 

258,736

 

Marketable securities

 

 

 

 

 

368,587

 

 

 

 

 

 

368,587

 

Total fair value of assets

 

$

74,049

 

 

$

368,587

 

 

$

 

 

$

442,636

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The following is a summary of the Company’s available-for-sale securities (in thousands):

 

 

 

September 30, 2021

 

 

 

Adjusted
Basis

 

 

Unrealized
Gains

 

 

Unrealized
Losses

 

 

Recorded
Basis

 

Assets measured at fair value

 

 

 

 

 

 

 

 

 

 

 

 

Term deposits

 

$

40,046

 

 

$

 

 

$

 

 

$

40,046

 

Asset backed securities

 

 

69,690

 

 

10

 

 

 

(24

)

 

 

69,676

 

Government debt securities

 

 

47,232

 

 

5

 

 

 

(3

)

 

 

47,234

 

Corporate debt securities

 

 

189,039

 

 

3

 

 

 

(7

)

 

 

189,035

 

Total

 

$

346,007

 

 

$

18

 

 

$

(34

)

 

$

345,991

 

 

 

 

December 31, 2020

 

 

 

Adjusted
Basis

 

 

Unrealized
Gains

 

 

Unrealized
Losses

 

 

Recorded
Basis

 

Asset backed securities

 

$

51,938

 

 

$

84

 

 

$

 

 

$

52,022

 

Government debt securities

 

 

57,826

 

 

 

3

 

 

 

 

 

 

57,829

 

Corporate debt securities

 

 

258,502

 

 

 

234

 

 

 

 

 

 

258,736

 

Total

 

$

368,266

 

 

$

321

 

 

$

 

 

$

368,587

 

There were no transfers between Level 1, Level 2 or Level 3 financial instruments in the nine months ended September 30, 2021 and 2020.

In nine months ended September 30, 2020, the Company did not have any Level 3 financial assets or liabilities measured at fair value on a recurring basis.

The following table sets forth a summary of the change in the fair value, which is recognized as a component of other income within the condensed consolidated statement of operations, of the Company’s Level 3 financial liabilities (in thousands):

 

 

 

In-Q-Tel Warrant Liability

 

 

Earnout Shares Liability

 

Fair value as of January 1, 2021

 

$

 

 

$

 

Initial fair value of the In-Q-Tel warrant liability

 

 

602

 

 

 

 

Earnout Shares Liability recognized upon the closing of the reverse recapitalization

 

 

 

 

 

149,911

 

Change in fair value

 

 

89

 

 

 

1,412

 

Extinguishment of Legacy Joby In-Q-Tel warrant liability to common stock upon the reverse recapitalization

 

 

(691

)

 

 

 

Fair value as of September 30, 2021

 

$

 

 

$

151,323

 

 

The fair values of the In-Q-Tel warrant liability and Earnout Shares Liability (see Note 10) are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. In determining the fair value of the In-Q-Tel warrant liability, the Company used the Black-Scholes option pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate and dividend yield (see Note 10).