Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.22.2.2
Fair Value Measurements
 9 Months Ended
Sep. 30, 2022
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 8) are classified as Level 1 because they are directly observable in the market. The Company classifies the Private Placement Warrants (as defined in Note 8) 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 Earnout Shares Liability (as
defined in Note 8) within Level 3. The Earnout Shares Liability is measured at fair value on a recurring basis. Changes in fair value of Level 3 liabilities are recorded in other income, 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, 2022 and December 31, 2021 (in thousands):
September 30, 2022
Level 1 Level 2 Level 3 Total
Assets measured at fair value
Money market funds $ 166,438  $ —  $ —  $ 166,438 
Cash equivalents $ 166,438  $ —  $ —  $ 166,438 
Term deposits $ —  $ 40,506  $ —  $ 40,506 
Asset backed securities —  31,667  —  31,667 
Government debt securities —  385,827  —  385,827 
Corporate debt securities —  422,662  —  422,662 
Available-for-sale investments —  880,662  —  880,662 
Total fair value of assets $ 166,438  $ 880,662  $ —  $ 1,047,100 
Liabilities measured at fair value        
Common stock warrant liabilities (Public) $ 14,488  $ —  $ —  $ 14,488 
Common stock warrant liabilities (Private Placement) —  9,687  —  9,687 
Earnout Shares Liability —  —  58,499  58,499 
Total fair value of liabilities $ 14,488  $ 9,687  $ 58,499  $ 82,674 

December 31, 2021
Level 1 Level 2 Level 3 Total
Assets measured at fair value
Money market funds $ 929,842  $ —  $ —  $ 929,842 
Cash equivalents $ 929,842  $ —  $ —  $ 929,842 
Term deposits $ —  $ 40,069  $ —  $ 40,069 
Asset backed securities —  69,496  —  69,496 
Government debt securities —  47,308  —  47,308 
Corporate debt securities —  186,376  —  186,376 
Available-for-sale investments —  343,249  —  343,249 
Total fair value of assets $ 929,842  $ 343,249  $ —  $ 1,273,091 
Liabilities measured at fair value        
Common stock warrant liabilities (Public) $ 26,910  $ —  $ —  $ 26,910 
Common stock warrant liabilities (Private Placement) —  17,992  —  17,992 
Earnout Shares Liability —  —  109,844  109,844 
Total fair value of liabilities $ 26,910  $ 17,992  $ 109,844  $ 154,746 
The following is a summary of the Company’s available-for-sale securities (in thousands):
September 30, 2022
Adjusted
Basis		 Unrealized
Gains
Unrealized
Losses
Recorded
Basis
Assets measured at fair value
Term deposits $ 40,506  $ —  $ —  $ 40,506 
Asset backed securities 32,052  —  (385) 31,667 
Government debt securities 390,761  —  (4,934) 385,827 
Corporate debt securities 426,882  —  (4,220) 422,662 
Total $ 890,201  $ —  $ (9,539) $ 880,662 
December 31, 2021
Adjusted
Basis		 Unrealized
Gains
Unrealized
Losses
Recorded
Basis
Assets measured at fair value
Term deposits $ 40,069  $ —  $ —  $ 40,069 
Asset backed securities 69,579  —  (83) 69,496 
Government debt securities 47,355  —  (47) 47,308 
Corporate debt securities 186,471  —  (95) 186,376 
Total $ 343,474  $ —  $ (225) $ 343,249 
There were no transfers between Level 1, Level 2 or Level 3 financial instruments in the nine months ended September 30, 2022 and 2021.
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):
Earnout Shares Liability
Fair value as of January 1, 2022 $ 109,844 
Change in fair value (51,345)
Fair value as of September 30, 2022
 $ 58,499 
The fair value of the Earnout Shares Liability (see Note 8) are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy.