Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.23.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2023
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, 2023 and December 31, 2022 (in thousands):
September 30, 2023
Level 1 Level 2 Level 3 Total
Assets measured at fair value
Money market funds $ 474,605  $ —  $ —  $ 474,605 
Cash equivalents $ 474,605  $ —  $ —  $ 474,605 
Term deposits $ —  $ 42,000  $ —  $ 42,000 
Asset backed securities —  21,994  —  21,994 
Government debt securities —  185,110  —  185,110 
Corporate debt securities —  383,040  —  383,040 
Available-for-sale investments —  632,144  —  632,144 
Total fair value of assets $ 474,605  $ 632,144  $ —  $ 1,106,749 
Liabilities measured at fair value        
Common stock warrant liabilities (Public) $ 21,390  $ —  $ —  $ 21,390 
Common stock warrant liabilities (Private Placement) —  14,301  —  14,301 
Common stock warrant liabilities (Delta) —  —  28,959  28,959 
Warrant liabilities 21,390  14,301  28,959  64,650 
Earnout Shares Liability —  —  94,602  94,602 
Total fair value of liabilities $ 21,390  $ 14,301  $ 123,561  $ 159,252 
December 31, 2022
Level 1 Level 2 Level 3 Total
Assets measured at fair value
Money market funds $ 108,119  $ —  $ —  $ 108,119 
Cash equivalents $ 108,119  $ —  $ —  $ 108,119 
Term deposits $ —  $ 40,709  $ —  $ 40,709 
Asset backed securities —  54,707  —  54,707 
Government debt securities —  362,851  —  362,851 
Corporate debt securities —  452,425  —  452,425 
Available-for-sale investments —  910,692  —  910,692 
Total fair value of assets $ 108,119  $ 910,692  $ —  $ 1,018,811 
Liabilities measured at fair value        
Common stock warrant liabilities (Public) $ 8,318  $ —  $ —  $ 8,318 
Common stock warrant liabilities (Private Placement) —  5,561  —  5,561 
Common stock warrant liabilities (Delta) —  —  14,903  14,903 
Warrant liabilities 8,318  5,561  14,903  28,783 
Earnout Shares Liability —  —  44,055  44,055 
Total fair value of liabilities $ 8,318  $ 5,561  $ 58,958  $ 72,838 
The following is a summary of the Company’s available-for-sale securities (in thousands):
September 30, 2023
Cost or Amortized Cost Unrealized
Gains
Unrealized
Losses
Allowance for credit losses Fair value
Assets measured at fair value
Term deposits $ 42,000  $ —  $ —  $ —  $ 42,000 
Asset backed securities 22,054  —  (60) —  21,994 
Government debt securities 185,469  1  (360) —  185,110 
Corporate debt securities 384,385  20  (1,365) —  383,040 
Total $ 633,908  $ 21  $ (1,785) $ —  $ 632,144 
December 31, 2022
Cost or Amortized Cost Unrealized
Gains
Unrealized
Losses
Allowance for credit losses Fair value
Assets measured at fair value
Term deposits $ 40,709  $ —  $ —  $ —  $ 40,709 
Asset backed securities 55,016  —  (309) —  54,707 
Government debt securities 367,324  —  (4,473) —  362,851 
Corporate debt securities 455,854  —  (3,429) —  452,425 
Total $ 918,903  $ —  $ (8,211) $ —  $ 910,692 
There were no transfers between Level 1, Level 2 or Level 3 financial instruments in the nine months ended September 30, 2023 and 2022.
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, 2023 $ 44,055  $ 14,903 
Change in fair value 50,547  14,056 
Fair value as of September 30, 2023 $ 94,602  $ 28,959 
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.