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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Note 3. Fair Value Measurements The Company reports all financial assets and liabilities and nonfinancial assets and liabilities that are recognized or disclosed at fair value in the financial statements on a recurring basis. Valuation techniques used to measure fair value must maximize the use of observable inputs and minimize the use of unobservable inputs. The authoritative guidance establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to measurements involving significant unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows: Level 1—Inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Company has the ability to access 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. Level 3—Inputs are unobservable inputs for the asset or liability. The level in the fair value hierarchy within which a fair value measurement in its entirety is based on the lowest-level input that is significant to the fair value measurement in its entirety. The financial statements as of September 30, 2021 and December 31, 2020, do not include any nonrecurring fair value measurements relating to assets or liabilities. The following table sets forth the fair value measurements of liabilities that are measured at fair value on a recurring basis as of December 31, 2020 (in thousands). As of September 30, 2021, there were no liabilities that are measured at fair value on a recurring basis.
|  | As of December 31, 2020 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Redeemable convertible preferred stock warrants liabilities |  | $ | — |  |  | $ | — |  |  | $ | 2,112 |  |  | $ | 2,112 |
Total liabilities measured at fair value |  | $ | — |  |  | $ | — |  |  | $ | 2,112 |  |  | $ | 2,112 |
The Company measures the redeemable convertible preferred stock warrants using Level 3 unobservable inputs within the Black-Scholes option-pricing model. The key assumptions include the fair value of redeemable convertible preferred stock, volatility, the risk-free interest rate, expected term (remaining contractual term of the warrants) and dividend yield. The Company has limited historical volatility information available, and the expected volatility was based on actual volatility for comparable public companies projected over the expected terms of the warrants. The Company did not apply a forfeiture rate to the warrants as there is not enough historical information available to estimate such a rate. The risk-free interest rate was based on the U.S. Treasury yield curve at the time of the grant over the expected term of the warrants. Refer to Note 9 for the assumptions used. The Company measures the fair value of outstanding debt for disclosure purposes on a recurring basis. As of September 30, 2021 and December 31, 2020, total debt of $32.5 million and $31.9 million is reported at amortized cost, respectively. This outstanding debt is classified as Level 2 as it is not actively traded. The amortized cost of the outstanding debt approximates the fair value. The Company determines the fair value of the redeemable convertible preferred stock warrants quarterly, with subsequent gains and losses from remeasurement of Level 3 financial liabilities recorded through other income (expense), net in condensed statements of operations and comprehensive loss. A summary of the changes in the fair value of the Company’s Level 3 financial instruments for the three and nine months ended September 30, 2021 and 2020, is as follows (in thousands):
|  | Redeemable convertible preferred stock warrants liabilities |
Balance – December 31, 2020 |  | $ | 2,112 |
Change in fair value |  |  | (555 | )
Balance – March 31, 2021 |  |  | 1,557 |
Change in fair value |  |  | 5,427 |
Balance – June 30, 2021 |  |  | 6,984 |
Change in fair value |  |  | 1,989 |
Conversion of preferred stock warrants to common stock warrants upon the closing of the IPO |  |  | (8,973 | )
Balance – September 30, 2021 |  | $ | — |
|  | Redeemable convertible preferred stock warrants liabilities |
Balance – December 31, 2019 |  | $ | 236 |
Change in fair value |  |  | (92 | )
Balance – March 31, 2020 |  |  | 144 |
Change in fair value |  |  | 73 |
Balance – June 30, 2020 |  |  | 217 |
Change in fair value |  |  | 194 |
Balance – September 30, 2020 |  | $ | 411 |

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- Definition The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 + Details
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