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Fair value of financial assets and liabilities (Tables)

9 Months Ended

Sep. 30, 2021

Fair value of financial assets and liabilities

Schedule of information about the Company's financial assets and liabilities measured at fair value on a recurring basis

The following tables present information about the Company’s financial assets and liabilities measured at fair value on a recurring basis and indicate the level of the fair value hierarchy used to determine such fair values (in thousands):

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value measurements as of September 30, 2021

​

Level 1

Level 2

Level 3

Total

Assets

​

​

​

​

​

Cash equivalents

​

$

212,833

​

$

—

​

$

—

​

$

212,833

​

​

$

212,833

​

$

—

​

$

—

​

$

212,833

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value measurements at December 31, 2020

​

Level 1

Level 2

Level 3

Total

Assets

​

​

​

​

​

Cash equivalents

​

$

23,456

​

$

—

​

$

—

​

$

23,456

Short-term investments

​

14,998

​

—

​

—

​

14,998

​

​

$

38,454

​

$

—

​

$

—

​

$

38,454

Liabilities

​

​

​

​

​

Preferred stock warrant liability

​

$

—

​

$

—

​

$

4,117

​

$

4,117

​

​

$

—

​

$

—

​

$

4,117

​

$

4,117

Schedule of information about weighted average of the unobservable inputs used to fair value the preferred stock warrant liability

The table below quantifies the weighted average of the unobservable inputs used to fair value the preferred stock warrant liability prior to their conversion into common stock warrants:

​	​	​	​	​	​	​	​	​	​	​	​	​	​	​
​		Three Months Ended September 30,							Nine Months Ended September 30,
​		2021			2020				2021			2020
Fair value of Series A1 preferred stock	​	$	4.00	​	$	0.39	​	​	$	3.01	​	$	0.45	​
Fair value of Series B1 preferred stock	​	$	4.00	​	$	1.17	​	​	$	3.26	​	$	1.13	​
Fair value of Series C1 preferred stock	​	$	4.00	​	$	1.15	​	​	$	3.30	​	$	1.15	​
Remaining contractual term (in years)	​		6.6	​		7.4	​	​		6.8	​		7.7	​
Risk-free interest rate	​		1.0	%		0.6	%	​		1.2	%		0.6	%
Expected dividend yield	​		—	%		—	%	​		—	%		—	%
Expected volatility	​		42.2	%		40.3	%	​		42.0	%		39.3	%

Schedule of information provides a rollforward of the aggregate fair values of the Company's preferred stock warrant liability

The following table provides a rollforward of the aggregate fair values of the Company’s preferred stock warrant liability, for which fair values are determined using Level 3 inputs (in thousands):

​

​	​	​	​	​	​	​	​	​	​	​	​	​
​		Three Months Ended September 30,						Nine Months Ended September 30,
​		2021			2020			2021			2020
Balance, beginning of period	​	$	15,600	​	$	3,499	​	$	4,117	​	$	3,396
Initial fair value of Series C1 preferred stock warrants	​	​	—	​	​	—	​	​	—	​	​	652
Change in fair value of preferred stock warrants	​		8,160	​		—	​		19,643	​		(549)
Conversion of preferred stock warrants to common stock warrants	​		(23,760)	​		—	​		(23,760)	​		—
Balance, end of period	​	$	—	​	$	3,499	​	$	—	​	$	3,499

X

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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