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Fair Value Measurements | 9 Months Ended | 12 Months Ended
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Sep. 30, 2020 | Dec. 31, 2019
Fair Value Measurements | Note 10. Fair Value Measurements The Company’s financial assets and liabilities subject to fair value measurements on a recurring basis and the level of inputs used for such measurements were as follows (in thousands):
Fair Value Measured as of September 30, 2020 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial papers |  | $ | — |  |  | $ | 61,594 |  |  | $ | — |  |  | $ | 61,594 |
Corporate debt securities |  |  | — |  |  |  | 41,980 |  |  |  | — |  |  |  | 41,980 |
Treasury bills |  |  | 4,098 |  |  |  | — |  |  |  | — |  |  |  | 4,098 |
Agency securities |  |  | — |  |  |  | 1,999 |  |  |  | — |  |  |  | 1,999 |
Asset backed securities |  |  | — |  |  |  | 5,190 |  |  |  | 1,250 |  |  |  | 6,440 |
Foreign corporate debt |  |  | — |  |  |  | 1,019 |  |  |  | — |  |  |  | 1,019 |
Total fair value |  | $ | 4,098 |  |  | $ | 111,782 |  |  | $ | 1,250 |  |  | $ | 117,130 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2017 Warrant |  | $ | — |  |  | $ | — |  |  | $ | 7,413 |  |  | $ | 7,413 |
2018 Warrant |  |  | — |  |  |  | — |  |  |  | 853 |  |  |  | 853 |
2020 Warrants |  |  | — |  |  |  | — |  |  |  | 7,146 |  |  |  | 7,146 |
Total fair value |  | $ | — |  |  | $ | — |  |  | $ | 15,412 |  |  | $ | 15,412 |
Fair Value Measured (in thousands) as of December 31, 2019 Using: |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial papers |  | $ | — |  |  | $ | 3,212 |  |  |  | — |  |  | $ | 3,212 |
Corporate debt |  |  | — |  |  |  | 2,698 |  |  |  | — |  |  |  | 2,698 |
Treasury bills |  |  | 749 |  |  |  | — |  |  |  | — |  |  |  | 749 |
Total fair value |  | $ | 749 |  |  | $ | 5,910 |  |  | $ | — |  |  | $ | 6,659 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2017 Warrant |  | $ | — |  |  | $ | — |  |  | $ | 1,035 |  |  | $ | 1,035 |
2018 Warrant |  |  | — |  |  |  | — |  |  |  | 87 |  |  |  | 87 |
Total fair value |  | $ | — |  |  | $ | — |  |  | $ | 1,122 |  |  | $ | 1,122 |
The Bridge Notes included a change of control redemption feature that required bifurcation and separate accounting as a derivative. However, as the triggering change of control had a low probability of occurring, the fair value of the derivative was determined to be de minimis. The Company measures the 2017 Warrant, 2018 Warrant, and SAFE liabilities at fair value based on significant inputs not observable in the market, which cause them to be classified as Level 3 measurements within the fair value hierarchy. The valuation of the 2017 Warrant and 2018 Warrant uses assumptions and estimates the Company believes would be made by a market participant in making the same valuation. The Company assesses these assumptions and estimates on an on-going basis as additional data impacting the assumptions and estimates are obtained. Changes in the fair value of the 2017 Warrant and the 2018 Warrant related to updated assumptions and estimates are recognized within the condensed consolidated statements of operations. Level 3 Disclosures Our Level 3 asset as of September 30, 2020 was a single Asset Backed Security that was offered and purchased on September 29, 2020. The Company has utilized the purchase price as the estimated fair value of the security as of September 30, 2020. The 2017 and 2018 Warrants outstanding on December 31, 2019 were valued using an option pricing method (“OPM”), which employed an assumed total equity valuation of $640 million, an option term of three years, volatility of 49.6% and a risk-free rate of 1.62%. Total equity value was estimated using a discounted cash flow analysis employing a long-term income forecast and a discount rate of 35%, giving consideration to additional risk in the Company’s forecast relative to the prior valuation. The 2017, 2018, and 2020 Warrants outstanding on September 30, 2020 were valued using an OPM model, assuming the Company has an IPO by November 15, 2020 and no IPO scenario with 95% and 5% weightage being assigned to the value derived in the IPO and no IPO scenario, respectively. The IPO scenario employed assumed total equity valuation of $3.3 billion, an option term of 0.125 years, volatility of 76.2% and a risk-free rate of 0.08%. The no IPO scenario assumed total equity valuation of $1.9 billion, an option term of 2.125 years, volatility of 72.1% and a risk-free rate of 0.13%. Total equity value was estimated using a discounted cash flow analysis employing a long-term income forecast and a discount rate of 35%. The fair value is classified as Level 3 in the fair value hierarchy due to the significant management judgment required for the assumptions underlying the calculation of value. The following table presents changes in Level 3 liabilities measured at fair value for the nine months ended September 30, 2020 and September 30, 2019 (in thousands):
For the nine months ended September 30, 2020 |
|  | 2017 Warrant |  |  | 2018 Warrant |  |  | 2020 Warrants |
Balance-beginning of period |  | $ | 1,035 |  |  | $ | 87 |  |  | $ | — |
Additions |  |  | — |  |  |  | — |  |  |  | 1,728 |
Exercise or conversion |  |  | — |  |  |  | — |  |  |  | — |
Measurement adjustments |  |  | 6,378 |  |  |  | 766 |  |  |  | 5,418 |
Balance-end of period |  | $ | 7,413 |  |  | $ | 853 |  |  | $ | 7,146 |
For the nine months ended September 30, 2019 |
|  | SAFEs |  |  | 2017 Warrants |  |  | 2018 Warrants |
Balance-beginning of period |  | $ | 122,588 |  |  | $ | 808 |  |  | $ | 58 |
Additions |  |  | 37,379 |  |  |  | — |  |  |  | — |
Exercise or conversion |  |  | (184,182 | ) |  |  | — |  |  |  | — |
Measurement adjustments |  |  | 24,215 |  |  |  | 147 |  |  |  | 17 |
Balance-end of the nine months period |  | $ | — |  |  | $ | 955 |  |  | $ | 75 |
| Note 13. Fair Value Measurements The Company’s financial assets and liabilities subject to fair value measurements on a recurring basis and the level of inputs used for such measurements were as follows:
|  | Fair Value (in thousands) Measured as of December 31, 2019 Using: |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial papers |  | $ | — |  |  | $ | 3,212 |  |  | $ | — |  |  | $ | 3,212 |
Corporate debt |  |  | — |  |  |  | 2,698 |  |  |  | — |  |  |  | 2,698 |
Treasury bills |  |  | 749 |  |  |  | — |  |  |  | — |  |  |  | 749 |
Total fair value |  |  | 749 |  |  |  | 5,910 |  |  |  | — |  |  |  | 6,659 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
SAFEs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
2017 Warrants |  |  | — |  |  |  | — |  |  |  | 1,035 |  |  |  | 1,035 |
2018 Warrants |  |  | — |  |  |  | — |  |  |  | 87 |  |  |  | 87 |
Total fair value |  | $ | — |  |  | $ | — |  |  | $ | 1,122 |  |  | $ | 1,122 |
|  | Fair Value (in thousands) Measured as of December 31, 2018 Using: |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
SAFEs |  | $ | — |  |  | $ | — |  |  | $ | 122,588 |  |  | $ | 122,588 |
2017 Warrants |  |  | — |  |  |  | — |  |  |  | 808 |  |  |  | 808 |
2018 Warrants |  |  | — |  |  |  | — |  |  |  | 58 |  |  |  | 58 |
Total fair value |  | $ | — |  |  | $ | — |  |  | $ | 123,454 |  |  | $ | 123,454 |
The Bridge Notes included a Change of Control redemption feature that required bifurcation and separate accounting as a derivative. However, as the triggering Change of Control had a low probability of occurring, the fair value of the derivative was determined to be de minimis. The Company measures the 2017 Warrants, 2018 Warrants, and SAFE liabilities at fair value based on significant inputs not observable in the market, which cause them to be classified as Level 3 measurements within the fair value hierarchy. The valuation of the 2017 Warrant and 2018 Warrant uses assumptions and estimates the Company believes would be made by a market participant in making the same valuation. The Company assess these assumptions and estimates on an on-going basis as additional data impacting the assumptions and estimates are obtained. Changes in the fair value of the 2017 Warrant, 2018 Warrant related to updated assumptions and estimates are recognized within the consolidated statement of operations. Level 3 Disclosures In 2018, the SAFEs, the 2017 Warrants, and the 2018 Warrants were valued using a discounted cash flow model, which estimated the future as-if converted, or exercised, value of the securities and discounted it back to a present value using a discount rate that reflected the stage of development of the Company. The future as-if converted values were estimated using a back solve option pricing method (“OPM”) model based upon Management’s estimated post-money valuation at the time of its expected Series A Convertible Preferred Stock financing round. The discount rate employed in the SAFE valuation was 30% as of the December 31, 2018 valuation. The 2017 and 2018 Warrants outstanding on December 31, 2019 were valued using an OPM model, which employed an assumed total equity valuation of $640 million, an option term of three years, volatility of 49.6% and a risk-free rate of 1.62%. Total equity value was estimated using a discounted cash flow analysis employing a long-term income forecast and a discount rate of 35%, giving consideration to additional risk in the Company’s forecast relative to the prior valuation. The fair value is classified as Level 3 in the fair value hierarchy due to the significant management judgment required for the assumptions underlying the calculation of value. The following table sets forth a summary of changes in the estimated fair value: The following table presents changes in Level 3 liabilities measured at fair value for the years ended December 31, 2018 and December 31, 2019 (in thousands):
|  | For the year ended December 31, 2019 |
|  | SAFEs |  |  | 2017 Warrants |  |  | 2018 Warrants |
Balance-beginning of year |  | $ | 122,588 |  |  | $ | 808 |  |  | $ | 58 |
Additions |  |  | 37,379 |  |  |  | — |  |  |  |  |
Exercise or conversion |  |  | (184,182 | ) |  |  |  |  |  |  |  |
Measurement adjustments |  |  | 24,215 |  |  |  | 227 |  |  |  | 29 |
Balance-end of year |  | $ | — |  |  | $ | 1,035 |  |  | $ | 87 |
|  | For the year ended December 31, 2018 |
|  | SAFEs |  |  | 2017 Warrants |  |  | 2018 Warrants |
Balance-beginning of year |  | $ | 43,775 |  |  | $ | 723 |  |  | $ |  |
Additions |  |  | 66,467 |  |  |  | — |  |  |  |  |
Exercise or conversion |  |  |  |  |  |  |  |  |  |  |  |
Measurement adjustments |  |  | 12,345 |  |  |  | 85 |  |  |  | 58 |
Balance-end of year |  | $ | 122,588 |  |  | $ | 808 |  |  | $ | 58 |
Gores Metropoulos, Inc. |  |
Fair Value Measurements |
8. | Fair Value Measurement
The Company complies with FASB ASC 820, Fair Value Measurements , for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually. ASC 820 determines fair value to be the price that would be received to sell an asset or would be paid to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date. The following table presents information about the Company’s assets that are measured at fair value on a recurring basis as of September 30, 2020 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. In general, fair values determined by Level 1 inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities. Fair values determined by Level 2 inputs utilize data points that are observable such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs are unobservable data points for the asset or liability, and includes situations where there is little, if any, market activity for the asset or liability:
Description |  | September 30, 2020 |  |  | Quoted Prices in Active Markets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Other Unobservable Inputs (Level 3) |
Investments and cash held in Trust Account |  |  | 405,725,195 |  |  |  | 405,725,195 |  |  |  | — |  |  |  | — |
Total |  | $ | 405,725,195 |  |  | $ | 405,725,195 |  |  | $ | — |  |  | $ | — |
| 8. Fair Value Measurements The Company complies with FASB ASC 820, Fair Value Measurements , for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually. ASC 820 determines fair value to be the price that would be received to sell an asset or would be paid to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date. The following table presents information about the Company’s assets that are measured at fair value on a recurring basis as of December 31, 2019, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. In general, fair values determined by Level 1 inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities. Fair values determined by Level 2 inputs utilize data points that are observable such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs are unobservable data points for the asset or liability, and includes situations where there is little, if any, market activity for the asset or liability:
Description |  | December 31, 2019 |  |  | Quoted Prices in Active Markets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Other Unobservable Inputs (Level 3) |
Investments and cash held in Trust Account |  |  | 406,434,959 |  |  |  | 406,434,959 |  |  |  | — |  |  |  | — |
Total |  | $ | 406,434,959 |  |  | $ | 406,434,959 |  |  | $ | — |  |  | $ | — |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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