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Financial Instruments and Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Financial Instruments and Fair Value Measurements

Summary of Financial assets and liabilities

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As of September 30, 2021

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Significant

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​

​

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Quoted Priced in

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Significant Other

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Unobservable

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​

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​

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Active Markets

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Observable Inputs

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Inputs

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​

​

​

(Level 1)

(Level 2)

(Level 3)

Total

Assets:

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​

​

​

Money market funds

​

$

7,252

​

$

—

​

$

—

​

$

7,252

Total assets

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$

7,252

​

$

—

​

$

—

​

$

7,252

Liabilities:

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​

​

​

​

​

​

Simple Agreements for Future Equity

​

$

—

​

$

—

​

$

10,918

​

$

10,918

Total liabilities

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$

—

​

$

—

​

$

10,918

​

$

10,918

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​

​

​

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​

​

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​

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​

​

​

As of December 31, 2020

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​

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​

​

​

Significant

​

​

​

​

​

Quoted Priced in

​

Significant Other

​

Unobservable

​

​

​

​

​

Active Markets

​

Observable Inputs

​

Inputs

​

​

​

​

(Level 1)

(Level 2)

(Level 3)

Total

Assets:

​

​

​

​

Money market funds

​

$

2,853

​

$

—

​

$

—

​

$

2,853

Total assets

​

$

2,853

​

$

—

​

$

—

​

$

2,853

Liabilities:

​

​

​

​

Derivative liability

​

$

—

​

$

—

​

$

2,209

​

$

2,209

Total liabilities

​

$

—

​

$

—

​

$

2,209

​

$

2,209

Summary of the changes in fair value of the Level 3 liabilities

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​	​	​	​	​	​	​	​	​	​
​	​	Nine Months Ended September 30, 2021
​	​	​		​	Derivative			​
​		SAFE			Liability			Total
Balance at December 31, 2020	​	$	—	​	$	2,209	​	$	2,209
Change in the fair value of the warrant liability	​		—	​		—	​		—
Fair value recognized upon the issuance of SAFE	​		8,942	​		—	​		8,942
Change in the fair value of the liability	​		1,976	​		(2,209)	​		(233)
Balance at September 30, 2021	​	$	10,918	​	$	—	​	$	10,918
​	​	​	​	​	​	​	​	​	​
​	​	Nine Months Ended September 30, 2020
​	​	Warrant		​	Derivative			​
​		Liability			Liability			Total
Balance at December 31, 2019	​	$	181	​	$	1,493	​	$	1,674
Change in the fair value of the warrant liability	​		—	​		—	​		—
Fair value recognized upon the issuance of Convertible Notes	​		—	​		718	​		718
Change in the fair value of the liability	​		(33)	​		(135)	​		(168)
Balance at September 30, 2020	​	$	148	​	$	2,076	​	$	2,224

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Schedule of significant unobservable inputs for SAFE

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​	​	​	​	​
​	​	​	​	March 25,
​	​	September 30,	​	2021
​		2021	​	(Issuance)
Expected term (in years)		0.02	​	0.35
Discount upon conversion		20.0%	​	20.0%
Discount upon implied return		18.9%	​	18.9%
Probability of initial public offering occurrence		90.0%	​	45.0%
Probability of dissolution event occurrence	​	2.0%	​	15.0%
Probability of equity financing occurrence	​	7.0%	​	37.0%
Probability of change of control occurrence	​	1.0%	​	3.0%

X

- 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.

+ References

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-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 liability.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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