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Fair Value Measurement | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measurement | Fair Value Measurement 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 as of September 30, 2021 |  |
(in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash, cash equivalents and restricted cash | $ | 459,778 |  |  | $ | — |  |  | $ | — |  |  | $ | 459,778 |
Total fair value | $ | 459,778 |  |  | $ | — |  |  | $— |  | $ | 459,778 |
Liabilities: |  |  |  |  |  |  |
Assumed common stock warrants (Public) | $ | 37,916 |  |  | $ | — |  |  | $ | — |  |  | $ | 37,916 |
Assumed common stock warrants (Private Placement) | $ | — |  |  | $ | 17,783 |  |  | $ | — |  |  | $ | 17,783 |
Earnout liability | $ | — |  |  | $ | — |  |  | $ | 136,199 |  |  | $ | 136,199 |
Total fair value | $ | 37,916 |  |  | $ | 17,783 |  |  | $ | 136,199 |  |  | $ | 191,898 |
| Fair Value as of December 31, 2020 |  |
(in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash, cash equivalents and restricted cash | $ | 1,874 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,874 |
Total fair value | $ | 1,874 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,874 |
Liabilities: |  |  |  |  |  |  |
Redeemable convertible preferred stock warrants liability | $ | — |  |  | $ | — |  |  | $ | 19,233 |  |  | $ | 19,233 |
Derivative liability | — |  |  | — |  |  | 1,239 |  |  | 1,239 |
| $ | — |  |  | $ | — |  |  | $ | 20,472 |  |  | $ | 20,472 |
The Company performs routine procedures such as comparing prices obtained from independent sources to ensure that appropriate fair values are recorded. Because the transfer of Private Placement Warrants to anyone outside of certain permitted transferees of Artius Acquisition Partners LLC (the “Sponsor”) would result in the Private Placement Warrants having substantially the same terms as the Public Warrants, the Company determined that the fair value of each Private Placement Warrant is consistent with that of a Public Warrant. Accordingly, the Private Placement Warrants are classified as Level 2 financial instruments. The value of the redeemable convertible preferred stock warrants liability and the derivative liability are classified as Level 3 measurements under the fair value hierarchy, as these liabilities have been valued based on significant inputs not observable in the market. As of September 30, 2021 and December 31, 2020, the carrying values of cash and cash equivalents, accounts payable and accrued liabilities approximate their respective fair values due to their short-term nature. Redeemable Convertible Preferred Stock Warrant Liability In connection with the issuance of Series A preferred stock during 2012, the Company issued preferred stock warrants to purchase 1,000,000 shares of Series A preferred stock at an exercise price of $2.7233 per share. These warrants were initially exercisable any time within 10 years of issuance. In November 2019, as part of the Bridge Notes issuance (see Note 11), these Series A preferred stock warrants had their contractual exercise period extended 10 years to October 2032. In connection with the issuance of Series A preferred stock during 2015, the Company issued preferred stock warrants to purchase 1,134,653 shares of Series A preferred stock at an exercise price of $2.7233 per share. These warrants were initially exercisable any time within 10 years of issuance. In November 2019, as part of the Bridge Notes issuance (see Note 11), these Series A preferred stock warrants had their contractual exercise period extended 10 years to October 2035. In connection with the issuance of Series A preferred stock during April 2016, the Company issued a preferred stock warrant to purchase 122,400 shares of Series A preferred stock at an exercise price of $2.7233 per share. This warrant is exercisable and expires in April 2036. In connection with the issuance of convertible promissory notes in 2016, the Company in 2016 and 2017 issued preferred stock warrants to purchase 331,927 and 35,412 shares, respectively, of Series B preferred stock at an exercise price of $7.486 per share. These preferred stock warrants are exercisable and expire from June through July 2026 and June 2036 through January 2037. At December 31, 2020, the fair value of the preferred stock warrants was determined using the probability-weighted expected return method which estimates the fair value of the warrants through an analysis of future values for the Company, assuming various future outcomes. A Black-Scholes option pricing model (BSM) is utilized in this method, to the extent necessary, based on current conditions. At December 31, 2020, due to the increasing likelihood of the merger, the BSM was not necessary to execute the model. A summary of key assumptions in the BSM for determining the fair value of redeemable convertible preferred stock warrants include:
| December 31, 2020
Expected life (years) | 3.00
Risk-free interest rate | 0.17 | %
Expected volatility | 70.00 | %
Dividend yield | 0 | %
The preferred stock warrants were reclassified to equity through the closing of the Business Combination (see Note 4). Derivative Liability The Company evaluated the stockholder convertible notes payable in accordance with ASC 815, Derivatives and Hedging and determined that the embedded components of these contracts qualify as a derivative to be separately accounted for as a liability. The Company records the fair value of the embedded components in accordance with ASC 815, Derivatives and Hedging. The fair value of the derivatives was calculated using a model that estimated the value that would be paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value of the derivative liabilities is revalued on each balance sheet date with a corresponding gain or loss recorded in the Condensed Consolidated Statements of Operations and Comprehensive Income (Loss). The following table sets forth a summary of the activities of the Company’s redeemable convertible preferred stock warrant liability and derivative liability, which represents a recurring measurement that is classified within Level 3 of the fair value hierarchy wherein fair value is estimated using significant unobservable inputs:
| Three Months Ended September 30,
(in thousands) | 2021 |  | 2020
Beginning warrant liability balance | $ | — |  |  | $ | 840 |
Change in fair value of warrants liability | — |  |  | 1,024 |
Reclassification to APIC upon recapitalization | — |  |  | — |
Ending warrant liability balance | $ | — |  |  | $ | 1,864 |
| Three Months Ended September 30,
(in thousands) | 2021 |  | 2020
Beginning derivative liability balance | $ | — |  |  | $ | 135 |
Change in fair value | — |  |  | 67 |
Ending derivative liability balance | $ | — |  |  | $ | 202 |

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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=123874694&loc=d3e19207-110258 + Details
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