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Fair Value Measurement | 12 Months Ended
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Dec. 31, 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 December 31, 2021 |  |
(in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash, cash equivalents and restricted cash | $ | 47,127 |  |  | $ | — |  |  | $ | — |  |  | $ | 47,127 |
Marketable securities | — |  |  | 397,458 |  |  | — |  |  | 397,458 |
Derivative asset | — |  |  | 202 |  |  | — |  |  | 202 |
Total fair value | $ | 47,127 |  |  | $ | 397,660 |  |  | $ | — |  |  | $ | 444,787 |
Liabilities: |  |  |  |  |  |  |
Assumed common stock warrants (Public) | $ | 35,983 |  |  | $ | — |  |  | $ | — |  |  | $ | 35,983 |
Assumed common stock warrants (Private Placement) | — |  |  | 16,877 |  |  | — |  |  | 16,877 |
Earnout liability | — |  |  | — |  |  | 127,757 |  |  | 127,757 |
Derivative liability | — |  |  | 103 |  |  | — |  |  | 103 |
Total fair value | $ | 35,983 |  |  | $ | 16,980 |  |  | $ | 127,757 |  |  | $ | 180,720 |
| 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. The marketable securities are categorized as Level 2 instruments as the estimated fair value was determined based on the estimated or actual bids and offers of the marketable securities in an over-the-counter market on the last business day of the period. All of the Company’s cash, cash equivalents, restricted cash, marketable securities and foreign currency derivative contracts are classified within Level 1 or Level 2 because the Company’s cash, cash equivalents, restricted cash, marketable securities and foreign currency derivative contracts are valued using quoted market prices or alternative pricing sources and models utilizing observable market inputs. 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 December 31, 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. Marketable Securities The following table summarizes, by major security type, the Company’s marketable securities that are measured at fair value on a recurring basis and are categorized using the fair value hierarchy. Amortized cost net of unrealized gain (loss) is equal to fair value as of December 31, 2021. The fair value as of December 31, 2021 is as follows:
| As of December 31, 2021
(in thousands) |  |  |  |  |  |  |
Investments Classified as Marketable Securities | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value
Corporate bonds | $ | 274,939 |  |  | $ | 100 |  |  | $ | (1,725) |  |  | $ | 273,314 |
Asset-backed securities | 96,713 |  |  | 190 |  |  | (199) |  |  | 96,704 |
U.S. government and agency securities | 20,235 |  |  | — |  |  | (64) |  |  | 20,171 |
Foreign government and agency securities | 3,262 |  |  | — |  |  | (19) |  |  | 3,243 |
Municipal/provincial bonds and other | 4,000 |  |  | 5 |  |  | — |  |  | 4,005 |
Total | $ | 399,149 |  |  | $ | 295 |  |  | $ | (2,007) |  |  | $ | 397,437 |
Pending purchases and sales | 21 |  |  | — |  |  | — |  |  | 21 |
Total marketable securities | $ | 399,170 |  |  | $ | 295 |  |  | $ | (2,007) |  |  | $ | 397,458 |
Any realized gains and losses and interest income are included in other income on the consolidated statements of operations and comprehensive income (loss). During the year ended December 31, 2021, we sold marketable securities for proceeds of $2,024.1 million and realized a gain of $0.2 million as a result of those sales. We regularly review our available-for-sale marketable securities in an unrealized loss position and evaluate the current expected credit loss by considering factors such as historical experience, market data, issuer-specific factors, and current economic conditions. The aggregate fair value of the marketable securities in unrealized loss position was $346.3 million as of December 31, 2021, none of which have been in the continuous unrealized loss for more than twelve months. The unrealized losses were attributable to changes in interest rates that impacted the value of the investments, and not increased credit risk. Accordingly, we have not recorded an allowance for credit losses associated with these investments. The contractual maturities of the investments classified as marketable securities are as follows (in millions):
(in thousands) | Mature within one year |  | Mature after one year through two years |  | Mature over two years |  | Fair Value
Corporate bonds | $ | 92,559 |  |  | $ | 134,199 |  |  | $ | 46,556 |  |  | $ | 273,314 |
Asset-backed securities | — |  |  | 2,000 |  |  | 94,704 |  |  | 96,704 |
U.S. government and agency securities | — |  |  | 7,995 |  |  | 12,176 |  |  | 20,171 |
Foreign government and agency securities | 2,877 |  |  | — |  |  | 366 |  |  | 3,243 |
Municipal/provincial bonds and other | 2,002 |  |  | 2,003 |  |  | — |  |  | 4,005 |
Total | $ | 97,438 |  |  | $ | 146,197 |  |  | $ | 153,802 |  |  | $ | 397,437 |
Pending purchases and sales |  |  |  |  |  |  | 21 |
Total marketable securities | $ | 97,438 |  |  | $ | 146,197 |  |  | $ | 153,802 |  |  | $ | 397,458 |
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. 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 Asset and Liabilities Beginning in the year ended December 31, 2021, the Company entered into foreign currency derivative contracts with financial institutions to reduce foreign exchange risk related to marketable securities. Foreign currency derivative contracts are marked-to-market at the end of each reporting period with gains and losses recognized as other income (expense). During the year ended December 31, 2021, the Company recognized a net gain of $0.1 million on the fair value adjustment of the foreign currency derivative contracts. The following table sets forth a summary of the activities of the Company’s redeemable convertible preferred stock warrant liability and embedded components of the stockholder convertible notes payable, 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:
Redeemable Convertible Preferred Stock Warrant | Years Ended December 31,
(in thousands) | 2021 |  | 2020
Beginning warrant liability balance | $ | 19,233 |  |  | $ | 735 |
Change in fair value of warrants liability | 35,034 |  |  | 18,498 |
Reclassification to APIC upon recapitalization | (54,267) |  |  | — |
Ending warrant liability balance | $ | — |  |  | $ | 19,233 |
Embedded Derivative - Stockholder Convertible Notes Payable | Years Ended December 31,
(in thousands) | 2021 |  | 2020
Beginning derivative liabilities balance | $ | 1,238 |  |  | $ | 150 |
Change in fair value | (1,238) |  |  | 1,088 |
Ending derivative liabilities balance | $ | — |  |  | $ | 1,238 |

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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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