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Fair Value Measurements
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The following tables summarize our financial assets and liabilities measured at fair value on a recurring basis by level within the fair value hierarchy as of the dates indicated:
September 30, 2021
Level 1Level 2Level 3Aggregate Fair Value
Assets:
Money market funds$42,800 $— $— $42,800 
Total assets42,800 — — 42,800 
Liabilities:
Derivative liabilities, current— — 547 547 
Derivative liabilities, noncurrent— — 2,205 2,205 
Derivative warrant liabilities - Public Warrants23,402 — — 23,402 
Derivative warrant liabilities - Private Placement Warrants— — 11,667 11,667 
Total liabilities$23,402 $— $14,419 $37,821 
December 31, 2020
Level 1Level 2Level 3Aggregate Fair Value
Assets:
Money market funds$25,016 $— $— $25,016 
Total assets25,016 — — 25,016 
Liabilities:
Derivative liabilities, noncurrent— — 4,343 4,343 
Class B Units - related party— — 593,235 593,235 
Total liabilities$— $— $597,578 $597,578 
The level 3 liabilities that related to our Class B Units and certain employee and non-employee contracts with embedded derivatives, see Note 8, Derivative Financial Instruments and Note 9, Stock-Based Compensation.
On the date of the Transactions, the fair value of the Public Warrants and the Private Placement Warrants was estimated using a Monte Carlo simulation model. The fair value of the Public Warrants was subsequently measured based on the listed market price of such warrants at the end of the reporting period. The fair value of the Private Placement Warrants was subsequently estimated using a Monte Carlo simulation model at the end of the reporting period. The Company estimates the fair value of the warrants at each reporting period, with changes in fair value recognized in the condensed consolidated statements of operations.
The estimated fair value of the derivative warrant liabilities – Public Warrants is determined using Level 1 inputs. The estimated fair value of the derivative warrant liabilities – Private Placement Warrants is determined using Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its ordinary shares based on historical volatility of select peer companies that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term.
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:
As of
September 30, 2021
Stock price$8.26 
Exercise Price$11.50 
Expected life of the warrants to convert (years)4.81
Volatility27.80 %
Risk-free rate0.93 %
The following table summarizes the change in fair value of the derivative liabilities during the nine months ended September 30, 2021 and 2020:
Balance at January 1, 2021$597,578 
Incremental Class B Units206,914 
Establishment of derivative warrant liabilities on July 21, 2021 (date of the Transactions)45,021 
Change in fair value of derivative instruments(11,543)
Change in fair value of Class B Units728,079 
Reclassification of Class B Units from liability to equity on July 21, 2021 (date of the Transactions)$(1,528,228)
Balance at September 30, 2021$37,821 
Balance at January 1, 2020$119,307 
Incremental Class B Units13,398 
Change in fair value of derivative instruments1,874 
Change in fair value of Class B Units113,866 
Balance at September 30, 2020$248,445 
The following table summarizes the change in fair value of the Class B Units by income statement line item during the three and nine months ended September 30, 2021 and 2020:
Three Months Ended September 30,Nine Months Ended September 30,
2021202020212020
Cost of revenue$24,028 $12,167 $136,417 $22,052 
Sales and marketing2,607 943 10,870 1,965 
General and administrative102,911 50,960 580,792 89,849 
Total change in fair value of Class B Units$129,546 $64,070 $728,079 $113,866 
To derive the fair value of the Class B Units, we estimated the fair value of Class B Units using a valuation technique. For more information regarding the valuation of the Class B Units, see Note 9, Stock-Based Compensation.
As more fully described in Note 1, we completed our Transactions in July 2021, and all Class B Units fully vested as of the transaction date, and the original operating agreement was terminated and replaced by a new operating agreement consistent with the Company’s Up-C structure. This new operating agreement does not contain the put and call options that existed under the previous operating agreement, and the Common Units under the new operating agreement are treated as common equity and do not generate stock-based compensation expense. The Class B Units liability was reclassified to equity as of the transaction date.