Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

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Fair Value Measurements
6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The Company values its available-for-sale debt securities and certain liabilities based on the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. In order to increase consistency and comparability in fair value measurements, a fair value hierarchy that prioritizes observable and unobservable inputs is used to measure fair value into three broad levels, which are described below:
Level 1 –    Quoted prices (unadjusted) in active markets that are accessible at the measurement date for identical assets or liabilities. The fair value hierarchy gives the highest priority to Level 1 inputs.
Level 2 –    Observable inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities; quoted prices in inactive markets or model-derived valuations in which all significant inputs are observable or can be derived principally from or corroborated with observable market data.
Level 3 –     Unobservable inputs are used when little or no market data is available. The fair value hierarchy gives the lowest priority to Level 3 inputs.
In determining fair value, the Company utilizes valuation techniques that maximize the use of observable inputs to the extent possible. In addition, the Company considers counterparty credit risk in its assessment of fair value.
The asset or liability’s fair value measurement level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Valuation techniques used need to maximize the use of observable inputs and minimize the use of unobservable inputs.
The following is a description of the valuation methodologies used for assets and liabilities measured at fair value.
Corporate bonds – Valued at the closing price reported on the active market on which the individual securities, all of which have counterparts with high credit ratings, are traded.
Commercial paper – Value is based on yields currently available on comparable securities of issuers with similar credit ratings.
Money market funds – Valued at the net asset value (“NAV”) of units of a collective fund. The NAV is used as a practical expedient to estimate fair value. This practical expedient is not used when it is determined to be probable that the fund will sell the investment for an amount different than the reported NAV.
Warrant liabilities – Valued based on significant inputs not observed in the market and, thus, represents a Level 3 measurement. The Company estimated the fair value of the liability using the Black-Scholes option pricing model and the change in fair value was recognized in general and administrative expenses. Refer to Note 11 for further information.
The contractual maturities of investments classified as marketable debt securities are as follows as of June 30, 2021 and December 31, 2020:
June 30,
2021
December 31,
2020
Due within 1 year $ 37,826  $ 37,813 
Total marketable debt securities
$ 37,826  $ 37,813 
Fair Value as of June 30, 2021
Level 1 Level 2 Level 3 Total
Commercial paper $ —  $ 16,691  $ —  $ 16,691 
U.S. Treasuries 15,969  —  —  15,969 
Corporate bonds —  1,752  —  1,752 
Total assets in the fair value hierarchy 15,969  18,443  —  34,412 
Money market funds measured at NAV(a)
—  —  —  3,414 
Total investments at fair value
$ 15,969  $ 18,443  $   $ 37,826 
Warrant liabilities —  —  —  — 
Total warrant liabilities at fair value
$   $   $   $  
Fair Value as of December 31, 2020
Level 1 Level 2 Level 3 Total
Commercial paper $ —  $ 11,932  $ —  $ 11,932 
U.S. Treasuries 5,380  —  —  5,380 
Corporate bonds —  20,444  —  20,444 
Total assets in the fair value hierarchy 5,380  32,376  —  37,756 
Money market funds measured at NAV(a)
—  —  —  57 
Total investments at fair value
$ 5,380  $ 32,376  $   $ 37,813 
Warrant liabilities $ —  $ —  $ (17,740) $ (17,740)
Total warrant liabilities at fair value
$   $   $ (17,740) $ (17,740)
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(a)Certain money market funds that were measured at NAV per share (or its equivalent) have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the line items presented in the consolidated balance sheets.
The following table provides a summary of changes in fair value of the Company’s Level 3 warrant liabilities for the six months ended June 30, 2021 and 2020:
2021 2020
Balance as of January 1 $ (17,740) $ (16,853)
Warrants issued (289) — 
Issuance of equity upon exercise of certain warrants 30,206  — 
Issuance of equity upon settlement of certain warrants 619  — 
Fair value adjustments (12,796) — 
Balance as of June 30 $   $ (16,853)
See Note 11 for further information regarding these Level 3 fair value measurements.
For certain other financial instruments, including accounts receivable, accounts payable, accrued liabilities, as well as other current liabilities, the carrying amounts approximate the fair value of such instruments due to the short maturity of these balances.