General form of registration statement for all companies including face-amount certificate companies

Fair Value Measurement (Tables)

v3.21.2
Fair Value Measurement (Tables)
6 Months Ended 12 Months Ended
Jun. 30, 2021
Dec. 31, 2020
Fair Value Disclosures [Abstract]    
Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis
The following tables present the Company’s fair value hierarchy for its derivative instruments and common and preferred stock warrant liabilities that are measured at fair value on a recurring basis:
 
                                                   
    
June 30, 2021
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Assets:
           
Contingent interest embedded derivative (classified within long-term debt, non-current)
  
$
—  
 
  
$
—  
 
  
$
8,922
 
  
$
8,922
 
  
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities:
           
Warrant liability
  
$
—  
 
  
$
—  
 
  
$
13,600
 
  
$
13,600
 
  
 
 
    
 
 
    
 
 
    
 
 
 
    
December 31, 2020
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Liabilities:
           
Warrant liability
  
$
—  
 
  
$
—  
 
  
$
4,007
 
  
$
4,007
 
  
 
 
    
 
 
    
 
 
    
 
 
 
The following tables present the Company’s fair value hierarchy for its common and preferred stock warrant liabilities (Note 12) that are measured at fair value on a recurring basis:
 
    
December 31, 2020
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Liabilities:
                                   
Warrant liability
   $ —        $ —        $ 4,007      $ 4,007  
    
 
 
    
 
 
    
 
 
    
 
 
 
   
    
December 31, 2019
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Liabilities:
                                   
Warrant liability
   $ —        $ —        $ 197      $ 197  
    
 
 
    
 
 
    
 
 
    
 
 
 
Summary of Warrants Classified as Equity That Are Measured at Fair Value on Nonrecurring Basis
The following tables present the Company’s fair value hierarchy for its warrants classified as equity that are measured at fair value on a nonrecurring basis:
 
     
                      
     
                      
     
                      
     
                      
 
 
  
June 30, 2021
 
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
 
Total
 
Equity:
  
     
  
     
  
     
 
     
Warrants
  
$
—  
 
  
$
—  
 
  
$
970
 
 
$
970
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
   
 
  
December 31, 2020
 
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
 
Total
 
Equity:
  
     
  
     
  
     
 
     
Warrants
  
$
—  
 
  
$
—  
 
  
$
970
 
 
$
970
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
         
The following tables present the Company’s fair value hierarchy for its warrants classified as equity (Note 12) that are measured at fair value on a nonrecurring basis:
 
    
December 31, 2020
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Equity:
                                   
Warrants
   $ —        $ —        $ 970      $ 970  
    
 
 
    
 
 
    
 
 
    
 
 
 
   
    
December 31, 2019
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Equity:
                                   
Warrants
   $ —        $ —        $ 428      $ 428  
    
 
 
    
 
 
    
 
 
    
 
 
 
Schedule of Quantitative Information Regarding Warrant Liability
The table below quantifies the most significant inputs used for the warrants:
                      
                      
                      
                      
     
 
 
  
June 30,
2021
 
 
December 31,
2020
 
Fair value of the Company’s common stock
 
 
 
 
 
 
 
 
 
$
14.61
 
 
$
4.19
 
Risk-free interest rate
 
 
 
 
 
 
 
 
 
 
0.13
 
 
0.13
Expected volatility factor
 
 
 
 
 
 
 
 
 
 
68.3
 
 
68.4
Remaining contractual term (in years)
 
 
 
 
 
 
 
 
 
 
4.2
 
 
 
4.7
 
 
The table below quantifies the most significant inputs used for the warrants:
 
    
December 31,
 
    
2020
   
2019
 
Fair value of the Company’s common stock
   $ 4.19     $ 3.57  
Risk-free interest rate
     0.13     1.81
Expected volatility factor
     68.4     45.0
Remaining contractual term (in years)
     4.7       3.0  
Summary of Change in Fair Value of The Warrant Liabilities
The following table provides a roll-forward of the aggregate fair values of the warrant liability for the six months ended June 30, 2021 as determined by Level 3 inputs:
                      
                      
                      
                      
         
Fair value at December 31, 2020
                            
$
4,007
 
Issuance of warrants
                            
 
308
 
Exercise of warrants
                            
 
(891
Change in fair value
                            
 
10,176
 
     
 
 
 
Fair value at June 30, 2021
                            
$
13,600
 
The following table provides a roll-forward of the aggregate fair values of the warrant liability as determined by Level 3 inputs:
 
Fair value at December 31, 2018
   $ 197  
Change in fair value
      
    
 
 
 
Fair value at December 31, 2019
     197  
Issuance of warrants
     3,612  
Change in fair value
     198  
    
 
 
 
Fair value at December 31, 2020
   $ 4,007