Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.21.2
Fair Value Measurement (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis
The following tables present the Company’s fair value hierarchy for its financial instruments that are measured at fair value on a recurring basis:
 
 
  
September 30, 2021
 
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
  
Total
 
Current Liabilities:
  
     
  
     
  
     
  
     
EIB warrants
  
$
—  
 
  
$
22,582
 
  
$
—  
 
  
$
22,582
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Long-term Liabilities:
  
     
  
     
  
     
  
     
Public warrants
  
$
19,550
 
  
$
—  
 
  
$
—  
 
  
$
19,550
 
Private Placement warrants
  
 
—  
 
  
 
11,220
 
  
 
—  
 
  
 
11,220
 
Contingent Earnout liability
  
 
—  
 
  
 
—  
 
  
 
77,130
 
  
 
77,130
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
  
$
19,550
 
  
$
11,220
 
  
$
77,130
 
  
$
107,900
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
   
 
  
December 31, 2020
 
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
  
Total
 
Long-term Liabilities:
  
     
  
     
  
     
  
     
EIB warrants
  
$
—  
 
  
$
—  
 
  
$
4,007
 
  
$
4,007
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
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:
 
 
  
September 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
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Summary of Change in Fair Value of The Warrant Liabilities
The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis:
 
 
  
Contingent
Earnout
Liability
 
  
Contingent
Interest
Embedded
Derivative
 
  
Warrant
Liability
 
Fair value at December 31, 2019
  
$
—  
 
  
$
—  
 
  
$
197
 
Issuance of warrants to EIB
  
 
—  
 
  
 
—  
 
  
 
1,806
 
Fair value at September 30, 2020
  
$
—  
 
  
$
—  
 
  
$
2,003
 
Fair value at December 31, 2020
  
$
—  
 
  
$
—  
 
  
$
4,007
 
Issuance of warrants to Silicon Valley Bank
  
 
—  
 
  
 
—  
 
  
 
308
 
Conversion of Silicon Valley Bank warrants to common stock
  
 
—  
 
  
 
—  
 
  
 
(308
Exercise of series C preferred warrants
  
 
—  
 
  
 
—  
 
  
 
(891
Contingent interest embedded derivative recognized relating to the FP Term Loan agreement
  
 
—  
 
  
 
8,922
 
  
 
—  
 
Contingent interest embedded derivative derecognized upon the execution of the FP Amendment
  
 
—  
 
  
 
(8,922
  
 
—  
 
Contingent earnout liability recognized upon the closing of the reverse recapitalization
  
 
77,170
 
  
 
—  
 
  
 
—  
 
Change in fair value included in other income (expense), net(1)
  
 
—  
 
  
 
—  
 
  
 
19,466
 
Transferred to Level 2 upon the closing of the reverse recapitalization
  
 
—  
 
  
 
—  
 
  
 
(22,582
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value at September 30, 2021
  
$
77,170
 
  
$
—  
 
  
$
—  
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
 
 
(1)
Included in the Change in fair value recorded in other income (expense), net was $9,290 and $0 for the three months ended September 30, 2021 and 202
0
, respectively.
Private Warrants [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Quantitative Information Regarding Warrant Liability The table below quantifies the significant inputs used for the Private Warrants:
 
  
September 30,
2021
 
 
August 16,
2021
 
Fair value of the Company’s common stock
  
$
12.53
 
 
$
9.93
 
Exercise price
  
$
11.50
 
 
$
11.50
 
Risk-free interest rate
  
 
0.98
 
 
0.75
Expected volatility factor
  
 
6.0
 
 
22.0
Expected dividend yield
  
 
—  
 
 
 
—  
 
Remaining contractual term (in years)
  
 
4.88
 
 
 
5.00
 
E I B warrants [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Quantitative Information Regarding Warrant Liability
The table below quantifies the inputs used for the EIB warrants: 
 
 
  
September 30,
2021
 
 
December 31,
2020
 
Fair value of the Company’s common stock
   $ 14.55     $ 4.19  
Exercise price
   $ 0.0001     $ 0.0001  
Risk-free interest rate
     0.98     0.13
Expected volatility factor
     70.0     68.4
Expected dividend yield
     —         —    
Remaining contractual term (in years)
     3.9       4.7  
Contingent Earnoutliability Member [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Quantitative Information Regarding Warrant Liability The table below quantifies the significant inputs used for the Contingent Earnout Liability:
 
  
September 30,
2021
 
 
August 16,
2021
 
Fair value of the Company’s common stock
  
$
12.53
 
 
$
9.93
 
Risk-free interest rate
  
 
0.98
 
 
0.75
Expected volatility factor
  
 
70.0
 
 
70.0
Expected dividend yield
  
 
—  
 
 
 
—  
 
Remaining contractual term (in years)
  
 
0.004
 
 
 
0.004