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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
22,582 |
|
|
$ |
— |
|
|
$ |
22,582 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
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 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
970 |
|
|
$ |
970 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair value of the Company’s common stock |
|
$ |
12.53 |
|
|
$ |
9.93 |
|
|
|
$ |
11.50 |
|
|
$ |
11.50 |
|
|
|
|
0.98 |
% |
|
|
0.75 |
% |
Expected volatility factor |
|
|
6.0 |
% |
|
|
22.0 |
% |
|
|
|
— |
|
|
|
— |
|
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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair value of the Company’s common stock |
|
$ |
14.55 |
|
|
$ |
4.19 |
|
Exercise price |
|
$ |
0.0001 |
|
|
$ |
0.0001 |
|
|
|
|
0.98 |
% |
|
|
0.13 |
% |
Expected volatility factor |
|
|
70.0 |
% |
|
|
68.4 |
% |
|
|
|
— |
|
|
|
— |
|
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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair value of the Company’s common stock |
|
$ |
12.53 |
|
|
$ |
9.93 |
|
|
|
|
0.98 |
% |
|
|
0.75 |
% |
Expected volatility factor |
|
|
70.0 |
% |
|
|
70.0 |
% |
|
|
|
— |
|
|
|
— |
|
Remaining contractual term (in years) |
|
|
0.004 |
|
|
|
0.004 |
|
|