Fair Value Measurement (Tables)
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9 Months Ended |
Sep. 30, 2021 |
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| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
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| 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:
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$ |
— |
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$ |
22,582 |
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$ |
— |
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$ |
22,582 |
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$ |
19,550 |
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$ |
— |
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$ |
— |
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$ |
19,550 |
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Private Placement warrants |
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— |
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11,220 |
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— |
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11,220 |
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Contingent Earnout liability |
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— |
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— |
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80,417 |
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80,417 |
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$ |
19,550 |
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$ |
11,220 |
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$ |
80,417 |
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$ |
111,187 |
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| EIB warrants |
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$ |
— |
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$ |
— |
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$ |
4,007 |
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$ |
4,007 |
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| 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:
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$ |
— |
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$ |
— |
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$ |
970 |
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$ |
970 |
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$ |
— |
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$ |
— |
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$ |
970 |
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$ |
970 |
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| 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
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Contingent
Earnout
Liability |
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Contingent
Interest
Embedded
Derivative |
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Fair value at December 31, 2019 |
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$ |
— |
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$ |
— |
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$ |
197 |
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Issuance of warrants to EIB |
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— |
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— |
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1,806 |
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Fair value at September 30, 2020 |
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$ |
— |
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$ |
— |
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$ |
2,003 |
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Fair value at December 31, 2020 |
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$ |
—
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$ |
—
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$ |
4,007 |
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Issuance of warrants to Silicon Valley Bank |
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—
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—
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308 |
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Conversion of Silicon Valley Bank warrants to common stock |
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—
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—
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(308 |
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Exercise of series C preferred warrants |
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—
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—
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(891 |
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Contingent interest embedded derivative recognized relating to the FP Term Loan agreement |
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—
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8,922 |
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—
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Contingent interest embedded derivative derecognized upon the execution of the FP
Amendment |
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—
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(8,922 |
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—
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Contingent earnout liability recognized upon the closing of the reverse
recapitalization |
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58,275
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—
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—
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| Change in fair value of contingent earnout liability |
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22,142 |
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— |
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— |
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| Change in fair value included in other income (expense), net |
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— |
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—
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19,466 |
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Transferred to Level 2 upon the closing of the reverse recapitalization |
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—
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—
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(22,582 |
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Fair value at September 30, 2021 |
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$ |
80,417 |
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$ |
—
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$ |
—
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| Private Warrants [Member] |
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| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
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| Schedule of Quantitative Information Regarding Warrant Liability |
The table below quantifies the significant inputs used for the Private Warrants:
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Fair value of the Company’s common stock |
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$ |
12.53 |
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$ |
9.93 |
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$ |
11.50 |
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$ |
11.50 |
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0.98 |
% |
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0.75 |
% |
Expected volatility factor |
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6.0 |
% |
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22.0 |
% |
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— |
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— |
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Remaining contractual term (in years) |
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4.88 |
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5.00 |
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| E I B warrants [Member] |
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| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
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| Schedule of Quantitative Information Regarding Warrant Liability |
The table below quantifies the inputs used for the EIB warrants:
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Fair value of the Company’s common stock |
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$ |
14.55 |
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$ |
4.19 |
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| Exercise price |
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$ |
0.0001 |
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$ |
0.0001 |
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0.98 |
% |
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0.13 |
% |
Expected volatility factor |
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70.0 |
% |
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68.4 |
% |
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— |
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— |
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Remaining contractual term (in years) |
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3.9 |
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4.7 |
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| Contingent Earnoutliability Member [Member] |
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| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
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| Schedule of Quantitative Information Regarding Warrant Liability |
The table below quantifies the significant inputs used for the Contingent Earnout Liability:
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Fair value of the Company’s common stock |
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$ |
12.53 |
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$ |
9.93 |
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0.98 |
% |
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0.75 |
% |
Expected volatility factor |
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70.0 |
% |
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70.0 |
% |
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— |
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— |
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Remaining contractual term (in years) |
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0.004 |
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0.004 |
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