Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.21.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
6 Months Ended
Jun. 30, 2021
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Summary of Assets and Liabilities Measurements on a Recurring Basis
As of June 30, 2021 and December 31, 2020, the Company’s financial assets and liabilities measured and recorded at fair value on a recurring basis were classified within the fair value hierarchy as follow (in thousands):
June 30, 2021 December 31, 2020
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Assets
Investments:
Commercial paper, available for sale $ —  $ 96,896  $ —  $ 96,896  $ —  $ —  $ —  $ — 
Corporate Bonds, available for sale —  97,649  —  97,649  —  —  —  — 
Municipal bonds, available for sale —  5,887  —  5,887  —  —  —  — 
Total investments $ —  $ 200,432  $ —  $ 200,432  $ —  $ —  $ —  $ — 
Liabilities
Warrant liability:
RTI warrants $ —  $ —  $ 15,000  $ 15,000  $ —  $ —  $ —  $ — 
Private warrants —  —  2,899  2,899  —  —  —  — 
Total warrant liability $ —  $ —  $ 17,899  $ 17,899  $ —  $ —  $ —  $ — 
RTI warrants  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair Value Measurement Inputs
The Company has determined its warrant to be a Level 3 fair value measurement and has remeasured using the Black-Scholes option pricing model to calculate its fair value as of June 30, 2021 using the following assumptions:
Expected annual dividend yield —  %
Expected volatility 48.51  %
Risk-free rate of return 0.56  %
Expected option term (years) 3.75
Level 3 Liabilities Measured at Fair Value
Changes in Level 3 liabilities measured at fair value for six months ended June 30, 2021 are as follows (in thousands):
Fair value
(Level 3)
Balance at December 31, 2020 $ — 
Change in fair value 15,000 
Balance at June 30, 2021 $ 15,000 
Private warrants  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair Value Measurement Inputs The private warrants are classified as Level 3 for both initial measurement upon close of the Business Combination and subsequent measurement using the following assumptions:
June 30, 2021 March 18, 2021 (Initial Recognition)
Expected annual dividend yield —  % —  %
Expected volatility 46.4  % 47.3  %
Risk-free rate of return 0.81  % 0.86  %
Expected option term (years) 4.72 5.0
Level 3 Liabilities Measured at Fair Value
A summary of the private warrants activity from the Business Combination date at March 18, 2021 to June 30, 2021 is as follows:

Fair value
(Level 3)
Balance at March 18, 2021 $ 4,604 
Change in fair value (1,705)
Balance at June 30, 2021 $ 2,899