Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.21.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Summary of Assets and Liabilities Measurements on a Recurring Basis
As of September 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 follows (in thousands):
September 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 $ —  $ 83,723  $ —  $ 83,723  $ —  $ —  $ —  $ — 
Corporate Bonds, available for sale —  94,974  —  94,974  —  —  —  — 
Municipal bonds, available for sale —  5,878  —  5,878  —  —  —  — 
Total investments $ —  $ 184,575  $ —  $ 184,575  $ —  $ —  $ —  $ — 
Liabilities
Warrant liability:
RTI warrants $ —  $ —  $ 8,214  $ 8,214  $ —  $ —  $ —  $ — 
Private warrants —  —  1,316  1,316  —  —  —  — 
Total warrant liability $ —  $ —  $ 9,530  $ 9,530  $ —  $ —  $ —  $ — 
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 for both initial measurement upon close of the Business Combination and subsequent measurement using the following assumptions:
September 30, 2021 March 18, 2021 (Initial Recognition)
Expected annual dividend yield —  % —  %
Expected volatility 55.49  % 48.51  %
Risk-free rate of return 0.59  % 0.54  %
Expected option term (years) 3.25 3.79
Level 3 Liabilities Measured at Fair Value Changes in Level 3 liabilities measured at fair value for nine months ended September 30, 2021 are as follows (in thousands):
Fair value
(Level 3)
Balance at December 31, 2020 $ — 
Change in fair value 8,214 
Balance at September 30, 2021 $ 8,214 
Private warrants  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair Value Measurement Inputs
The private warrants are measured at fair value on a recurring basis using a Black-Scholes model. 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:
September 30, 2021 March 18, 2021 (Initial Recognition)
Expected annual dividend yield —  % —  %
Expected volatility 56.2  % 47.3  %
Risk-free rate of return 0.86  % 0.86  %
Expected option term (years) 4.47 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 September 30, 2021 is as follows:
Fair value
(Level 3)
Balance at March 18, 2021 $ 4,604 
Change in fair value (3,288)
Balance at September 30, 2021 $ 1,316