Fair Value Measurements
 3 Months Ended 12 Months Ended
Mar. 31, 2021
Dec. 31, 2020
Fair Value Disclosures [Abstract]    
Fair Value Measurements
5. Fair value measurements
The following table presents a summary of fair value measurements for items as of March 31, 2021 and December 31, 2020, respectively:
 
March 31, 2021
  
Level 1
   
Level 2
   
Level 3
   
Total fair
value
 
   
(in thousands)
 
U.S. government and government agencies
  $—     $35,799   $—     $35,799 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total assets at fair value
  $—     $35,799   $—     $35,799 
   
 
 
   
 
 
   
 
 
   
 
 
 
Public Warrants
  $44,436   $—     $—     $44,436 
Private Placement Warrant
s
   
—
    17,603    —      17,603 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities at fair value
  $44,436   $17,603   $—     $62,039 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
December 31, 2020
  
Level 1
   
Level 2
   
Level 3
   
Total fair
value
 
   
(in thousands)
 
U.S. government and government agencies
  $—     $53,963   $—     $53,963 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total assets at fair value
  $—     $53,963   $—     $53,963 
   
 
 
   
 
 
   
 
 
   
 
 
 
Derivative liabilities
  $—     $—     $44,810   $44,810 
Warrants payable
   —      —      97,782    97,782 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities at fair value
  $—     $—     $142,592   $142,592 
   
 
 
   
 
 
   
 
 
   
 
 
 
See Note 9, “Notes and securities payable,” Note 10, “Warrants payable,” and Note 11, “Derivative liabilities” for additional information regarding liabilities.
The fair value of the convertible securities is based on Level 3 inputs. There was no fair value associated with the convertible securities at March 31, 2021, and the estimated fair value of the convertible securities was $949.6 million at December 31, 2020. The estimated fair value of the convertible securities and derivative liabilities at December 31, 2020, was calculated as the product of (i) the number of conversion shares at the valuation date and (ii) the marketable value per common share at the valuation date.
The significant unobservable inputs used in the Black-Scholes model to measure the warrants payable that are categorized within Level 3 of the fair value hierarchy, as of the year ended December 31, 2020, are as follows:
 
December 31, 2020
  
Preferred stock
purchase warrants
   
Common stock
purchase warrants
 
Beginning stock price
   N/A   $30.14 
Strike price
   N/A   $1.04 
Expected volatility
   N/A    56.0% 
Expected term
   N/A    0.02 years 
Risk-free interest rate
   N/A    0.09% 
Discount factor
   N/A    13% 
The changes in balances of Level 3 financial liabilities during the three months ended March 31, 2021 and 2020 were as follows:
 
   
Convertible
securities
   
Derivative
liabilities
   
Warrants
payable
   
Total
 
   
(in thousands)
 
Balance, December 31, 2020
  $949,553   $44,810   $97,782   $1,092,145 
Issuances
   —      —      —      —   
Settlements
   (949,553)    (44,810)    (97,782)    (1,092,145) 
Transfers in
   —      —      —      —   
Transfers out
   —      —      —      —   
Total realized gain
s
   —      —      —      —   
   
 
 
   
 
 
   
 
 
   
 
 
 
Balance, March 31, 2021
  $—     $—     $—     $—   
   
 
 
   
 
 
   
 
 
   
 
 
 
 
   
Convertible
securities
   
Derivative
liabilities
   
Warrants
payable
   
Total
 
   
(in thousands)
 
Balance, December 31, 2019
  $251,885   $138,561   $17,672   $408,118 
Issuances
   —      —      —      —   
Settlements
   —      —      —      —   
Transfers in
   —      —      —      —   
Transfers out
   —      —      —      —   
Total realized losses (gains)
   20,816    (14,232)    2,173    8,757 
   
 
 
   
 
 
   
 
 
   
 
 
 
Balance, March 31, 2020
  $272,701   $124,329   $19,845   $416,875 
   
 
 
   
 
 
   
 
 
   
 
 
 
In addition to the Level 3 financial liabilities in the table above, on September 25, 2020, the Corporation issued the 2020 Convertible Note with the carrying value approximating the fair value of $20.0 million. For additional information, see Note 9, “Notes and securities payable.” As of March 31, 2021, and December 31, 2020, both the carrying values and the fair values of the 2020 Convertible Note were $19.9 million and $20.4 million, respectively, and these were considered Level 3 financial liabilities.
There were no transfers in or out of Level 3 financial assets or liabilities for the three months ended March 31, 2021 or 2020.
Warrants
The Warrants are accounted for as liabilities in accordance with ASC
815-40
and are presented within warrants payable on the Consolidated Balance Sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrants payable in the Consolidated Statement of Operations and Comprehensive Loss.
Liability Measurement
The Warrants are measured at fair value on a recurring basis. The measurement of the Warrants as of March 31, 2021 was $62.0 million. The Corporation has classified the Warrants as a liability due to certain settlement terms and provisions related to certain tender offers and indexation characteristics following a business combination and has accounted for them as liability instruments in accordance with ASC 815, adjusting the fair value at the end of each reporting period. Additionally, the Corporation has determined that the Public Warrants are classified within Level 1 of the fair value hierarchy as the fair value is equal to the publicly traded price of the Public Warrants, and the Private Placement Warrants are classified within Level 2 of the fair value hierarchy as the fair value is estimated using the price of the Public Warrants.
The following table presents the changes in the fair value of warrants payable:
 
March 31, 2021
  
Public and Private
Placement Warrants
 
Initial measurement, January 7, 2021
  $147,582 
Mark-to-market
adjustment
   (85,543) 
   
 
 
 
Warrants payable balance, March 31, 2021
  $62,039 
   
 
 
 
5. Fair value measurements
The following table presents a summary of fair value measurements for items that are measured at fair value on a recurring basis as of December 31, 2020 and 2019, respectively:
 
December 31, 2020
  Level 1   Level 2   Level 3   Total fair value 
   (in thousands) 
U.S. government and government agencies
  $—     $53,963   $—     $53,963 
  
 
 
   
 
 
   
 
 
   
 
 
 
Total assets at fair value
  $—     $53,963   $—     $53,963 
  
 
 
   
 
 
   
 
 
   
 
 
 
Derivative liabilities
   —      —      44,810    44,810 
Warrants payable
   —      —      97,782    97,782 
  
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities at fair value
  $ —     $—     $142,592   $142,592 
  
 
 
   
 
 
   
 
 
   
 
 
 
 
December 31, 2019
  Level 1   Level 2   Level 3   Total fair value 
   (in thousands) 
U.S. government and government agencies
  $ —     $ 56,428   $—     $56,428 
  
 
 
   
 
 
   
 
 
   
 
 
 
Total assets at fair value
  $—     $56,428   $—     $56,428 
  
 
 
   
 
 
   
 
 
   
 
 
 
Derivative liabilities
   —      —      138,561    138,561 
Warrants payable
   —      —      17,672    17,672 
  
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities at fair value
  $—     $—     $156,233   $156,233 
  
 
 
   
 
 
   
 
 
   
 
 
 
See Note 13 “Notes and securities payable,” Note 14 “Warrants payable,” and Note 15 “Derivative liabilities,” for additional information regarding liabilities.
The fair value of convertible securities is based on level 3 inputs. The estimated fair value of the convertible securities was $949.6 million at December 31, 2020 and $251.9 million at December 31, 2019. The estimated fair value of the convertible securities and derivative liabilities at December 31, 2020 were calculated as the product of (i) the number of conversion shares under the valuation date and (ii) the marketable value per common share at the valuation date. The significant unobservable inputs used in the Black-Scholes model to measure the convertible securities and derivative liabilities as of December 31, 2019, are as follows (the stock price and strike price are presented in thousands):
 
December 31, 2019
  Convertible securities  Derivative liabilities 
Beginning stock price (total value)
  $
305,132 - $357,802
  $
305,132 - $357,802
 
Strike price (total value)
  $462,012 - $531,315  $
462,012 - $965,184
 
Expected volatility
   45% - 49%   45% - 49% 
Expected term
   
2-3
years		   
2-3
years		 
Risk-free interest rate
   1.58% -1.62%   1.58% - 1.62% 
Discount factor
   15%   15% 
The stock price and strike price were used in multiple scenarios as part of the with and without approach to determine the fair value of convertible securities and the derivative liabilities were calculated on a total value basis. The stock price at December 31, 2019 was calculated as the product of (i) the estimated number of conversion shares under the scenarios and (ii) the value per Series D preferred share at the valuation date. The strike price at December 31, 2019 was equal to the effective value received by the holder upon the conversion of the convertible securities under the scenarios, calculated as the product of (i) principal and accrued interest at the conversion date and (ii) 1 / discount factor.
 
The significant unobservable inputs used in the Black-Scholes model to measure the warrants payable that are categorized within Level 3 of the fair value hierarchy, as of the years ended December 31, 2020 and 2019, respectively, are as follows:
 
December 31, 2020
  Preferred
stock
purchase
warrants		   Common
stock
purchase
warrants		 
Beginning stock price
   N/A   $30.14 
Strike price
   N/A   $1.04 
Expected volatility
   N/A    56.0% 
Expected term
   N/A    0.02 years 
Risk-free interest rate
   N/A    0.09% 
Discount factor
   N/A    13% 
 
December 31, 2019
  Preferred stock purchase warrants  Common stock purchase warrants 
Beginning stock price
  $10.27  $7.19 
Strike price
  $17.27  $1.04 
Expected volatility
   45% - 49%   
81.1% - 84.6
% 
Expected term
   
2-3 years
   
2-3 years
 
Risk-free interest rate
   
1.58% - 1.62
%   
1.58% - 1.62
% 
Discount factor
   15%   15% 
The changes in balances of Level 3 financial liabilities during 2020 and 2019, respectively, were as follows:
 
December 31, 2020
  Convertible securities   Derivative liabilities   Warrants payable   Total 
   (in thousands) 
Beginning balance
  $251,885   $138,561   $17,672   $408,118 
Issuances
   —      —      —      —   
Settlements
   —      —      —      —   
Transfers in
   —      —      —      —   
Transfers out
   —      —      —      —   
Total recognized losses (gains)
   697,667    (93,751)    80,110    684,026 
  
 
 
   
 
 
   
 
 
   
 
 
 
Ending balance
  $949,552   $44,810   $97,782   $1,092,144 
  
 
 
   
 
 
   
 
 
   
 
 
 
December 31, 2019
  Convertible securities   Derivative liabilities   Warrants payable   Total 
   (in thousands) 
Beginning balance
  $—     $—     $14,836   $14,836 
Issuances
   237,362    —      —      237,362 
Settlements
   —      —      —      —   
Transfers in
   —      —      —      —   
Transfers out
   —      —      —      —   
Total recognized losses
   14,523    138,561    2,836    155,920 
  
 
 
   
 
 
   
 
 
   
 
 
 
Ending balance
  $251,885   $138,561   $17,672   $408,118 
  
 
 
   
 
 
   
 
 
   
 
 
 
In addition to the Level 3 financial liabilities in the table above, on September 25, 2020, the Corporation issued the 2020 Convertible Note (see Note 13 “Notes and securities payable,” for further details) with the carrying value approximating the fair value of $20.0 million. As of December 31, 2020, the carrying value and the fair value of the 2020 Convertible Note was $20.4 million and was considered a Level 3 financial liability.
There were no transfers in and out of Level 3 financial assets or liabilities during the years ended December 31, 2020 or 2019.