General form of registration statement for all companies including face-amount certificate companies

Fair Value Measurements (Tables)

v3.22.2
Fair Value Measurements (Tables)
3 Months Ended 12 Months Ended
Mar. 31, 2022
Dec. 31, 2021
Dec. 31, 2021
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Schedule of Company's Financial Instruments that were Measured at Fair Value
The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis as of December 31, 2021 and March 31, 2022 by level within the fair value hierarchy (in thousands):
 
    
December 31, 2021
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Financial Assets:
                                   
Cash equivalents:
                                   
Money market funds
   $ 77,771      $ —        $ —        $ 77,771  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ 77,771      $ —        $ —        $ 77,771  
    
 
 
    
 
 
    
 
 
    
 
 
 
Financial Liabilities:
                                   
Convertible preferred stock warrant liability
   $ —        $ —        $ 4,787      $ 4,787  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ —        $ —        $ 4,787      $ 4,787  
    
 
 
    
 
 
    
 
 
    
 
 
 
   
    
March 31, 2022
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Financial Assets:
                                   
Cash equivalents:
                                   
Money market funds
   $ 42,728      $ —        $ —        $ 42,728  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ 42,728      $ —        $ —        $ 42,728  
    
 
 
    
 
 
    
 
 
    
 
 
 
Financial Liabilities:
                                   
Convertible preferred stock warrant liability
   $ —        $ —        $ 2,901      $ 2,901  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ —        $ —        $ 2,901      $ 2,901  
    
 
 
    
 
 
    
 
 
    
 
 
 
 
The following table sets forth the Company’s financial instruments that were measured at fair value by level within the fair value hierarchy (in thousands):
 
    
December 31, 2020
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Financial Assets:
                                                                     
Cash equivalents:
                                   
Money market funds
   $ 173,315      $ —        $ —        $ 173,315  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ 173,315      $ —        $ —        $ 173,315  
    
 
 
    
 
 
    
 
 
    
 
 
 
Financial Liabilities:
                                   
Convertible preferred stock warrant liability
   $ —        $ —        $ 3,553      $ 3,553  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ —        $ —        $ 3,553      $ 3,553  
    
 
 
    
 
 
    
 
 
    
 
 
 
 
    
December 31, 2021
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Financial Assets:
                                                                   
Cash equivalents:
                                   
Money market funds
   $ 77,771      $ —        $ —        $ 77,771  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ 77,771      $ —        $ —        $ 77,771  
    
 
 
    
 
 
    
 
 
    
 
 
 
Financial Liabilities:
                                   
Convertible preferred stock warrant liability
   $ —        $ —        $ 4,787      $ 4,787  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ —        $ —        $ 4,787      $ 4,787  
    
 
 
    
 
 
    
 
 
    
 
 
 
Schedule Of Change In Fair Value Of The Warrant Liabilities The following table provides a summary of changes in the estimated fair value of the Company’s Level 3 financial liabilities (in thousands):
 
Balance at December 31, 2021
   $ 4,787  
Change in fair value
     (1,886
    
 
 
 
Balance at March 31, 2022
   $ 2,901  
    
 
 
 
  The following table provides a summary of changes in the estimated fair value of the Company’s Level 3 financial liabilities (in thousands):
 
Balance at December 31, 2020
   $  3,553  
Change in fair value
     1,234  
    
 
 
 
Balance at December 31, 2021
   $ 4,787  
    
 
 
 
Schedule Of Quantitative Information Regarding Level 3 Fair Value Measurements
The following are the assumptions used in the Black-Scholes option pricing model to determine the fair value of the convertible preferred stock warrants for the dates indicated:
 
    
December 31, 2021
 
    
Series A
Convertible
Preferred
Stock
Warrants
   
Series B
Convertible
Preferred
Stock
Warrants
   
Series C
Convertible
Preferred
Stock
Warrants
   
Series D
Convertible
Preferred
Stock
Warrants
 
Expected term (in years)
     3.72       4.11       4.59       3.38  
Fair value of underlying shares
     10.00       10.08       10.23       11.11  
Volatility
     65.07     64.90     64.83     65.29
Risk-free interest rate
     1.01     1.04     1.09     0.96
Dividend yield
     —         —         —         —    
   
    
March 31, 2022
 
    
Series A
Convertible
Preferred
Stock
Warrants
   
Series B
Convertible
Preferred
Stock
Warrants
   
Series C
Convertible
Preferred
Stock
Warrants
   
Series D
Convertible
Preferred
Stock
Warrants
 
Expected term (in years)
     4.67       5.28       6.00       4.14  
Fair value of underlying shares
     6.59       6.59       6.59       6.59  
Volatility
     68.14     67.75     67.43     68.75
Risk-free interest rate
     2.42     2.42     2.41     2.43
Dividend yield
     —         —         —         —    
 
The following are the assumptions used in the Black-Scholes option pricing model to determine the fair value of the convertible preferred stock warrants for the dates indicated:
 
    
December 31, 2020
 
    
Series A
Convertible
Preferred
Stock
Warrants
   
Series B
Convertible
Preferred
Stock
Warrants
   
Series C
Convertible
Preferred
Stock
Warrants
   
Series D
Convertible
Preferred
Stock
Warrants
 
Expected term (in years)
     2.0       2.0       2.0       2.0  
Fair value of underlying shares
     7.43       7.63       7.97       9.82  
Volatility
     88.04     88.04     88.04     88.04
Risk-free interest rate
     0.13     0.13     0.13     0.13
Dividend yield
     —         —         —         —    
 
    
December 31, 2021
 
    
Series A
Convertible
Preferred
Stock
Warrants
   
Series B
Convertible
Preferred
Stock
Warrants
   
Series C
Convertible
Preferred
Stock
Warrants
   
Series D
Convertible
Preferred
Stock
Warrants
 
Expected term (in years)
     3.72       4.11       4.59       3.38  
Fair value of underlying shares
     10.00       10.08       10.23       11.11  
Volatility
     65.07     64.90     64.83     65.29
Risk-free interest rate
     1.01     1.04     1.09     0.96
Dividend yield
     —         —         —         —    
Virgin Group Acquisition Corp. II [Member]      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Schedule Of Assets And Liabilities That Were Measured At Fair Value On A Recurring Basis
The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments in the Mutual Fund.
 
 
  
March 31, 2022
 
  
Quoted Prices In
Active Markets

(Level 1)
 
  
Significant
Other
Observable
Inputs

(Level 2)
 
  
Significant
Other
Unobservable
Inputs

(Level 3)
 
Assets:
  
     
  
     
  
     
  
     
Mutual Fund held in Trust Account
   $ 402,566,409      $ 402,566,409     
$
—  
 
  
$
—  
 
Liabilities:
                                   
Derivative warrant liability – Public Warrants
   $ 3,048,919      $ 3,048,919     
$
—  
 
  
$
—  
 
Derivative warrant liability – Private Warrants
     2,636,811     
 
—  
 
  
 
—  
 
     2,636,811  
Backstop derivative liability
     30,234,314     
 
—  
 
  
 
—  
 
     30,234,314  
    
 
 
    
 
 
    
 
 
    
 
 
 
Derivative liabilities
   $ 35,920,044      $ 3,048,919     
$
—  
 
   $ 32,871,125  
    
 
 
    
 
 
    
 
 
    
 
 
 
 
  
December 31, 2021
 
  
Quoted Prices In
Active Markets

(Level 1)
 
  
Significant
Other
Observable
Inputs

(Level 2)
 
  
Significant
Other
Unobservable
Inputs

(Level 3)
 
Assets:
  
     
  
     
  
     
  
     
Mutual Fund held in Trust Account
   $ 402,530,526      $ 402,530,526     
$
—  
 
  
$
—  
 
Liabilities:
                                   
Derivative warrant liability – Public Warrants
   $ 6,731,959      $ 6,731,959     
$
—  
 
  
$
—  
 
Derivative warrant liability – Private Warrants
     6,608,051     
 
—  
 
  
 
—  
 
     6,608,051  
    
 
 
    
 
 
    
 
 
    
 
 
 
Derivative warrant liabilities
   $ 13,340,010      $ 6,731,959     
$
—  
 
   $ 6,608,051  
    
 
 
    
 
 
    
 
 
    
 
 
 
The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments in the Mutual Fund.
 
    
December 31,
2021
    
Quoted Prices
In Active
Markets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Other
Unobservable
Inputs
(Level 3)
 
Assets:
                                   
Mutual Fund held in Trust Account
   $ 402,530,526        402,530,526      $ —        $ —    
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities:
                                   
Derivative warrant liability –Public Warrants
   $ 6,731,959      $ 6,731,959      $ —        $ —    
Derivative warrant liability –Private Warrants
     6,608,051        —          —          6,608,051  
    
 
 
    
 
 
    
 
 
    
 
 
 
Derivative warrant liabilities
   $ 13,340,010      $ 6,731,959      $ —        $ 6,608,051  
    
 
 
    
 
 
    
 
 
    
 
 
 
 
Schedule Of Change In Fair Value Of The Warrant Liabilities
The change in fair value of the derivative warrant liabilities is summarized as follows:
 
 
  
Private
Placement
Warrants
 
  
Public

Warrants
 
  
Warrant

Liabilities
 
Derivative warrant liability – initial measurement on March 25, 2021
  
$
9,020,019
 
  
$
8,776,387
 
  
$
17,796,406
 
Change in fair value of derivative warrant liabilities
  
 
133,454
 
  
 
55,320
 
  
 
188,774
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Derivative warrant liabilities at March 31, 2021
  
$
9,153,473
 
  
$
8,831,707
 
  
$
17,985,180
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
 
  
Private
Placement
Warrants
 
  
Public

Warrants
 
  
Warrant

Liabilities
 
Derivative warrant liabilities at December 31, 2021
  
$
6,608,051
 
  
$
—  
 
  
$
6,608,051
 
Change in fair value of derivative warrant liabilities
  
 
(3,971,240
  
 
—  
 
  
 
(3,971,240
 
  
 
 
 
  
 
 
 
  
 
 
 
Derivative warrant liabilities at March 31, 2022
  
$
2,636,811
 
  
$
—  
 
  
$
2,636,811
 
 
  
 
 
 
  
 
 
 
  
 
 
 
The change in fair value of the derivative warrant liabilities is summarized as follows:
 
    
Private
Placement
Warrants
    
Public
Warrants
    
Warrant
Liabilities
 
Derivative warrant liabilities – initial measurement
   $ 10,087,924      $ 10,101,143      $ 20,189,067  
Transfer to Level 1
     —          (10,338,960      (10,338,960
Change in fair value of derivative warrant liabilities
     (3,479,873      237,817        (3,242,056
    
 
 
    
 
 
    
 
 
 
Derivative warrant liabilities at December 31, 2021
   $ 6,608,051      $ —        $ 6,608,051  
    
 
 
    
 
 
    
 
 
 
 
Schedule Of Quantitative Information Regarding Level 3 Fair Value Measurements
The following table provides quantitative information regarding Level 3 fair value measurements of derivative warrant liabilities as of March 31, 2022 and December 31, 2021:
 
 
  
March 31, 2022
 
 
December 31, 2021
 
Strike price
   $ 11.50     $ 11.50  
Share price
   $ 5.95     $ 9.59  
Volatility
     25     40
Risk-free rate
     2.40     1.28
Expected term (years)
     5       5  
The following table provides quantitative information regarding Level 3 fair value measurements as of December 31, 2021:

    
December 31,
2021
 
Strike price
   $ 11.50  
Share price
   $ 9.59  
Volatility
     40 %
Risk-free rate
     1.28
Expected term (years)
     5  
 
Schedule of quantitative information level 3 fair value measurement of backstop derivative liability
The following table provides quantitative information regarding Level 3 fair value measurement of backstop derivative liability as of March 31, 2022:
 
Share price
   $ 5.95  
Volatility
     25
Risk-free rate
     2.40
Minimum Redemption Percentage
     92
Maximum Redemption Percentage
     100