| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
As of June 30, 2021 and December 31, 2020, assets and liabilities measured at fair value on a recurring basis were as follows (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2021 | | | Total | | (Level 1) | | (Level 2) | | (Level 3) | | Assets: | | | | | | | | | | Cash equivalents: | | | | | | | | | | Money market funds | | $ | 8,001 | | $ | 8,001 | | $ | — | | $ | — | | Corporate debt securities | | 3,504 | | — | | 3,504 | | — | | | | | | | | | | | Commercial paper | | 15,998 | | — | | 15,998 | | — | U.S. government securities | | 8,000 | | — | | 8,000 | | — | | | | | | | | | | | Subtotal | | 35,503 | | 8,001 | | 27,502 | | — | | Available-for-sale debt investments: | | | | | | | | | U.S. government securities | | 44,006 | | — | | 44,006 | | — | Municipal securities | | 57,170 | | — | | 57,170 | | — | Corporate debt securities | | 71,794 | | — | | 71,794 | | — | | Asset-backed securities | | 13,431 | | | — | | | 13,431 | | | — | | U.S. agency mortgage-backed securities | | 10,993 | | — | | 10,993 | | — | Commercial paper | | 21,243 | | — | | 21,243 | | — | Certificates of deposit | | 4,999 | | — | | 4,999 | | — | | Subtotal | | 223,636 | | — | | 223,636 | | — | | Total | | $ | 259,139 | | $ | 8,001 | | $ | 251,138 | | $ | — | | | | | | | | | | | Financial Liabilities: | | | | | | | | | | | | | | | | | | | Private Placement Warrants | | 9,852 | | — | | 9,852 | | — | | Total | | $ | 9,852 | | $ | — | | $ | 9,852 | | $ | — |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2020 | | | Total | | (Level 1) | | (Level 2) | | (Level 3) | | Assets: | | | | | | | | | | Cash equivalents: | | | | | | | | | | U.S. Treasury Bills | | $ | 16,000 | | $ | 16,000 | | $ | — | | $ | — | | Total | | $ | 16,000 | | $ | 16,000 | | $ | — | | $ | — | | | | | | | | | | | Financial liabilities: | | | | | | | | | | Public Warrants | | $ | 71,453 | | $ | 71,453 | | $ | — | | $ | — | | Private Placement Warrants | | 67,013 | | — | | 67,013 | | — | | Total | | $ | 138,466 | | $ | 71,453 | | $ | 67,013 | | $ | — |
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| Fair Value Measurement Inputs and Valuation Techniques |
The key assumptions used to determine the fair value of the Private Placement Warrants as of June 30, 2021 and December 31, 2020 using the Black-Scholes model were as follows:
| | | | | | | | | | | | | | | | Fair Value Assumptions | | June 30, 2021 | | December 31, 2020 | | Risk-free interest rate | | 0.77% | | 0.17% | | Expected term (in years) | | 4.5 | | 5 | | Expected volatility | | 58% | | 57% | | Dividend yield | | — | | — | | Fair value of common stock | | $8.14 | | $22.49 |
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