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INVESTMENTS AND FAIR VALUE MEASUREMENT (Tables)
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Schedule of Debt Securities, Available-for-sale Investments on our unaudited condensed consolidated balance sheet consisted of the following:
December 31, 2021
(in millions)Amortized CostUnrealized GainsUnrealized LossesFair Value
Debt securities:
Asset-backed securities$$— $— $
Commercial paper14 — — 14 
Corporate bonds— — 7
Government bonds— — 1
Total investments$27 $— $— $27 
March 31, 2022
(in millions)Amortized CostUnrealized GainsUnrealized LossesFair Value
Debt securities:
Asset-backed securities$$— $— $
Commercial paper19 — — 19 
Corporate bonds12 — — 12 
Government bonds— — 
Total investments$40 $— $— $40 
Schedule of Financial Assets and Liabilities Measured at Fair Value on a Recurring Basis
Financial assets and liabilities measured at fair value on a recurring basis were presented on our unaudited condensed consolidated balance sheets as follows:
December 31, 2021
(in millions)Level 1Level 2Level 3Total
Assets
Cash equivalents:
Money market funds$4,004 $— $— $4,004 
Investments:
Asset-backed securities— — 
Commercial paper— 14 — 14 
Corporate bonds— — 
Government bonds— 
User-held fractional shares1,834 — — 1,834 
Other current assets:
Equity securities - securities owned14 — — 14 
Total financial assets$5,853 $26 $— $5,879 
Liabilities
Fractional share repurchase obligations$1,834 $— $— $1,834 
Total financial liabilities$1,834 $— $— $1,834 
March 31, 2022
(in millions)Level 1Level 2Level 3Total
Assets
Cash equivalents:
Money market funds$1,624 $— $— $1,624 
Investments:
Asset-backed securities— — 
Commercial paper— 19 — 19 
Corporate bonds— 12 — 12 
Government bonds— — 
User-held fractional shares1,929 — — 1,929 
Other current assets:
Equity securities - securities owned10 — — 10 
Total financial assets$3,564 $39 $— $3,603 
Liabilities
Fractional shares repurchase obligations
$1,929 $— $— $1,929 
Total financial liabilities$1,929 $— $— $1,929 
Schedule of Significant Unobservable Inputs
The significant unobservable inputs used in the fair value measurement of the convertible notes and warrant liability included:
March 31, 2021
Convertible notesWarrant liability
Fair value of common stock$41.41 $41.41 
Instrument discount10 %10 %
Volatility60 %60 %
Discount rate(1)
30%/35%
N/A
Risk free rate0.03 %0.03 %
Conversion probability:
IPO by June 30, 202190 %90 %
Next financing by June 30, 2021 followed by IPO by December 31, 202110 %10 %
________________
(1) Discount rate of 30% was applied on Tranche I and 35% was applied on Tranche 2. This represents the discount rate associated with the downside scenarios.
Schedule of Changes in Estimated Fair Value of Convertible Notes and Warrant Liability
The following table sets forth a summary of the changes in the estimated fair value of our convertible notes and warrant liability:
(in millions)Convertible notesWarrant liability
Beginning of period, January 1, 2021$— $— 
Issued during the period3,299 253 
Change in fair value1,376 116 
End of period, March 31, 2021$4,675 $369