Fair Value Measurements (Tables)

3 Months Ended

12 Months Ended

Mar. 31, 2021

Dec. 31, 2020

Schedule of Fair Value Measurement Inputs

The redeemable convertible preferred stock warrants were valued using the following assumptions under the Black-Scholes option-pricing model:

	Initial Issuance Date			Subsequent Issuance Date			December 31, 2020			February 11, 2021			March 11, 2021
Stock price	$	5.80		$	5.80		$	7.11		$	10.27		$	8.44
Expected term (years)		10.00			9.31			2.00			2.00			2.00
Expected volatility		57.81	%		57.35	%		76.00	%		76.00	%		76.00	%
Risk-free interest rate		3.06	%		1.75	%		0.13	%		0.13	%		0.13	%
Dividend yield		0	%		0	%		0	%		0	%		0	%

The Private Placement warrants were valued using the following assumptions under the Black-Scholes option-pricing model:

	March 11, 2021			March 31, 2021
Stock price	$	12.00		$	8.50
Exercise price of warrant		11.5			11.5
Expected term (years)		5.00			4.95
Expected volatility		27.00	%		43.00	%
Risk-free interest rate		0.78	%		0.92	%

Schedule of Changes in Fair Value of Level 3 Financial Instruments

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments (in thousands):

	Redeemable Convertible Preferred Stock Warrant Liability			Private Placement Warrant Liability			Derivative Liability
Fair value as of January 1, 2020	$	(162	)	$	—		$	—
Change in the fair value included in other income (expense), net		—			—			(5,308	)
Fair value as of March 31, 2020		(162	)		—			(5,308	)
	Redeemable Convertible Preferred Stock Warrant Liability			Private Placement Warrant Liability			Derivative Liability
Fair value as of January 1, 2021		(49,293	)		—			—
Private placement warrant liability acquired as part of the merger		—			(19,377	)		—
Change in the fair value included in other income (expense), net		(8,804	)		4,652			—
Issuance of preferred stock upon exercise of warrants		58,097			—			—
Fair value as of March 31, 2021	$	—		$	(14,725	)	$	—

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments (in thousands):

	Redeemable Convertible Preferred Stock Warrant Liability			Redeemable Convertible Preferred Stock Tranche Liability			Derivative liability
Fair value as of January 1, 2019	$	(115	)	$	—		$	—
Recognition of preferred stock warrant liability upon subsequent issuance of warrants		(53	)		—			—
Change in the fair value included in other income (expense), net		6			—			—
Fair value as of December 31, 2019		(162	)		—			—
Recognition of preferred stock warrant and tranche liability upon issuance		(691	)		(1,610	)		—
Change in the fair value included in other income (expense), net		(48,440	)		—			(5,308	)
Extinguishment of derivative liability upon conversion of convertible notes								5,308
Settlement of redeemable convertible preferred stock tranche liability due to the issuance of Series B redeemable convertible preferred stock, included in other income (expense), net		—			1,610			—
Fair value as of December 31, 2020	$	(49,293	)	$	—		$	—

Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table provides information by level for the Company’s assets and liabilities that were measured at fair value on a recurring basis (in thousands):

	December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets
Money market funds	$	15,411	$	—	$	—	$	15,411
Total financial assets	$	15,411	$	—	$	—	$	15,411
Liabilities
Redeemable convertible preferred stock warrant liability	$	—	$	—	$	162	$	162
Derivative liability	$	—	$	—	$	—	$	—
Total financial liabilities	$	—	$	—	$	162	$	162
	December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets
Money market funds	$	10,493	$	—	$	—	$	10,493
Total financial assets	$	10,493	$	—	$	—	$	10,493
Liabilities
Redeemable convertible preferred stock warrant liability	$	—	$	—	$	49,293	$	49,293
Total financial liabilities	$	—	$	—	$	49,293	$	49,293

Colonnade Acquisition Corp.

Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description	Level		December 31, 2020
Assets:
Marketable securities held in Trust Account		1	$	200,061,054
Liabilities:
Public warrants derivative liability		1		35,800,000
Private warrants derivative liability		2		22,834,000

Level 1 instruments include investments in U.S. Treasury Bills, and the Public Warrants when representative market prices were available based on the public trading of the Public Warrants.

Schedule of Fair Value Measurement Inputs

The following table provides quantitative information regarding fair value assumptions for the Warrants upon initial recognition:

	Public Warrants			Private Placement Warrants
Share price	$	9.68		$	9.68
Exercise price	$	11.50		$	11.50
Expected term (years)		5.52			5.52
Volatility		13.17	%		13.17	%
Risk-free rate		0.30	%		0.30	%

Schedule of Changes in Fair Value of Level 3 Financial Instruments

The change in the fair value of Level 3 warrant liabilities is summarized as follows:

	Warrant liabilities (Level 3)
Beginning balance	$	—
Issuance of Public Warrants and Private Placement Warrants		10,195,000
Change in valuation inputs or other assumptions		(2,070,859	)
Transfer from Level 3 measurement		(8,124,141	)
Fair value as of December 31, 2020	$	—