Fair value measurements

12 Months Ended

Dec. 31, 2021

3. Fair value measurements

The following tables present information about the Company’s financial assets and liabilities measured at fair value on a recurring basis and indicate the level of the fair value hierarchy utilized to determine such fair values (in thousands):


	As of December 31, 2021
	Level 1		Level 2		Level 3		Total
Current assets
Money market funds	$	317,004	$	—	$	—	$	317,004
Pension plan assets(1)		—		3,796		—		3,796
Total assets measured at fair value	$	317,004	$	3,796	$	—	$	320,800


	As of December 31, 2020
	Level 1		Level 2		Level 3		Total
Current assets
Money market funds	$	38,712	$	—	$	—	$	38,712
Pension plan assets(1)		—		1,217		—		1,217
Total assets measured at fair value	$	38,712	$	1,217	$	—	$	39,929
Current liabilities
Preferred stock tranche obligation	$	—	$	—	$	19,680	$	19,680
Total liabilities measured at fair value	$	—	$	—	$	19,680	$	19,680

(1)

The fair value of pension plan assets has been determined as the surrender value of the portfolio of active insured members held within the Swiss Life Collective BVG Foundation collective investment fund.

Money market funds are highly liquid investments and are actively traded. The pricing information on the Company’s money market funds are based on quoted prices in active markets for identical securities. This approach results in the classification of these securities as Level 1 of the fair value hierarchy.

The Company’s Series B Preferred Stock Tranche Obligation is measured at fair value using a Black-Scholes option pricing valuation methodology. The fair value of Series B Preferred Stock Tranche Obligation includes inputs not observable in the market and thus represents a Level 3 measurement. The option pricing valuation methodology utilized requires inputs based on certain subjective assumptions, including (i) expected stock price volatility, (ii) calculation of an expected term, (iii) a risk-free interest rate, and (iv) expected dividends. The assumptions utilized to value the Series B Preferred Stock Tranche Obligation as of December 31, 2020 were (i) expected stock price volatility of 93%; (ii) remaining term of 1.7 years; (iii) a risk-free interest rate of 0.12%; and (iv) an expectation of no dividends. The assumptions utilized to value the Series B Preferred Stock Tranche Obligation just prior to settlement were (i) expected stock price volatility of 26%; (ii) remaining term 0.003 years; (iii) a risk-free rate of 0.04%; and (iv) an expectation of no dividends. The Series B Preferred Stock Tranche Obligation was extinguished in February 2021 upon the issuance of the Series B Preferred Stock. Immediately prior to the issuance of the Series B Preferred Stock in February 2021, the Company adjusted the carrying value of the liability to its estimated fair value of $20.6 million.

The following table provides a reconciliation of assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) (in thousands):


	Amount
Balance at January 1, 2020	$	—
Issuance of Preferred Stock Tranche Obligation		12,000
Change in fair value		7,680
Balance at December 31, 2020		19,680
Change in fair value		960
Settlement of Preferred Stock Tranche Obligation		(20,640	)
Balance at December 31, 2021	$	—

There were no transfers among Level 1, Level 2 or Level 3 categories in the years ended December 31, 2021 or 2020.