Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.22.2.2
Fair Value Measurements
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The Company’s assets and liabilities that were measured at fair value on a recurring basis were as follows:
Fair Value Measured as of September 30, 2022
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds (i) $ 39,215  $ —  $ —  $ 39,215 
U.S. Treasury securities (ii) 35,131  —  —  35,131 
Corporate bonds (ii) —  37,347  —  37,347 
Total financial assets $ 74,346  $ 37,347  $ —  $ 111,693 
Liabilities
Common stock warrant liabilities (Public) (iii) $ 6,986  $ —  $ —  $ 6,986 
Common stock warrant liabilities (Private Placement) (iii) —  —  3,605  3,605 
Common stock warrant liabilities (2022 Private Warrant) (iii) 245  245 
Contingent earnout liabilities —  —  53,377  53,377 
Total financial liabilities $ 6,986  $ —  $ 57,227  $ 64,213 
Fair Value Measured as of December 31, 2021
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds (i) $ 207,471  $ —  $ —  $ 207,471 
U.S. Treasury securities (ii) 8,141  —  —  8,141 
Corporate bonds (ii) —  7,342  —  7,342 
Total financial assets $ 215,612  $ 7,342  $ —  $ 222,954 
Liabilities
Common stock warrant liabilities (Public) (iii) $ 14,318  $ —  $ —  $ 14,318 
Common stock warrant liabilities (Private Placement) (iii) —  —  7,387  7,387 
Contingent earnout liabilities —  —  111,487  111,487 
Total financial liabilities $ 14,318  $ —  $ 118,874  $ 133,192 
(i)     Included in cash and cash equivalents on the condensed consolidated balance sheets.
(ii)     Included in short-term investments on the condensed consolidated balance sheets.
(iii)    Included in warrant liabilities on the condensed consolidated balance sheets.
The money market funds are classified as cash and cash equivalents on the condensed consolidated balance sheets. The aggregate fair value of the Company’s money market funds approximated amortized cost and, as such, there were no unrealized gains or losses on money market funds as of September 30, 2022 and December 31, 2021. Realized gains and losses, net of tax, were not material for any period presented.
As of September 30, 2022 and December 31, 2021, the Company had no investments with a contractual maturity of greater than one year.
The following table presents a rollforward of the Level 3 assets and liabilities measured at fair value on a recurring basis:
Redeemable convertible preferred stock warrant liabilities Private placement warrant liabilities 2022 Private Warrant Contingent earnout liabilities
(In thousands)
Three Months Ended September 30, 2022
Fair value as of June 30, 2022 $ —  $ 1,380  $ —  $ 12,492 
Issuance of warrant —  —  170  — 
Change in fair value —  2,225  75  40,885 
Fair value as of September 30, 2022 $ —  $ 3,605  $ 245  $ 53,377 
Nine months ended September 30, 2022
Fair value as of January 1, 2022 $ —  $ 7,387  $ —  $ 111,487 
Issuance of warrant —  —  170 — 
Change in fair value —  (3,782) 75  (58,110)
Fair value as of September 30, 2022 $ —  $ 3,605  $ 245  $ 53,377 
Three Months Ended September 30, 2021
Fair value as of June 30, 2021 $ 1,922  $ —  $ —  $ — 
Private placement warrant liabilities acquired as part of the reverse recapitalization —  7,165  —  — 
Contingent earnout liabilities recognized upon the closing of the reverse recapitalization —  —  —  120,763 
Exercise of warrants (899) —  —  — 
Change in fair value (1,023) (312) —  (2,014)
Fair value as of September 30, 2021 $ —  $ 6,853  $ —  $ 118,749 
Nine months ended September 30, 2021
Fair value as of January 1, 2021 $ 181  $ —  $ —  $ — 
Private placement warrant liabilities acquired as part of the reverse recapitalization —  7,165  —  — 
Contingent earnout liabilities recognized upon the closing of the reverse recapitalization —  —  —  120,763 
Exercise of warrants (899) —  —  — 
Change in fair value 718  (312) —  (2,014)
Fair value as of September 30, 2021 $ —  $ 6,853  $ —  $ 118,749 
The fair value of the private placement warrant liability, the 2022 Private Warrant (see Note 12, Equity Instruments), redeemable convertible preferred stock warrant liability and contingent earnout liability are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy.
In determining the fair value of the private placement warrant liability the Company used the the Monte Carlo Simulation Model that assumes optimal exercise of the Company’s redemption option at the earliest possible date.
In determining the fair value of the redeemable convertible preferred stock warrant liability, the Company used the Black-Scholes option pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate and dividend yield (see Note 12, Equity Instruments).
In determining the fair value of the 2022 Private Warrant, the Company used the Black-Scholes option pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate and dividend yield (see Note 12, Equity Instruments).
In determining the fair value of the contingent earnout liability, the Company used the Monte Carlo simulation valuation model using a distribution of potential outcomes on a weekly basis over the applicable earnout period using the most reliable information available (see Note 12, Equity Instruments).