Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.23.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2023
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 March 31, 2023
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds (i) $ 6,308  $ —  $ —  $ 6,308 
U.S. Treasury securities (ii) 14,323  —  —  14,323 
Corporate bonds (ii) —  12,547  —  12,547 
Total financial assets $ 20,631  $ 12,547  $ —  $ 33,178 
Liabilities
Common stock warrant liabilities (Public) (iii) $ 3,395  $ —  $ —  $ 3,395 
Common stock warrant liabilities (Private Placement) (iii) —  —  1,757  1,757 
Common stock warrant liabilities (2022 Private Warrant) (iii) —  —  146  146 
Contingent earnout liabilities —  —  27,067  27,067 
Total financial liabilities $ 3,395  $ —  $ 28,970  $ 32,365 
Fair Value Measured as of December 31, 2022
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds (i) $ 31,728  $ —  $ —  $ 31,728 
U.S. Treasury securities (ii) 24,701  —  —  24,701 
Corporate bonds (ii) —  23,513  —  23,513 
Total financial assets $ 56,429  $ 23,513  $ —  $ 79,942 
Liabilities
Common stock warrant liabilities (Public) (iii) $ 1,748  $ —  $ —  $ 1,748 
Common stock warrant liabilities (Private Placement) (iii) —  —  888  888 
Common stock warrant liabilities (2022 Private Warrant) (iii) —  —  109  109 
Contingent earnout liabilities —  —  17,414  17,414 
Total financial liabilities $ 1,748  $ —  $ 18,411  $ 20,159 
(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.
For more information regarding the Public Warrants, Private Placement Warrants, the 2022 Private Warrant and the Earnout Shares, see Note 10, Equity Instruments.
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 March 31, 2023 and December 31, 2022. Realized gains and losses, net of tax, were not material for any of the periods presented.
The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments:
Private placement warrant liabilities 2022 Private Warrant Contingent earnout liabilities
Fair value as of January 1, 2023 $ 888  $ 109  $ 17,414 
Change in fair value 869  37  9,653 
Fair value as of March 31, 2023 $ 1,757  $ 146  $ 27,067 
Fair value as of January 1, 2022 $ 7,387  $ —  $ 111,487 
Change in fair value 2,047  —  31,232 
Fair value as of March 31, 2022 $ 9,434  $ —  $ 142,719 
The fair value of the Private Placement Warrant liability, the 2022 Private Warrant 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 Monte Carlo Simulation Model that assumes optimal exercise of the Company’s redemption option at the earliest possible date (see Note 10, 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 10, 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 10, Equity Instruments).