Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.23.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 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 September 30, 2023
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds (i) $ 52,174  $ —  $ —  $ 52,174 
U.S. Treasury securities (ii) 6,952  —  —  6,952 
Corporate bonds (ii) —  6,516  —  6,516 
Total financial assets $ 59,126  $ 6,516  $ —  $ 65,642 
Liabilities
Common stock warrant liabilities (Public) (iii) $ 1,850  $ —  $ —  $ 1,850 
Common stock warrant liabilities (Private Placement) (iii) —  —  934  934 
Common stock warrant liabilities (2022 Private Warrant) (iii) —  —  99  99 
Contingent earnout liabilities —  —  14,414  14,414 
Debt derivatives
 —  —  17,538  17,538 
Total financial liabilities $ 1,850  $ —  $ 32,985  $ 34,835 
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, Contingent earnout liabilities, and Debt derivative, 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 September 30, 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:
December 31, 2022
 Change in fair value June 30, 2023 Change in fair value September 30, 2023
(In thousands)
Private placement warrant liabilities $ 888  $ 600  $ 1,488  $ (554) $ 934 
2022 Private Warrant 109  31  140  (41) 99 
Contingent earnout liabilities 17,414  7,810  25,224  (10,810) 14,414 
Debt derivatives
 —  —  —  17,538  17,538 
$ 18,411  $ 8,441  $ 26,852  $ 6,133  $ 32,985 
December 31, 2021 Change in fair value June 30, 2022 Change in fair value September 30, 2022
(In thousands)
Private placement warrant liabilities $ 7,387  $ (6,007) $ 1,380  $ 2,225  $ 3,605 
2022 Private Warrant —  —  —  245  245 
Contingent earnout liabilities 111,487  (98,995) 12,492  40,885  53,377 
$ 118,874  $ (105,002) $ 13,872  $ 43,355  $ 57,227 
The fair value of the Private Placement Warrant liability, the 2022 Private Warrant, Contingent earnout liability, and Debt derivative 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).
In determining the fair value of the Debt derivatives, the Company used the Monte Carlo simulation valuation model using a distribution of potential outcomes on a weekly basis over the applicable Debt derivative period using the most reliable information available (see Note 10, Equity Instruments).