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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Summary of Financial Assets And Liabilities Measurement on Recurring Basis

The Company’s financial assets and liabilities subject to fair value measurement on a recurring basis and the level of inputs used for such measurements were as follows as of the dates indicated (in thousands):

		Fair Value Measured as of March 31, 2023
		Level 1				Level 2				Level 3				Total
Assets included in:
Cash and cash equivalents
Money market securities		$	2,288			$	-			$	-			$	2,288
Accounts receivable			281				-				-				281
Derivative asset			-				-				72,030				72,030
		$	2,569			$	-			$	72,030			$	74,599
Liabilities included in:
Warrant liability		$	-			$	-			$	44			$	44
		$	-			$	-			$	44			$	44

		Fair Value Measured as of December 31, 2022
		Level 1				Level 2				Level 3				Total
Assets included in:
Cash and cash equivalents
Money market securities		$	10,943			$	-			$	-			$	10,943
Accounts receivable			98				-				-				98
Derivative asset			-				-				66,702				66,702
		$	11,041			$	-			$	66,702			$	77,743
Liabilities included in:
Warrant liability		$	-			$	-			$	7			$	7
		$	-			$	-			$	7			$	7

Summary of Changes in the Estimated Fair Value of the Derivative Asset

The following table presents the changes in the estimated fair value of the derivative asset measured using significant unobservable inputs (Level 3) for the three months ended March 31, 2023 (in thousands):

Balance as of January 1, 2023		$	66,702
Change in fair value			5,328
Balance as of March 31, 2023		$	72,030

Summary of Assumptions Utilized in Valuations of Private Placement Warrants

The following table presents significant assumptions utilized in the valuations of the Private Placement Warrants as of the dates indicated:

		March 31, 2023				December 31, 2022
Risk-free rate			3.70	%			4.06	%
Dividend yield rate			0.00	%			0.00	%
Volatility			72.5	%			90.0	%
Contractual term (in years)			3.4				3.7
Exercise price		$	11.50			$	11.50

Summary of Change in the Fair Value of the Private Placement Warrants

The following table presents changes in the estimated fair value of the Private Placement Warrants for the three months ended March 31, 2023 (in thousands):

Balance as of January 1, 2023		$	7
Change in fair value			37
Balance as of March 31, 2023		$	44

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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