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Fair Value Measurements (Tables) | 12 Months Ended
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Dec. 31, 2022
Fair Value Disclosures [Abstract] |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following table classifies the Company’s assets and liabilities measured at fair value on a recurring basis into the fair value hierarchy as of December 31, 2022 and 2021 (in thousands):
| Fair valued measured at December 31, 2022
| Quoted prices in active markets (Level 1) |  | Significant other observable inputs (Level 2) |  | Significant unobservable inputs (Level 3) |  | Total
Financial assets at fair value: |  |  |  |  |  |  |
Cash and cash equivalents |  |  |  |  |  |  |
Money market securities | $ | 50,010 |  |  | $ | — |  |  | $ | — |  |  | $ | 50,010 |
Total financial assets at fair value | $ | 50,010 |  |  | $ | — |  |  | $ | — |  |  | $ | 50,010 |
| Fair valued measured at December 31, 2021
| Quoted prices in active markets (Level 1) |  | Significant other observable inputs (Level 2) |  | Significant unobservable inputs (Level 3) |  | Total
Financial liabilities at fair value: |  |  |  |  |  |  |
Warrant liabilities | $ | — |  |  | $ | — |  |  | $ | 3,548 |  |  | $ | 3,548 |
Total financial liabilities at fair value | $ | — |  |  | $ | — |  |  | $ | 3,548 |  |  | $ | 3,548 |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | The following table presents changes in Level 3 liabilities measured at fair value (in thousands) for the years ended December 31, 2022, 2021 and 2020. Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.
| Derivative - Convertible Notes |  | Profits Interests Sold |  | Embedded Put Option |  | Warrant liabilities
Fair value at December 31, 2019 | $ | 1,203 |  |  | $ | 1,971 |  |  | $ | 376 |  |  | $ | 24 |
Change in fair value | (206) |  |  | (1,971) |  |  | (220) |  |  | 83,338 |
Additions | 3,583 |  |  | — |  |  | 172 |  |  | 50,743 |
Redemption | (4,580) |  |  | — |  |  | (328) |  |  | (97,884) |
Reclassification of warrant liabilities | — |  |  | — |  |  | — |  |  | (13,535) |
Fair value at December 31, 2020 | — |  |  | — |  |  | — |  |  | 22,686 |
Change in fair value | — |  |  | — |  |  | — |  |  | (2,659) |
Redemption | — |  |  | — |  |  | — |  |  | (16,479) |
Fair value at December 31, 2021 | — |  |  | — |  |  | — |  |  | 3,548 |
Change in fair value | — |  |  | — |  |  | — |  |  | 1,701 |
Redemption | — |  |  | — |  |  | — |  |  | (5,249) |
Fair value at December 31, 2022 | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Fair Value Measurement Inputs and Valuation Techniques | Significant inputs into the valuation models included the control premium, discount rate, and revenue market multiples as follows:
| December 31, 2022
Control premium | 35%
Discount rate | 31%
Revenue multiples | 0.34x - 0.52x
The Company used a Black-Scholes model to estimate the fair value of the warrant liabilities at December 31, 2021 using the following inputs:
|  |  | December 31, 2021
Fair value of underlying common shares |  |  | $ | 15.52 |
Exercise price |  |  | $ | 9.25 |
Expected dividend yield |  |  | — | %
Expected volatility |  |  | 50.9% - 52.8%
Weighted average expected volatility |  |  | 52.7 | %
Risk free interest rate |  |  | 0.06% - 0.06%
Weighted average risk-free interest rate |  |  | 0.06 | %
Expected term (years) |  |  | 0.14 - 0.15
Weighted average expected term (years) |  |  | 0.14

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- 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition 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 Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 + Details
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- Definition 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 -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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