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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2023
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Assumptions | These two types of inputs have created the following fair-value hierarchy:
Level 1: | Quoted prices for identical instruments in active markets;
Level 2: | Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets; and
Level 3: | Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
The following table presents the fair value per warrant and the valuation assumptions under the Black-Scholes OPM as of March 31, 2023 and December 31, 2022:
|  |  | March 31, 2023 |  | December 31, 2022
Fair value per share |  |  | $ | 0.53 |  |  | $ | 0.17 |
Warrants outstanding |  |  | 7,732,168 |  |  | 7,732,168 |
Exercise price |  |  | $ | 11.50 |  |  | $ | 11.50 |
Common stock price |  |  | $ | 3.03 |  |  | $ | 1.98 |
Expected option term (years) |  |  | 3.42 years |  | 3.67 years
Expected volatility |  |  | 66.90 | % |  | 60.70 | %
Risk-free rate of return |  |  | 3.70 | % |  | 4.10 | %
Expected annual dividend yield |  |  | — | % |  | — | %
Schedule of Liabilities Measured at Fair Value | The following table presents information about the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022 were as follows:
|  |  | March 31, 2023
| Balance Sheet Location |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |
Committed equity facility | Other non-current assets |  | $ | — |  |  | $ | — |  |  | $ | 322 |  |  | $ | 322 |
Total assets |  |  | $ | — |  |  | $ | — |  |  | $ | 322 |  |  | $ | 322 |
Liabilities: |  |  |  |  |  |  |  |  |
Private warrants | Warrant liabilities |  | $ | — |  |  | $ | — |  |  | $ | 4,098 |  |  | $ | 4,098 |
Contingent consideration | Notes payable to sellers |  | — |  |  | — |  |  | — |  |  | — |
Total liabilities |  |  | $ | — |  |  | $ | — |  |  | $ | 4,098 |  |  | $ | 4,098 |
|  |  | December 31, 2022
| Balance Sheet Location |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |
Committed equity facility | Other non-current assets |  | $ | — |  |  | $ | — |  |  | $ | 216 |  |  | $ | 216 |
Total assets |  |  | $ | — |  |  | $ | — |  |  | $ | 216 |  |  | $ | 216 |
Liabilities: |  |  |  |  |  |  |  |  |
Private warrants | Warrant liabilities |  | $ | — |  |  | $ | — |  |  | $ | 1,314 |  |  | $ | 1,314 |
Contingent consideration | Notes payable to sellers |  | — |  |  | — |  |  | 1,000 |  |  | 1,000 |
Total liabilities |  |  | $ | — |  |  | $ | — |  |  | $ | 2,314 |  |  | $ | 2,314 |
Changes in the Fair Value of Level 3 Financial Assets | Changes in the fair value of Level 3 financial assets and liabilities were as follows:
Assets: | Committed Equity Facility |  |  |  |  |  |  |  | Total Level 3
December 31, 2022 | $ | 216 |  |  |  |  |  |  |  |  | $ | 216 |
Changes in fair value | 106 |  |  |  |  |  |  |  |  | 106 |
March 31, 2023 | $ | 322 |  |  |  |  |  |  |  |  | $ | 322 |
Liabilities: | Contingent Consideration |  | Private Warrants |  | Total Level 3
December 31, 2022 | $ | 1,000 |  |  | $ | 1,314 |  |  | $ | 2,314 |
Changes in fair value | — |  |  | 2,784 |  |  | 2,784 |
Settlements | (1,000) |  |  | — |  |  | (1,000) |
March 31, 2023 | $ | — |  |  | $ | 4,098 |  |  | $ | 4,098 |
Changes in the Fair Value of Level 3 Financial Liabilities | Changes in the fair value of Level 3 financial assets and liabilities were as follows:
Assets: | Committed Equity Facility |  |  |  |  |  |  |  | Total Level 3
December 31, 2022 | $ | 216 |  |  |  |  |  |  |  |  | $ | 216 |
Changes in fair value | 106 |  |  |  |  |  |  |  |  | 106 |
March 31, 2023 | $ | 322 |  |  |  |  |  |  |  |  | $ | 322 |
Liabilities: | Contingent Consideration |  | Private Warrants |  | Total Level 3
December 31, 2022 | $ | 1,000 |  |  | $ | 1,314 |  |  | $ | 2,314 |
Changes in fair value | — |  |  | 2,784 |  |  | 2,784 |
Settlements | (1,000) |  |  | — |  |  | (1,000) |
March 31, 2023 | $ | — |  |  | $ | 4,098 |  |  | $ | 4,098 |

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- Definition 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. + References Reference 1: 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 Reference 2: 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 + 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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