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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2022
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements The Company’s debt instruments are recorded at their carrying values in its consolidated balance sheets, which may differ from their respective fair values. The fair values of the Company’s convertible notes are estimated using the valuation of the securities into which the debt is convertible, external pricing data, based on interest rates and credit ratings for similar issuances with the same remaining term as the Company’s outstanding borrowings. The fair values of the Company’s term loans generally approximated their carrying values. At December 31, 2022 and 2021, the Company held currency forward contracts of $3,825 and $3,075 to sell United States dollars and to buy Canadian dollars at a forward rate. Any changes in the fair value of these contracts are reflected in the consolidated statement of operations. The change in fair value at December 31, 2022 and 2021 was de minimis. The following table presents the Company’s fair value hierarchy for financial assets and liabilities:
| Fair Value Measurements as of December 31, 2022
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Liabilities: |  |  |  |  |  |  |
Private Placement Warrants | $ | — |  |  | $ | — |  |  | $ | 17,970 |  |  | $ | 17,970 |
Public Warrants | $ | 27,428 |  |  | $ | — |  |  | $ | — |  |  | $ | 27,428 |
City Semi Contingent Consideration - Second Tranche | $ | — |  |  | $ | — |  |  | $ | 1,383 |  |  | $ | 1,383 |
Symeo Contingent Consideration - First Tranche | $ | — |  |  | $ | — |  |  | $ | 2,000 |  |  | $ | 2,000 |
Symeo Contingent Consideration - Second Tranche | $ | — |  |  | $ | — |  |  | $ | 4 |  |  | $ | 4 |
Symeo Promissory Note | $ | — |  |  | $ | — |  |  | $ | 9,674 |  |  | $ | 9,674 |
Currency forward contract | $ | — |  |  | $ | 3,845 |  |  | $ | — |  |  | $ | 3,845 |
| Fair Value Measurements as of December 31, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Liabilities: |  |  |  |  |  |  |
Private Placement Warrants | $ | — |  |  | $ | — |  |  | $ | 40,092 |  |  | $ | 40,092 |
Public Warrants | $ | 60,375 |  |  | $ | — |  |  | $ | — |  |  | $ | 60,375 |
ON Design Israel Contingent Consideration - Tapeout | $ | — |  |  | $ | — |  |  | $ | 1,817 |  |  | $ | 1,817 |
ON Design Israel Contingent Consideration - Design Win | $ | — |  |  | $ | — |  |  | $ | 2,222 |  |  | $ | 2,222 |
City Semi Contingent Consideration - Second Tranche | $ | — |  |  | $ | — |  |  | $ | 980 |  |  | $ | 980 |
Currency forward contract | $ | — |  |  | $ | 3,068 |  |  | $ | — |  |  | $ | 3,068 |
As of December 31, 2022 and 2021, the Company’s cash and cash equivalents were all held in cash or Level 1 instruments where the fair values approximate the carrying values. Level 3 Disclosures Warrants Private Placement Warrants were valued using the Black-Scholes-Merton formula and a Monte Carlo Simulations analysis. Calculating the fair value of warrants requires the input of subjective assumptions. Other reasonable assumptions could provide differing results. The carrying amount of the liability may fluctuate significantly and actual amounts paid may be materially different from the liability’s estimated value. For the year ended December 31, 2022, there were no redemptions of the warrants and the carrying amount of the liability fluctuated due to fair value remeasurement. Contingent Earn-Outs Contingent earn-outs were valued using a Monte Carlo Simulations analysis in order to simulate the future path of the Company’s stock price over the earn-out period. The carrying amount of the liability may fluctuate significantly and actual amounts paid may be materially different from the liability’s estimated value. As of November 9, 2021, the first earn-out milestone was achieved. The existing liability was remeasured to its fair value and reclassified from a liability to Additional paid-in capital in the consolidated balance sheet. See Note 11 — Contingent and earn-out Liabilities for additional information. Contingent Considerations Contingent considerations were valued based on the consideration expected to be transferred. The Company estimated the fair value based on a Monte Carlo Simulations analysis in order to simulate the probability of achievement of various milestones identified within each contingent consideration arrangement, using certain assumptions that require significant judgement and discount rates. The discount rates were based on the estimated cost of debt plus a premium, which included consideration of expected term of the earn-out payment, yield on treasury instruments and an estimated credit rating for the Company. The following table presents the significant unobservable inputs assumed for each of the fair value measurements:
| As of December 31, 2022 |  | As of December 31, 2021
| Input |  | Input
Liabilities: |  |  |
Warrants |  |  |
Expected volatility | 64.00 | % |  | 36.00 | %
City Semi Contingent Consideration - Second Tranche |  |  |
Discount rate | 12.65 | % |  | 10.83 | %
ON Design Israel Contingent Consideration - Tapeout |  |  |
Discount rate | N/A |  | 4.37%
ON Design Israel Contingent Consideration - Design Win |  |  |
Discount rate | N/A |  | 4.37%
Contingent earn-outs - second milestone |  |  |
Constant volatility factor | N/A |  | 40.00 | %
Symeo Contingent Consideration - First Tranche |  |  |
Discount Rate | 4.73 | % |  | N/A
Symeo Contingent Consideration - Second Tranche |  |  |
Discount Rate | 4.73 | % |  | N/A
Symeo Promissory Note |  |  |
Discount rate | 3.13 | % |  | N/A

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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