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Fair Value Measurements

3 Months Ended

Mar. 31, 2023

Fair Value Measurements

Fair Value Measurements

Note 5 – Fair Value Measurements

The carrying amounts of certain financial instruments, such as cash equivalents, short-term investments, accounts receivable, accounts payable, and accrued liabilities approximate fair value due to their relatively short maturities.

Assets and Liabilities Measured and Recorded at Fair Value on a Recurring Basis

As of March 31, 2023 and December 31, 2022, the Company’s financial assets and liabilities measured and recorded at fair value on a recurring basis were classified within the fair value hierarchy as follows:


		March 31, 2023
		Level 1			Level 2			Level 3			Total
Assets
Commercial Paper		$	166,411		$	—		$	—		$	166,411
Corporate Bonds		$	243,163		$	—		$	—		$	243,163
Government Bonds		$	48,774		$	—		$	—		$	48,774
U.S. Treasuries			—			—			—			—

Liabilities
Public Warrants		$	5,576		$	—		$	—		$	5,576
Private Warrants		$	—		$	6,203		$	—		$	6,203


		December 31, 2022
		Level 1			Level 2			Level 3			Total
Assets
Commercial Paper		$	165,179		$	—		$	—		$	165,179
Corporate Bonds		$	227,957		$	—		$	—		$	227,957
Government Bonds		$	42,865		$	—		$	—		$	42,865
U.S. Treasuries			9,930			—			—			9,930

Liabilities
Public Warrants		$	4,900		$	—		$	—		$	4,900
Private Warrants		$	—		$	4,217		$	—		$	4,217

The change in fair value of the Company’s marketable securities is included in other comprehensive loss. There were no transfers in and out of Level 3 fair value hierarchy during the three months ended March 31, 2023 and year ended December 31, 2022. For the three months ended March 31, 2023 the Company purchased $110,636 of marketable securities.

Fair Value of Common Stock Warrant Liabilities

The fair value of the Private Placement Warrant Liabilities (defined below) has been estimated using a Black-Scholes model as of March 31, 2023 and December 31, 2022 Consolidated Balance Sheet dates. The fair value of the Public Warrants (defined below) has been measured based on the quoted price of such warrants on the Nasdaq Stock Market, a Level 1 input. The estimated fair value of the Private Placement Warrants is determined using Level 2 inputs. Inherent in a Black-Scholes model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. Material increases (or decreases) in any of those inputs may result in a significantly higher (or lower) fair value measurement. The Company estimates the volatility of its Private Placement Warrants based on implied volatility from the Company’s Public Warrants and from historical volatility of select peer company’s common stock that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S.

Treasury zero-coupon yield curve for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend yield is based on the historical rate, which the Company anticipates remaining at zero. The following table provides quantitative information regarding Level 2 inputs used in the recurring valuation of the Private Placement Warrants as of their measurement dates:


		March 31, 2023			December 31, 2022
Exercise Price		$	11.50		$	11.50
Stock Price		$	3.01		$	2.54
Volatility			79.0	%		71.3	%
Term			3.69			3.94
Risk-free rate			3.67	%		4.03	%

The following table provides a reconciliation of the Public Warrants measured at fair value using Level 1 directly observable inputs and Private Placement Warrants measured at fair value using Level 2 directly or indirectly observable inputs:


		Public Warrants			Private Warrants
		Level 1 Fair Value			Level 2 Fair Value
December 31, 2022		$	0.42		$	0.55
Change in fair value		$	0.04		$	0.31
March 31, 2023		$	0.46		$	0.86

The following tables provides a reconciliation of the March 31, 2023 three month change in fair value for the Public Warrants and Private Placement Warrants:


									Three months change in
Warrant Class		Level		Warrants		December 31, 2022			fair value			March 31, 2023
Public Warrants		1		12,120,985		$	4,900		$	676		$	5,576
Private Warrants		2		7,212,318		$	4,217		$	1,986		$	6,203
Total				19,333,303		$	9,117		$	2,662		$	11,779

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.

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