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Fair Value of Financial Instruments | 3 Months Ended
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Mar. 31, 2023
Fair Value of Financial Instruments [Abstract] |
Fair Value of Financial Instruments |
4. | Fair Value of Financial Instruments
Items measured at fair value on a recurring basis are the Company’s investments. The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis by level within the fair value hierarchy:
|  | Fair Value Measurements as of |
|  | March 31, 2023 Using: |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |  |  |  |  |  |
Money market mutual funds |  | $ | 31,353 |  |  | $ | - |  |  | $ | - |  |  | $ | 31,353 |
Corporate Bonds |  |  | - |  |  |  | 3,778 |  |  |  | - |  |  |  | 3,778 |
United States Treasury securities |  |  | 7,670 |  |  |  | - |  |  |  | - |  |  |  | 7,670 |
|  |  | 39,023 |  |  |  | 3,778 |  |  |  | - |  |  |  | 42,801 |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Paper |  |  | - |  |  |  | 5,147 |  |  |  | - |  |  |  | 5,147 |
United States Treasury securities |  |  | 228,443 |  |  |  | - |  |  |  | - |  |  |  | 228,443 |
Corporate Bonds |  |  | - |  |  |  | 54,159 |  |  |  | - |  |  |  | 54,159 |
Agency Bonds |  |  | - |  |  |  | 7,713 |  |  |  | - |  |  |  | 7,713 |
|  |  | 228,443 |  |  |  | 67,019 |  |  |  | - |  |  |  | 295,462 |
Total assets |  | $ | 267,466 |  |  | $ | 70,797 |  |  | $ | - |  |  | $ | 338,263 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liability |  | $ | - |  |  | $ | - |  |  | $ | 815 |  |  | $ | 815 |
Total liabilities |  | $ | - |  |  | $ | - |  |  | $ | 815 |  |  | $ | 815 |
|  | Fair Value Measurements as of |
|  | December 31, 2022 Using: |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |  |  |  |  |  |
Money market mutual funds |  | $ | 90,527 |  |  | $ | - |  |  | $ | - |  |  | $ | 90,527 |
Commercial Paper |  |  | - |  |  |  | 3,899 |  |  |  | - |  |  |  | 3,899 |
United States Treasury Securities |  |  | 3,848 |  |  |  | - |  |  |  | - |  |  |  | 3,848 |
Corporate Bonds |  |  | - |  |  |  | 8,618 |  |  |  | - |  |  |  | 8,618 |
|  |  | 94,375 |  |  |  | 12,517 |  |  |  | - |  |  |  | 106,892 |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Paper |  |  | - |  |  |  | 1,151 |  |  |  | - |  |  |  | 1,151 |
United States Treasury securities |  |  | 189,444 |  |  |  | - |  |  |  | - |  |  |  | 189,444 |
Corporate Bonds |  |  | - |  |  |  | 60,905 |  |  |  | - |  |  |  | 60,905 |
Agency Bonds |  |  | - |  |  |  | 7,653 |  |  |  | - |  |  |  | 7,653 |
|  |  | 189,444 |  |  |  | 69,709 |  |  |  | - |  |  |  | 259,153 |
Total assets |  | $ | 283,819 |  |  | $ | 82,226 |  |  | $ | - |  |  | $ | 366,045 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Warrant liability |  | $ | - |  |  | $ | - |  |  | $ | 1,512 |  |  | $ | 1,512 |
Total liabilities |  | $ | - |  |  | $ | - |  |  | $ | 1,512 |  |  | $ | 1,512 |
The Company classifies its money market mutual funds and U.S. Treasury securities as Level 1 assets under the fair value hierarchy, as these assets have been valued using quoted market prices in active markets without any valuation adjustment. The Company classifies its Commercial Paper and Corporate and Agency Bonds as Level 2 assets as these assets are not traded in an active market and have been valued through a third-party pricing service based on quoted prices for similar assets. The reconciliation of the Company’s warrant liability, which is recorded as part of Other Liabilities in the consolidated balance sheets, measured at fair value on a recurring basis using unobservable inputs (Level 3) is as follows:
|  | Warrant Liability |
Balance, December 31, 2022 |  | $ | 1,512 |
Fair value adjustments |  |  | (697 | )
Balance, March 31, 2023 |  | $ | 815 |
The Company utilizes a Black-Scholes model to value the warrant liability (see Note 10 “Warrants”) at each reporting period, with changes in fair value recognized in the consolidated statements of operations. The estimated fair value of the warrant liability is determined using Level 3 inputs. Inherent in an options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the expected volatility of its common stock based on historical volatility of a peer group, considering the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the valuation date 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 rate is based on the historical rate, which the Company anticipates will remain at zero. The fair value of the warrant liability has been estimated with the following assumptions:
|  | March 31, 2023 |  |  | December 31, 2022 |
Stock price |  | $ | 17.13 |  |  | $ | 18.39 |
Exercise price |  | $ | 65.23 |  |  | $ | 65.23 |
Expected volatility |  |  | 67.38 | % |  |  | 71.25 | %
Risk-free interest rate |  |  | 4.04 | % |  |  | 4.14 | %
Expected dividend yield |  |  | - |  |  |  | - |
Expected life (years) |  |  | 2.07 |  |  |  | 2.39 |
Fair value per warrant |  | $ | 1.32 |  |  | $ | 2.45 |

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- Definition The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI https://asc.fasb.org/topic&trid=2155941 + Details
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