Fair Value of Financial Instruments

3 Months Ended

Mar. 31, 2023

Fair Value of Financial Instruments [Abstract]

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