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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Fair Value Disclosures [Text Block] | Note 15 — Fair Value Measurements Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. In determining fair value, the Company uses various methods including market, income and cost approaches. Based upon these approaches, the Company often utilizes certain assumptions that market participants would use in pricing the asset or liability, including assumptions about risk and/or the risks inherent in the inputs to the valuation technique. These inputs can be readily observable, market-corroborated, or unobservable inputs. The Company utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. Based upon observable inputs used in the valuation techniques, the Company is required to provide information according to the fair value hierarchy. The fair value hierarchy ranks the quality and reliability of the information used to determine fair values into three broad levels as follows:
Level 1: | Valuations for assets and liabilities traded in active markets from readily available pricing sources for market transactions involving identical assets or liabilities.
Level 2: | Valuations for assets and liabilities traded in less active dealer or broker markets. Valuations are obtained from third-party pricing services for identical or similar assets or liabilities.
Level 3: | Valuations incorporate certain assumptions and projections in determining the fair value assigned to such assets or liabilities.
In instances where the determination of the fair value measurement is based upon inputs from different levels of the fair value hierarchy, the level in the fair value hierarchy within which the entire fair value measurement falls is based upon the lowest level input that is significant to the fair value measurement in its entirety. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the asset or liability. The following tables summarize the Company's financial assets and liabilities measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 (in thousands):
|  |  |  |  |  | Fair Value Measurements |
|  |  |  |  |  | as of September 30, 2023 |
|  | Carrying Amount as of |  |  |  |  |  |  |  |  |  |  |  |  |
|  | September 30, 2023 |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Money market funds |  | $ | 56,013 |  |  | $ | 56,013 |  |  | $ | — |  |  | $ | — |
Preferred stock derivative liability |  |  | 28,586 |  |  |  | — |  |  |  | — |  |  |  | 28,586 |
|  |  |  |  |  | Fair Value Measurements |
|  |  |  |  |  | as of December 31, 2022 |
|  | Carrying Amount as of |  |  |  |  |  |  |  |  |  |  |  |  |
|  | December 31, 2022 |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Preferred stock derivative liability |  | $ | 21,918 |  |  | $ | — |  |  | $ | — |  |  | $ | 21,918 |
The following table provides a reconciliation of the beginning and ending balances of liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) (in thousands):
Preferred stock derivative liability |  | 2023 |  |  | 2022 |
Balance, January 1, |  | $ | 21,918 |  |  | $ | 21,282 |
Change in fair value |  |  | 6,668 |  |  |  | 2,065 |
Balance, September 30, |  | $ | 28,586 |  |  | $ | 23,347 |
The Company’s Series A Preferred derivative liability is classified within Level 3 of the fair value hierarchy because unobservable inputs were used in estimating the fair value. The fair value of the redemption provision embedded in the Series A Preferred Stock is estimated based on a discounted cash flow model and probability assumptions based on management’s estimates of a change of control event occurring. The value of the redemption provision explicitly considered the present value of the potential premium that would be paid related to, and the probability of, an event that would trigger its payment. In subsequent periods, the derivative liability is accounted for at fair value, with changes in fair value recognized as other income (expense) on the Company's condensed consolidated statements of operations. The following table provides quantitative information of liabilities measured at fair value and the significant unobservable inputs (Level 3), the range of the significant unobservable inputs, and the valuation techniques.
|  | Fair Value |  | Valuation |  | Unobservable |  | Range |
|  | As of September 30, 2023 |  | Technique |  | Inputs |  | (Weighted Average) |
|  | (In thousands) |  |  |  |  |  |  |
Preferred Stock Derivative Liability |  | $ | 28,586 |  | Discounted Cash Flow |  | Change-in-control probability assumptions |  | Range: 0% to 100% |
|  |  |  |  |  |  | Timing of change-in-control assumptions |  | Range: 1 to 10 years |
|  |  |  |  |  |  | Discount Rate |  | * |
|  |  |  |  |  |  | Market yield* |  | * |
|  | Fair Value |  | Valuation |  | Unobservable |  | Range |
|  | As of December 31, 2022 |  | Technique |  | Inputs |  | (Weighted Average) |
|  | (In thousands) |  |  |  |  |  |  |
Preferred Stock Derivative Liability |  | $ | 21,918 |  | Discounted Cash Flow |  | Change-in-control probability assumptions |  | Range: 0% to 100% |
|  |  |  |  |  |  | Timing of change-in-control assumptions |  | Range: 1 to 10 years |
|  |  |  |  |  |  | Discount Rate |  | ** |
|  |  |  |  |  |  | Implied yield** |  | ** |
*Represents the hypothetical market yield
**Represents the implied yield of the 2021 BSP Term Loan
The Company’s cash and cash equivalents including restricted cash, accounts receivable, accounts payable, and accrued expenses represent financial instruments. The carrying value of these financial instruments is a reasonable approximation of fair value due to the short-term nature of the instruments.

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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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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