Fair Value Measurement

3 Months Ended

Mar. 31, 2023

Note 3. Fair Value Measurement

The following tables summarize the Company’s financial assets and liabilities that are measured at fair value on a recurring basis (in thousands):


	As of March 31, 2023
	Level 1		Level 2		Level 3		Total
Assets:
Money market funds (1)	$	18,530	$	—	$	—	$	18,530
Commercial paper		—		8,736		—		8,736
Corporate bonds		—		7,332		—		7,332
Government bonds		—		17,869		—		17,869
Total financial assets measured at fair value	$	18,530	$	33,937	$	—	$	52,467

Liabilities(2):
Public Warrants	$	273	$	—	$	—	$	273
PIPE Warrants		—		318		—		318
Total financial liabilities measured at fair value	$	273	$	318	$	—	$	591


	As of December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Money market funds (1)	$	9,194	$	—	$	—	$	9,194
Commercial paper		—		22,549		—		22,549
Corporate bonds		—		10,797		—		10,797
Government bonds		—		17,802		—		17,802
Government agency debt securities(1)		—		3,982		—		3,982
Total financial assets measured at fair value	$	9,194	$	55,130	$	—	$	64,324

Liabilities(2):
Public Warrants	$	151	$	—	$	—	$	151
PIPE Warrants		—		175		—		175
Total financial liabilities measured at fair value	$	151	$	175	$	—	$	326

(1)

They are included in cash and cash equivalents on the condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022.

(2)

See Note 10.

There were no changes to the valuation methods utilized and there were no transfers of financial instruments between Level 1, Level 2, and Level 3 during the three months ended March 31, 2023.

Commercial paper, corporate bonds, government bonds and government agency debt securities are classified as Level 2 as they were valued based upon quoted market prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-based valuation techniques for which all significant inputs are observable in the market or can be corroborated by observable market data for substantially the full term of the assets.

The Public Warrants are classified as Level 1 due to the use of an observable market quote in an active market. The PIPE Warrants are classified as Level 2 due to the use of observable market data for identical or similar liabilities. The fair value of each PIPE Warrant was determined to be equivalent to that of a Public Warrant because the PIPE Warrants are also subject to the make-whole redemption feature, which allows the Company to redeem both types of warrants on similar terms when the stock price is in the range of $10 to $18 per share.

The following tables provide the Company’s marketable securities by security type (in thousands):


	As of March 31, 2023
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Commercial paper	$	8,736	$	—	$	—		$	8,736
Corporate bonds		7,335		—		(3	)		7,332
Government bonds		17,916		5		(52	)		17,869
Total short-term marketable securities	$	33,987	$	5	$	(55	)	$	33,937


	As of December 31, 2022
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Commercial paper	$	22,549	$	—	$	—		$	22,549
Corporate bonds		10,817		1		(21	)		10,797
Government bonds		18,023		—		(221	)		17,802
Total short-term marketable securities	$	51,389	$	1	$	(242	)	$	51,148

The following table indicates the length of the time that individual securities have been in a continuous unrealized loss position (dollars in thousands):


	As of March 31, 2023						As of December 31, 2022
			Less Than 12 Months						Less Than 12 Months
	Number of Investments		Fair Value		Unrealized Losses		Number of Investments		Fair Value		Unrealized Losses
Corporate bonds		2	$	4,242	$	3		4	$	9,719	$	21
Government bonds		2		11,947		52		3		17,802		221
Total		4	$	16,189	$	55		7	$	27,521	$	242

As of March 31, 2023 and December 31, 2022, all short-term marketable securities had maturities of one year or less. There have been no significant realized gains or losses on the marketable securities during the three months ended March 31, 2023 and 2022. The Company periodically reviews the available-for-sale investments for credit losses. All investments with unrealized losses have been in a loss position for less than 12 months. The Company determined that the unrealized loss was primarily attributed to changes in current market interest rates and not to credit quality. The Company does not intend to sell the marketable securities that are in an unrealized loss position, nor is it more likely than not that the Company will be required to sell the marketable securities before the recovery of the amortized cost basis, which may be at maturity. As a result, the Company did not recognize any allowance for credit losses as of March 31, 2023.

- 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.

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