Fair Value Measurements

6 Months Ended

Jun. 30, 2023

The Company’s assets and liabilities that were measured at fair value on a recurring basis were as follows:


	Fair Value Measured as of June 30, 2023
	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets
Money market funds (i)	$	25,744	$	—	$	—	$	25,744
U.S. Treasury securities (ii)	10,358		—		—		10,358
Corporate bonds (ii)	—		8,117		—		8,117
Total financial assets	$	36,102	$	8,117	$	—	$	44,219
Liabilities
Common stock warrant liabilities (Public) (iii)	$	2,842	$	—	$	—	$	2,842
Common stock warrant liabilities (Private Placement) (iii)	—		—		1,488		1,488
Common stock warrant liabilities (2022 Private Warrant) (iii)	—		—		140		140
Contingent earnout liabilities	—		—		25,224		25,224
Total financial liabilities	$	2,842	$	—	$	26,852	$	29,694

	Fair Value Measured as of December 31, 2022
	Level 1		Level 2		Level 3		Total
	(In thousands)
Assets
Money market funds (i)	$	31,728	$	—	$	—	$	31,728
U.S. Treasury securities (ii)	24,701		—		—		24,701
Corporate bonds (ii)	—		23,513		—		23,513
Total financial assets	$	56,429	$	23,513	$	—	$	79,942
Liabilities
Common stock warrant liabilities (Public) (iii)	$	1,748	$	—	$	—	$	1,748
Common stock warrant liabilities (Private Placement) (iii)	—		—		888		888
Common stock warrant liabilities (2022 Private Warrant) (iii)	—		—		109		109
Contingent earnout liabilities	—		—		17,414		17,414
Total financial liabilities	$	1,748	$	—	$	18,411	$	20,159

(i) Included in cash and cash equivalents on the condensed consolidated balance sheets.

(ii) Included in short-term investments on the condensed consolidated balance sheets.

(iii) Included in warrant liabilities on the condensed consolidated balance sheets.

For more information regarding the Public Warrants, Private Placement Warrants, the 2022 Private Warrant and the Earnout Shares, see Note 10, Equity Instruments.

The aggregate fair value of the Company’s money market funds approximated amortized cost and, as such, there were no unrealized gains or losses on money market funds as of June 30, 2023 and December 31, 2022. Realized gains and losses, net of tax, were not material for any of the periods presented.

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments:


	December 31, 2022		Change in fair value		March 31, 2023		Change in fair value		June 30, 2023
	(In thousands)

Private placement warrant liabilities	$	888	$	869	$	1,757	$	(269)	$	1,488
2022 Private Warrant	109		37		146		(6)		140
Contingent earnout liabilities	17,414		9,653		27,067		(1,843)		25,224
	$	18,411	$	10,559	$	28,970	$	(2,118)	$	26,852


	December 31, 2021		Change in fair value		March 31, 2022		Change in fair value		June 30, 2022
	(In thousands)

Private placement warrant liabilities	$	7,387	$	2,047	$	9,434	$	(8,054)	$	1,380
Contingent earnout liabilities	111,487		31,232		142,719		(130,226)		12,493
	$	118,874	$	33,279	$	152,153	$	(138,280)	$	13,873

The fair value of the Private Placement Warrant liability, the 2022 Private Warrant and contingent earnout liability are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy.

In determining the fair value of the Private Placement Warrant liability the Company used the Monte Carlo Simulation Model that assumes optimal exercise of the Company’s redemption option at the earliest possible date (see Note 10, Equity Instruments).

In determining the fair value of the 2022 Private Warrant, the Company used the Black-Scholes option pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate and dividend yield (see Note 10, Equity Instruments).

In determining the fair value of the contingent earnout liability, the Company used the Monte Carlo simulation valuation model using a distribution of potential outcomes on a weekly basis over the applicable earnout period using the most reliable information available (see Note 10, Equity Instruments).

- 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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