XML 20 R11.htm IDEA: XBRL DOCUMENT
v3.23.1

Fair Value Measurements | 3 Months Ended
--- | ---
Mar. 31, 2023
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | NOTE 3. FAIR VALUE MEASUREMENTS The Company measures certain financial assets and liabilities at fair value on a recurring basis. Fair value is an exit price, representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. As such, fair value is a market-based measurement that should be determined based on assumptions that market participants would use in pricing an asset or a liability. A three-tier fair value hierarchy is established as a basis for considering such assumptions and for inputs used in the valuation methodologies in measuring fair value:
| ● | Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities at the measurement date;
| ● | Level 2 – Inputs are observable, unadjusted quoted prices in active markets for similar assets or liabilities, unadjusted quoted prices for identical or similar assets or liabilities in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the related assets or liabilities; and
| ● | Level 3 – Unobservable inputs that are significant to the measurement of the fair value of the assets or liabilities that are supported by little or no market data.
In determining fair value, the Company utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs to the extent possible as well as considers counterparty credit risk in its assessment of fair value. Assets and liabilities measured at fair value are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires management to make judgments and consider factors specific to the asset or liability. The fair value of Level 1 securities is determined using quoted prices in active markets for identical assets. As of December 31, 2022, Level 1 securities consisted of highly liquid money market funds and common stock warrant liability. In addition, restricted cash collateralized by money market funds is a financial asset measured at fair value and is a Level 1 financial instrument under the fair value hierarchy. As of March 31, 2023, Level 1 securities included money market funds. As a result of the warrant liability being reclassified to equity during the three months ended March 31, 2023, the common stock warrants are no longer securities that are measured at fair value at period end (see Note 7). Financial assets and liabilities are considered Level 2 when their fair values are determined using inputs that are observable in the market or can be derived principally from or corroborated by observable market data, such as pricing for similar securities, recently executed transactions, cash flow models with yield curves, and benchmark securities. In addition, Level 2 financial instruments are valued using comparisons to like-kind financial instruments and models that use readily observable market data as their basis. The Company had no financial instruments classified at Level 2 as of March 31, 2023 and December 31, 2022. Financial assets and liabilities are considered Level 3 when their fair values are determined using pricing models, discounted cash flow methodologies, or similar techniques and at least one significant model assumption or input is unobservable. Level 3 liabilities that are measured at fair value on a recurring basis included the earnout liability, which was recognized in connection with the Business Combination in September 2021. During the periods presented, the Company has not changed the manner in which it values liabilities that are measured at estimated fair value using Level 3 inputs. There were no transfers within the hierarchy during the three months ended March 31, 2023 and 2022. The following tables set forth the fair value of the Company’s financial assets and liabilities measured on a recurring basis by level within the fair value hierarchy (in thousands):
|  | March 31, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Financial assets |  |  |  |  |  |  |  |  |  |  |  |
Money market funds |  | $ | 126,836 |  |  | $ | - |  |  | $ | - |  |  | $ | 126,836 |
Total fair value of assets |  | $ | 126,836 |  |  | $ | - |  |  | $ | - |  |  | $ | 126,836 |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Earnout liability |  | $ | - |  |  | $ | - |  |  | $ | 782 |  |  | $ | 782 |
Total fair value of financial liabilities |  | $ | - |  |  | $ | - |  |  | $ | 782 |  |  | $ | 782 |
|  | December 31, 2022 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Financial assets |  |  |  |  |  |  |  |  |  |  |  |
Money market funds |  | $ | 37,250 |  |  | $ | - |  |  | $ | - |  |  | $ | 37,250 |
Total fair value of assets |  | $ | 37,250 |  |  | $ | - |  |  | $ | - |  |  | $ | 37,250 |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common stock warrant liability |  | $ | 150 |  |  | $ | - |  |  | $ | - |  |  | $ | 150 |
Earnout liability |  |  | - |  |  |  | - |  |  |  | 18 |  |  |  | 18 |
Total fair value of financial liabilities |  | $ | 150 |  |  | $ | - |  |  | $ | 18 |  |  | $ | 168 |
The following table sets forth a summary of the changes in the fair value of the Company’s Level 3 financial liabilities (in thousands):
|  | Earnout Liability |
Fair Value as of January 1, 2022 |  | $ | 5,743 |
Change in the fair value included in other income |  |  | (4,593 | )
Fair Value as of March 31, 2022 |  | $ | 1,150 |
Fair Value as of January 1, 2023 |  | $ | 18 |
Change in the fair value included in other expense |  |  | 764 |
Fair Value as of March 31, 2023 |  | $ | 782 |
The estimated fair value of the earnout liability is determined using a Monte Carlo simulation model, which uses a distribution of potential outcomes on a monthly basis over the earnout period prioritizing the most reliable information available. The assumptions utilized in the calculation are based on the achievement of certain stock price milestones, including the Company’s current common stock price, expected volatility, risk-free rate and expected term. The estimates of fair value are uncertain and changes in any of the estimated inputs used as of the date of this report could have resulted in significant adjustments to the fair value. The following table presents quantitative information about the inputs and valuation methodologies used for the Company’s fair value measurement classified in Level 3 of the fair value hierarchy at March 31, 2023:
|  | Fair value (in thousands) |  |  | Valuation methodology |  | Significant unobservable input
Earnout liability |  | $ | 782 |  |  | Monte Carlo Simulation |  | Common stock price |  | $ | 1.81 |
|  |  |  |  |  |  |  | Expected term (in years) |  |  | 1.49 |
|  |  |  |  |  |  |  | Expected volatility |  |  | 140.0 | %
|  |  |  |  |  |  |  | Risk-free interest rate |  |  | 4.26 | %
The following table presents quantitative information about the inputs and valuation methodologies used for the Company’s fair value measurement classified in Level 3 of the fair value hierarchy at December 31, 2022:
|  | Fair value (in thousands) |  |  | Valuation methodology |  | Significant unobservable input
Earnout liability |  | $ | 18 |  |  | Monte Carlo Simulation |  | Common stock price |  | $ | 0.48 |
|  |  |  |  |  |  |  | Expected term (in years) |  |  | 1.73 |
|  |  |  |  |  |  |  | Expected volatility |  |  | 105.0 | %
|  |  |  |  |  |  |  | Risk-free interest rate |  |  | 4.40 | %

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration