Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.22.2.2
Fair Value Measurement (Tables)
9 Months Ended
Sep. 30, 2022
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items]  
Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables present the Company’s fair value hierarchy for its financial instruments that are measured at fair value on a recurring basis.

 

 

September 30, 2022

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

5,090

 

 

$

 

 

$

 

 

$

5,090

 

Commercial paper

 

 

 

 

 

2,597

 

 

 

 

 

 

2,597

 

 

 

$

5,090

 

 

$

2,597

 

 

$

 

 

$

7,687

 

Marketable securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. treasury bills and bonds

 

$

3,675

 

 

$

 

 

$

 

 

$

3,675

 

Corporate securities

 

 

 

 

 

6,432

 

 

 

 

 

 

6,432

 

Commercial paper

 

 

 

 

 

2,581

 

 

 

 

 

 

2,581

 

U.S. government and agency securities

 

 

 

 

 

9,710

 

 

 

 

 

 

9,710

 

 

 

$

3,675

 

 

$

18,723

 

 

$

 

 

$

22,398

 

Long-term liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Public Warrants

 

$

1,380

 

 

$

 

 

$

 

 

$

1,380

 

Private Warrants

 

 

 

 

 

261

 

 

 

 

 

 

261

 

Credit Agreement Warrants

 

 

 

 

 

2,405

 

 

 

 

 

 

2,405

 

Contingent earnout liability

 

 

 

 

 

 

 

 

429

 

 

 

429

 

 

 

$

1,380

 

 

$

2,666

 

 

$

429

 

 

$

4,475

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2021 (1)

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Long-term liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Public Warrants

 

$

5,060

 

 

$

 

 

$

 

 

$

5,060

 

Private Warrants

 

 

 

 

 

6,422

 

 

 

 

 

 

6,422

 

Contingent earnout liability

 

 

 

 

 

 

 

 

10,026

 

 

 

10,026

 

 

 

$

5,060

 

 

$

6,422

 

 

$

10,026

 

 

$

21,508

 

(1) There were no cash equivalents or marketable securities as of December 31, 2021.

Summary of Change in Fair Value of Level 3 Financial Instruments

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis:

 

 

 

Contingent
 Earnout
Liability

 

 

Contingent
 Interest
 Embedded
 Derivative

 

 

Warrant
Liability

 

Fair value as of December 31, 2020

 

$

 

 

$

 

 

$

4,007

 

Issuance of warrants to Silicon Valley Bank

 

 

 

 

 

 

 

 

308

 

Conversion of Silicon Valley Bank warrants to Class A common stock

 

 

 

 

 

 

 

 

(308

)

Exercise of series C preferred warrants

 

 

 

 

 

 

 

 

(891

)

Contingent interest embedded derivative recognized relating to the FP Term Loan agreement

 

 

 

 

 

8,922

 

 

 

 

Contingent interest embedded derivative derecognized upon the execution of the FP Term Loan amendment

 

 

 

 

 

(8,922

)

 

 

 

Contingent earnout liability recognized upon the closing of the reverse recapitalization

 

 

58,275

 

 

 

 

 

 

 

Change in fair value of contingent earnout liability

 

 

22,142

 

 

 

 

 

 

 

Change in fair value of warrant liabilities

 

 

 

 

 

 

 

 

19,466

 

Transferred to Level 2 upon the closing of the reverse recapitalization

 

 

 

 

 

 

 

 

(22,582

)

Fair value as of September 30, 2021

 

$

80,417

 

 

$

 

 

$

 

 

 

 

 

 

 

 

 

 

 

Fair value as of December 31, 2021

 

$

10,026

 

 

$

 

 

$

 

Change in fair value of contingent earnout liability

 

 

(9,597

)

 

 

 

 

 

 

Fair value as of September 30, 2022

 

$

429

 

 

$

 

 

$

 

Schedule of Cash and Cash Equivalents and Investments

The following table summarizes the Company's cash, cash equivalents and available-for-sale securities by significant marketable securities category:

 

 

 

September 30, 2022

 

 

 

Amortized Cost

 

 

Unrealized Gains

 

 

Unrealized Losses

 

 

Fair Value

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

51,756

 

 

$

 

 

$

 

 

$

51,756

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

 

5,090

 

 

 

 

 

 

 

 

 

5,090

 

Commercial paper

 

 

2,598

 

 

 

 

 

 

(1

)

 

 

2,597

 

 

 

$

59,444

 

 

$

 

 

$

(1

)

 

$

59,443

 

Marketable Securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. treasury bills and bonds

 

$

3,684

 

 

$

 

 

$

(9

)

 

$

3,675

 

Corporate securities

 

 

6,481

 

 

 

 

 

 

(49

)

 

 

6,432

 

Commercial paper

 

 

2,590

 

 

 

 

 

 

(9

)

 

 

2,581

 

U.S. government and agency securities

 

 

9,729

 

 

 

 

 

 

(19

)

 

 

9,710

 

 

 

$

22,484

 

 

$

 

 

$

(86

)

 

$

22,398

 

Amortized cost and estimated fair value of marketable securities

The following table represents amortized cost and estimated fair value of marketable securities, by contractual maturity:

 

 

 

 

 

 

 

September 30, 2022

 

 

 

 

 

 

 

Amortized Cost

 

 

Fair Value

 

Due in one year or less

 

 

 

 

 

$

22,484

 

 

$

22,398

 

Private Warrants  
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items]  
Schedule of Quantitative Information Regarding Warrant Liability

The table below quantifies the significant inputs used for the Private Warrants:

 

 

 

September 30,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Fair value of the Company’s Class A common stock

 

$

1.08

 

 

$

3.38

 

Exercise price

 

$

11.50

 

 

$

11.50

 

Risk-free interest rate

 

 

3.83

%

 

 

1.26

%

Expected volatility factor

 

 

60.0

%

 

 

70.0

%

Expected dividend yield

 

 

%

 

 

%

Remaining contractual term (in years)

 

 

3.9

 

 

 

4.6

 

Contingent Earnout Liability  
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items]  
Schedule of Quantitative Information Regarding Warrant Liability

The table below quantifies the significant inputs used for the contingent earnout liability:

 

 

 

September 30,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Fair value of the Company’s Class A common stock

 

$

1.08

 

 

$

3.38

 

Risk-free interest rate

 

 

4.12

%

 

 

1.26

%

Expected volatility factor

 

 

60.0

%

 

 

70.0

%

Expected dividend yield

 

 

%

 

 

%

Remaining contractual term (in years)

 

 

0.004

 

 

 

0.004

 

Credit Agreement Warrants  
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items]  
Schedule of Quantitative Information Regarding Warrant Liability

The table below quantifies the significant inputs used for the Credit Agreement Warrants:

 

 

 

September 30,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Fair value of the Company’s Class A common stock

 

$

1.08

 

 

$

 

Exercise price

 

$

2.01

 

 

$

 

Risk-free interest rate

 

 

3.83

%

 

 

%

Expected volatility factor

 

 

60.0

%

 

 

%

Expected dividend yield

 

 

%

 

 

%

Remaining contractual term (in years)

 

 

9.7