Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements and Fair Value of Financial Instruments (Tables)

v3.23.2
Fair Value Measurements and Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Measurement Inputs and Valuation Techniques The value of the Public Warrants and Private Placement Warrants was determined by using a Black-Scholes Model with the following assumptions:
June 30,
2023		 December 31,
2022
Exercise Price $11.50 —
Fair value of common stock $0.35 —
Expected term (in years) 4.01 —
Volatility 69.00% —
Risk-free interest rate 4.31% —
Dividend yield — —
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022 by level within the fair value hierarchy (in thousands):
June 30, 2023
Level 1 Level 2 Level 3 Total
Financial Assets:
Cash equivalents:
Money market funds $ 78,742  $ —  $ —  $ 78,742 
Total $ 78,742  $ —  $ —  $ 78,742 
Financial Liabilities:
Additional Shares $ —  $ —  $ 900  $ 900 
Earn-Out Shares —  —  3,064  3,064 
Private Placement Warrants —  —  40  40 
Public Warrants —  —  48  48 
Structural Derivative Liability —  —  7,740  7,740 
Total $ —  $ —  $ 11,792  $ 11,792 
December 31, 2022
Level 1 Level 2 Level 3 Total
Financial Assets:
Cash equivalents:
Money market funds $ 74,990  $ —  $ —  $ 74,990 
Total $ 74,990  $ —  $ —  $ 74,990 
Financial Liabilities:
Additional Shares $ —  $ —  $ 580  $ 580 
Earn-Out Shares —  —  4,122  4,122 
Private Placement Warrants —  670  —  670 
Public Warrants 805  —  —  805 
Structural Derivative Liability —  —  7,050  7,050 
Total $ 805  $ 670  $ 11,752  $ 13,227 
Schedule of Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following table provides a summary of changes in the estimated fair value of the Additional Shares liability (in thousands):
Balance at December 31, 2022 $ 580 
Change in fair value of Additional Shares Liability 320 
Balance at June 30, 2023 $ 900 
The following table provides a summary of changes in the estimated fair value of the Earn-Out liability (in thousands):
Balance at December 31, 2022 $ 4,122 
Cancellation of Earn-Out Shares (347)
Change in fair value (711)
Balance at June 30, 2023 $ 3,064 
The following table provides a summary of changes in the estimated fair value of the Private Placement
Warrants and Public Warrants (in thousands):
Private Placement Warrants Public Warrants Total
Balance at December 31, 2022 $ 670  $ 805  $ 1,475 
Cancellation of warrants —  (4) (4)
Changes in fair value (630) (753) (1,383)
Balance at June 30, 2023 $ 40  $ 48  $ 88 
The following table provides a summary of changes in the estimated fair value of the Structural Derivative Liability (in thousands):
Balance at December 31, 2022 $ 7,050 
Change in fair value 690 
Balance at June 30, 2023 $ 7,740