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Fair Value of Financial Instruments (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table provides the assets and liabilities measured at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques utilized by the Company to determine such value at December 31:

 

 

 

2021

 

 

 

Fair Value

 

 

Quoted Prices in Active Markets for Identical Assets
(Level 1)

 

 

Significant Other Observable Inputs
(Level 2)

 

 

Significant Unobservable Inputs
(Level 3)

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

84,102

 

 

$

84,102

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Contingent earnout

 

$

524

 

 

$

 

 

$

 

 

$

524

 

 

 

 

2020

 

 

 

Fair Value

 

 

Quoted Prices in Active Markets for Identical Assets
(Level 1)

 

 

Significant Other Observable Inputs
(Level 2)

 

 

Significant Unobservable Inputs
(Level 3)

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

50,897

 

 

$

50,897

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrants

 

$

1,914

 

 

$

 

 

$

 

 

$

1,914

 

Forward obligation

 

$

2,750

 

 

$

 

 

$

 

 

$

2,750

 

Contingent earnout

 

$

930

 

 

$

 

 

$

 

 

$

930

 

Schedule of Rollforward of the Estimate Fair Values for Instruments

The following tables present the rollforward of the estimated fair values for instruments classified by the Company within Level 3 of the fair value hierarchy defined above, measured using significant unobservable inputs:

 

 

 

Warrant
liabilities

 

 

Forward
obligation

 

 

Contingent
earnout

 

 

Total

 

 

 

(in thousands)

 

December 31, 2020

 

$

1,914

 

 

$

2,750

 

 

$

930

 

 

$

5,594

 

Payment of contingent earnout

 

 

 

 

 

 

 

 

(667

)

 

 

(667

)

Addition

 

 

2,135

 

 

 

 

 

 

 

 

 

2,135

 

Change in fair value

 

 

(71

)

 

 

(52

)

 

 

261

 

 

 

138

 

Reclassification to equity upon initial public offering

 

 

(3,978

)

 

 

 

 

 

 

 

 

(3,978

)

Settlement of forward obligation into common stock on initial public offering

 

 

 

 

 

(2,698

)

 

 

 

 

 

(2,698

)

December 31, 2021

 

$

 

 

$

 

 

$

524

 

 

$

524

 

 

 

 

Warrant
liabilities

 

 

Forward
obligation

 

 

Contingent
earnout

 

 

Total

 

 

 

(in thousands)

 

December 31, 2019

 

$

2,260

 

 

$

2,500

 

 

$

2,390

 

 

$

7,150

 

Payment of contingent earnout

 

 

 

 

 

 

 

 

(987

)

 

 

(987

)

Change in fair value

 

 

(346

)

 

 

250

 

 

 

(473

)

 

 

(569

)

December 31, 2020

 

$

1,914

 

 

$

2,750

 

 

$

930

 

 

$

5,594

 

Summary of Warrants

Warrants at December 31 included the following:

 

 

 

 

 

 

 

 

 

Warrants outstanding

 

 

Estimated fair value

 

Warrants

 

Number of warrants issued

 

 

Exercise price per share

 

 

2021

 

 

2020

 

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(in thousands)

 

Series C-1

 

 

27,397

 

 

$

10.95

 

 

 

27,397

 

 

 

27,397

 

 

$

225

 

Series D

 

 

54,793

 

 

$

17.80

 

 

 

54,793

 

 

 

54,793

 

 

 

500

 

Series E

 

 

49,315

 

 

$

20.08

 

 

 

49,315

 

 

 

49,315

 

 

 

575

 

Series E

 

 

49,314

 

 

$

20.08

 

 

 

49,314

 

 

 

49,314

 

 

 

614

 

Series E

 

 

150,684

 

 

$

20.08

 

 

 

150,684

 

 

 

 

 

 

 

 

 

 

331,503

 

 

 

 

 

 

331,503

 

 

 

180,819

 

 

$

1,914

 

Summary of Fair Values Determined Using Option-Pricing Model

As of December 31, 2020, warrants fully vested and outstanding had estimated fair values ranging between $7.78 to $12.45. Fair values were determined using the option-pricing model with the following input assumptions for the year ended December 31:

 

 

 

2021 (1)

 

2020

Expected volatility range (weighted average)

 

78.86% to 87.02% (83.73%)

 

78.57 to 81.37% (79.91%)

Dividend yield

 

0.00%

 

0.00%

Risk-free interest rates range (weighted average)

 

0.30% to 1.25% (1.07%)

 

0.17% to 0.81% (0.65%)

Expected term range (average)

 

2.35 years to 10.00 years (8.02 years)

 

3.00 years to 8.77 years (7.26 years)

 

 

 

 

 

(1) For period from beginning of the year to completion of the IPO, November 2, 2021