Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Financial Assets and Liabilities at Fair value on a Recurring Basis

The Company measures the following financial assets at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during any of the periods presented. The following tables set forth the Company’s financial assets and liabilities carried at fair value categorized using the lowest level of input applicable to each financial instrument as of September 30, 2022 and December 31, 2021 (in thousands):

	Balance at September 30, 2022		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Liabilities:
Derivative warrant liability	$	186	$	—	$	186	$	—
Derivative liability		1,792		—		—		1,792
	$	1,978	$	—	$	186	$	1,792

	Balance at December 31, 2021		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
US Treasury securities		9,996		9,996		—		—
	$	9,996	$	9,996	$	—	$	—

Summary of Contingent Interest Payments

The estimated fair value of the derivative at September 30, 2022 was determined using a probability-weighted discounted cash flow model that includes contingent interest payments under the following scenarios:

	Probability
4% contingent interest beginning in Q1 2023		50	%

Roll-Forward of Fair Value of Derivative Liability

The following table provides a roll-forward of the fair value of the derivative liability (in thousands):

Balance at December 31, 2021	$	—
Change in fair value of derivative liability		1,675
Balance at June 30, 2022		1,675
Change in fair value of derivative liability		117
Balance at September 30, 2022	$	1,792