Fair Value of Financial Assets and Liabilities (Tables)

3 Months Ended

6 Months Ended

Jun. 30, 2023

Schedule of Assets and Liabilities Measured at Fair Value

The following tables present information about the Company’s financial assets and liabilities measured at fair value on a recurring basis and indicate the level of the fair value hierarchy used to determine such fair values:


	Fair Value Measurements as of June 30, 2023 Using:
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents—money market funds	$	73,021	$	—	$	—	$	73,021
Cash equivalents—treasury bills, federal government agency notes	—		3,971		—		3,971
Marketable securities— treasury bills, federal government agency notes	—		4,881		—		4,881
	$	73,021	$	8,852	$	—	$	81,873
Liabilities:
Embedded derivative liability	$	—	$	—	$	10	$	10
Class C warrant liability	—		—		47,179		47,179
	$	—	$	—	$	47,189	$	47,189


	Fair Value Measurements as of December 31, 2022 Using:
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents—money market funds	$	70,170	$	2,858	$	—	$	73,028
	$	70,170	$	2,858	$	—	$	73,028
Liabilities:
Embedded derivative liability	$	—	$	—	$	10	$	10
Class C warrant liability	—		—		23,131		23,131
	$	—	$	—	$	23,141	$	23,141

Summary of Aggregate Fair Values of Warrant Liability and Derivative Liability

The following table provides a roll-forward of the aggregate fair values financial instruments for which fair values are determined using Level 3 inputs:


(in thousands)	Embedded Derivative Liability		Class C Warrant Liability		Total
Balance as of December 31, 2022	$	10	$	23,131	$	23,141

Change in fair value	—		24,421		24,421
Reclassification of warrant liability to permanent equity upon exercise	—		(373)		(373)
Balance as of June 30, 2023	$	10	$	47,179	$	47,189

Schedule of Share-based Payment Award, Stock Options, Valuation Assumptions


	June 30, 2023		December 31, 2022
Common stock price	$1.94		$0.99
Risk-free interest rate	4.2	%	4.0	%
Expected term (in years)	4.4 years		4.9 years
Expected volatility	97.4	%	101.7	%
Expected dividend yield	—	%	—	%