Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables are summaries of fair value measurements and hierarchy level as of:

	March 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Money market funds	$	—	$	—	$	—	$	—
Equity securities	552		—		—		552
Fixed maturity debt securities, including cash equivalents	—		118,347		—		118,347
Total Assets	$	552	$	118,347	$	—	$	118,899
Liabilities:
Merger warrants liability	2,939		1,752		—		4,691
Earnout shares liability	—		—		3,650		3,650
Total Liabilities	$	2,939	$	1,752	$	3,650	$	8,341

	December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Money market funds	$	—	$	—	$	—	$	—
Equity securities	558		—		—		558
Fixed maturity debt securities	—		135,346		—		135,346
Total Assets	$	558	$	135,346	$	—	$	135,904
Liabilities:
Merger warrants liability	$	3,941	$	2,350	$	—	$	6,291
Earnout shares liability	—		—		7,679		7,679
Total Liabilities	$	3,941	$	2,350	$	7,679	$	13,970

Schedule of Reconciliation of the Redeemable Convertible Preferred Stock and Warrant Liability

The following tables set forth a summary of changes in the estimated fair value of the Company’s Level 3 redeemable convertible preferred stock tranche obligation, historic warrants liability and earnout shares for the three months ended March 31, 2022 and 2021:

	January 1, 2022		Issuances		Settlements		Change in fair value		March 31, 2022
Earnout shares	7,679		—		—		(4,029)		3,650
Total	$	7,679	$	—	$	—	$	(4,029)	$	3,650

	January 1, 2021		Issuances		Settlements		Change in fair value		March 31, 2021
Redeemable convertible preferred stock tranche obligation	$	2,832	$	—	$	(2,832)	$	—	$	—
Historic warrants liability	144				(144)		—		—
Earnout shares	—		74,284		—		(31,846)		42,438
Total	$	2,976	$	74,284	$	(2,976)	$	(31,846)	$	42,438

Schedule of Significant Inputs Used

The table below summarizes the significant observable inputs used when valuing the earnout shares as of:

	March 31, 2022		March 31, 2021
Expected volatility	85.00	%	80.00	%
Starting stock price	$1.37		$7.13
Expected term (in years)	3.7 years		4.70 years
Risk-free interest rate	2.44	%	0.87	%
Earnout hurdle	$12.50-$15.00		$12.50-$15.00