Financial Instruments

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Financial Instruments

Note 4. Financial Instruments

The following tables summarize the Company’s financial assets and liabilities measured at fair value by level within the fair value hierarchy:

	June 30, 2022
	Adjusted Cost		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	4,423	$	—		$	4,423	$	4,423	$	—
Level 1
Money market funds		72,630		—			72,630		72,630		—
Level 2
U.S. Government securities		58,480		(1,206	)		57,274		—		57,274
U.S. Treasury securities		25,400		(80	)		25,320		—		25,320
Commercial paper		69,098		(392	)		68,706		5,995		62,711
Corporate bonds		152,822		(2,251	)		150,571		—		150,571
Subtotal		305,800		(3,929	)		301,871		5,995		295,876
Total assets	$	382,853	$	(3,929	)	$	378,924	$	83,048	$	295,876
Liabilities
Level 3
Warrant liabilities		273		—			273		—		—
Total liabilities	$	273	$	—		$	273	$	—	$	—

	December 31, 2021
	Adjusted Cost		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	2,765	$	—		$	2,765	$	2,765	$	—
Level 1
Money market funds		38,045		—			38,045		38,045		—
Level 2
U.S. Government securities		45,982		(66	)		45,916		—		45,916
U.S. Treasury securities		80,500		(7	)		80,493		26,000		54,493
Commercial paper		94,887		(15	)		94,872		—		94,872
Corporate bonds		182,338		(435	)		181,903		—		181,903
Municipal securities		1,017		(1	)		1,016		—		1,016
Subtotal		404,724		(524	)		404,200		26,000		378,200
Total assets	$	445,534	$	(524	)	$	445,010	$	66,810	$	378,200
Liabilities
Level 3
Warrant liabilities		1,060		—			1,060		—		—
Total liabilities	$	1,060	$	—		$	1,060	$	—	$	—

The fair value of the private placement warrant liabilities is based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. In determining the fair value of the warrant liabilities, the Company used the Black-Scholes option-pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate, and dividend yield.

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments (in thousand):

	June 30, 2022			December 31, 2021
Fair value, beginning balance	$	1,060		$	—
Private placement warrant liability acquired as part of the merger		—			3,014
Change in the fair value included in other income, net		(787	)		(1,954	)
Fair value, closing balance	$	273		$	1,060

The key inputs into the Black-Scholes option pricing model for the private warrants were as follows for the relevant periods:

	June 30, 2022			December 31, 2021
Expected term (years)		3.7			4.2
Expected volatility		70.8	%		60.3	%
Risk-free interest rate		2.97	%		1.14	%
Dividend yield		0	%		0	%
Exercise Price	$	11.50		$	11.50