Financial Instruments

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Financial Instruments

Note 3. Financial Instruments

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

	September 30, 2023
	Adjusted Cost		Unrealized Gains		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	19,976	$	—	$	—		$	19,976	$	19,976	$	—
Level 1
Money market funds		11,123		—		—			11,123		11,123		—
Level 2
U.S. agency securities		70,918		—		(499	)		70,419		—		70,419
U.S. Treasury securities		3,491		—		(24	)		3,467		1,991		1,476
Commercial paper		38,794		—		(40	)		38,754		7,460		31,294
Corporate bonds		90,370		—		(418	)		89,952		—		89,952
Subtotal		203,573		—		(981	)		202,592		9,451		193,141
Total assets	$	234,672	$	-	$	(981	)	$	233,691	$	40,550	$	193,141
Liabilities
Level 3
Warrant liabilities	$	22	$	—	$	—		$	22	$	—	$	—
Total liabilities	$	22	$	—	$	—		$	22	$	—	$	—

	December 31, 2022
	Adjusted Cost		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	17,980	$	—		$	17,980	$	17,980	$	—
Level 1
Money market funds		44,443		—			44,443		44,443		—
Level 2
U.S. agency securities		65,493		(1,518	)		63,975		—		63,975
U.S. Treasury securities		14,953		(111	)		14,842		—		14,842
Commercial paper		40,859		(100	)		40,759		4,997		35,762
Corporate bonds		143,669		(1,856	)		141,813		—		141,813
Subtotal		264,974		(3,585	)		261,389		4,997		256,392
Total assets	$	327,397	$	(3,585	)	$	323,812	$	67,420	$	256,392
Liabilities
Level 3
Warrant liabilities	$	90	$	—		$	90	$	—	$	—
Total liabilities	$	90	$	—		$	90	$	—	$	—

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):

	September 30, 2023			December 31, 2022
Fair value, beginning balance	$	90		$	1,060
Change in the fair value included in other income, net		(68	)		(970	)
Fair value, closing balance	$	22		$	90

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

	September 30, 2023			December 31, 2022
Expected term (years)		2.4			3.2
Expected volatility		95.3	%		88.2	%
Risk-free interest rate		4.92	%		4.22	%
Dividend yield		0	%		0	%
Exercise Price	$	11.50		$	11.50