Marketable Securities and Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Summary of Investment Securities Classified as Available-for-sale

The Company’s investment in marketable securities at September 30, 2022 is as follows:

	September 30, 2022
(in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Cash equivalents:
U.S. Treasury Bills	$	32,400	$	1	$	(1)	$	32,400
Marketable securities:
Short-term U.S. Treasuries (1)	29,164		—		(10)		29,154
Long-term U.S. Treasuries (2)	58,267		12		(64)		58,215
Total available for sale securities	$	119,831	$	13	$	(75)	$	119,769

(1)    Short-term U.S. Treasuries have maturity dates within one year of September 30, 2022.

(2)    Long-term U.S. Treasuries have maturity dates after one year through five years of September 30, 2022.

Summary of Carrying Amounts of Financial Instruments

The following table presents the carrying amounts of the Company’s financial instruments at September 30, 2022 and December 31, 2021:

	September 30, 2022
(in thousands)	Total		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	61,425	$	29,025	$	32,400	—
Marketable securities	29,154		—		29,154		—
Non-current investments	58,215		—		58,215		—
Accounts receivable	34,820		34,820		—		—
Other receivables	559		559		—		—
Financial liabilities:
Accounts payable	$	11,155	$	11,155	$	—	—
Derivative warrant liabilities	1,748		—		—		1,748
Earnout liabilities	6,197		—		—		6,197
Conversion option derivative liabilities	12,650		—		—		12,650

	December 31, 2021
(in thousands)	Total		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	115,174	$	115,174	$	—	$	—
Accounts receivable	20,007		20,007		—		—
Other receivables	1,237		1,237		—		—
Financial liabilities:
Accounts payable	$	15,559	$	15,559	$	—	$	—
Derivative warrant liabilities	2,193		—		—		2,193
Earnout liabilities	60,018		—		—		60,018

Summary of Changes in Fair Value of Level 3 Warrant Liabilities

The following table presents information about the Company’s Level 3 liabilities that are measured at fair value on a recurring basis at September 30, 2022:

(in thousands)	Private Warrant Liability		Earnout Liability		Conversion Option Derivative Liability
Balance at December 31, 2021	$	2,193	$	60,018	$	—
Conversion option derivative liability acquired (See Note 11 for detail)	—		—		28,160
Change in fair value included in other expense	(445)		(53,821)		(15,510)
Balance at September 30, 2022	$	1,748	$	6,197	$	12,650

Schedule of Assumptions used in the Valuation of Derivative Liabilities

A summary of the inputs used in the valuations is as follows:

	September 30, 2022
	Derivative Warrant Liability			First Tranche Earnout			Second Tranche Earnout			Convertible Note Warrant Derivative Liability			Conversion Option Derivative Liability
Unit price	$	4.63		$	4.63		$	4.63		$	4.63		$	4.63
Term (in years)	4.12			1.55			1.65			4.86			4.86
Volatility	49.00		%	45.00		%	45.00		%	40.00		%	40.00		%
Risk-free rate	4.10		%	4.22		%	4.22		%	4.02		%	4.02		%
Dividend yield	—			—			—			—			—
Cost of equity	—			14.00		%	14.00		%	—			—

	December 31, 2021
	Derivative Warrant Liability			First Tranche Earnout			Second Tranche Earnout
Unit price	$	9.75		$	9.75		$	9.75
Term (in years)	4.87			1.87			2.87
Volatility	12.80		%	35.00		%	35.00		%
Risk-free rate	1.24		%	0.94		%	0.94		%
Dividend yield	—			—			—
Cost of equity	—			11.14		%	11.14		%

On August 9, 2022, the Company issued a senior secured convertible note that contains embedded warrant, optional redemption, and conversion option features. Due to the economic disincentive to redeem and the make whole amount that would be required to be paid, it is highly unlikely that the optional redemption would occur, reducing the value during the

period to a qualitatively immaterial amount. See Note 11 for additional detail. A summary of the inputs used in the initial measurement of the convertible note warrant and conversion option derivative liabilities is as follows:

	August 9, 2022
	(Initial Measurement)
	Convertible Note Warrant Derivative Liability			Conversion Option Derivative Liability
Unit price	$	6.63		$	6.63
Term (in years)	5.00			5.00
Volatility	42.5		%	42.5		%
Risk-free rate	3.0		%	3.0		%
Dividend yield	0.0		%	0.0		%
Cost of equity	0.0		%	0.0		%