The Company accounts for its investment securities as available for sale using the fair value election pursuant to ASC 825, where changes in fair value are recorded in Other, net non-operating income (expense) on the Company's Condensed Consolidated Statements of Operations. The Company’s investments in marketable securities at September 30, 2023 and December 31, 2022 is as follows:


	September 30, 2023
(in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Cash equivalents:
U.S. Treasury Bills	$	—	$	—	$	—	$	—
Marketable securities:
Short-term U.S. Treasuries	$	60,211	$	—	$	(334)	$	59,877
Long-term U.S. Treasuries	—		—		—		—
Total available for sale securities	$	60,211	$	—	$	(334)	$	59,877


	December 31, 2022
(in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Cash equivalents:
U.S. Treasury Bills	$	2,573	$	—	$	—	$	2,573
Marketable securities:
Short-term U.S. Treasuries	$	59,876	$	6	$	(86)	$	59,796
Long-term U.S. Treasuries	58,652		—		(298)		58,354
Total available for sale securities	$	121,101	$	6	$	(384)	$	120,723


(in thousands)	Due in One Year or Less		Due After One Year through Five Years		Due After Five Years		Total
Cash equivalents:
U.S. Treasury Bills	$	—	$	—	$	—	$	—
Marketable securities:
Short-term U.S. Treasuries	$	59,877	$	—	$	—	$	59,877
Long-term U.S. Treasuries	—		—		—		—
Total available for sale securities	$	59,877	$	—	$	—	$	59,877


(in thousands)	Due in One Year or Less		Due After One Year through Five Years		Due After Five Years		Total
Cash equivalents:
U.S. Treasury Bills	$	2,573	$	—	$	—	$	2,573
Marketable securities:
Short-term U.S. Treasuries	$	59,796	$	—	$	—	$	59,796
Long-term U.S. Treasuries	10,523		47,831		—		58,354
Total available for sale securities	$	72,892	$	47,831	$	—	$	120,723

The Company recorded a net unrealized loss of $157 and a net unrealized loss of $44 for the three and nine months ended September 30, 2023. At September 30, 2023, six securities were in an unrealized loss position. The decline in fair value of our securities since acquisition was attributable to a combination of changes in interest rates and general volatility in the credit market conditions in response to the economic uncertainty caused by the risk of an upcoming recession and monetary policy. The Company does not currently intend to sell any of the securities in an unrealized loss position and further believe, it is more likely than not, that we will not be required to sell these securities before their anticipated recovery.

Accrued interest receivable on cash equivalents and marketable securities was $270 and $274, respectively, at September 30, 2023 and December 31, 2022, and is included within other receivables in the Condensed Consolidated Balance Sheets.


	September 30, 2023
(in thousands)	Total		Level 1		Level 2		Level 3
Financial assets:

Marketable securities	$	59,877	$	—	$	59,877	$	—

Financial liabilities:
Derivative warrant liabilities	$	292	$	—	$	292	$	—
Earnout liabilities	11		—		—		11
Conversion option derivative liabilities	1,926		—		—		1,926
Contingent consideration liability	1,813		—		1,813		—
Non-recurring fair value measurement:
Goodwill	$	7,230	$	—	$	—	$	7,230

As of September 30, 2023, derivative warrant liabilities of $292 were transferred from a Level 3 to a Level 2 financial instrument as a result of the valuation being based on the market price of our public warrants, which management considers to be a similar and comparable instrument, as compared to the previous valuation which was based on the Binomial Lattice Model.


	December 31, 2022
(in thousands)	Total		Level 1		Level 2		Level 3
Financial assets:
Cash equivalents	$	2,573	$	—	$	2,573	$	—
Marketable securities	59,796		—		59,796		—
Non-current investments	58,354		—		58,354		—
Financial liabilities:
Derivative warrant liabilities	$	350	$	—	$	—	$	350
Earnout liabilities	803		—		—		803
Conversion option derivative liabilities	3,960		—		—		3,960
Non-recurring fair value measurement:
Goodwill	$	21,418	$	—	$	—	$	21,418

The carrying amounts of cash, accounts receivable, other receivables, and accounts payable approximate fair value because of the short maturity and high liquidity of these instruments.

The Company measures its investments (including cash equivalents, marketable securities, and non-current investments) at fair value on a recurring basis and classifies those instruments within Level 2 of the fair value hierarchy. Investment securities, including U.S. Treasury Bills purchased in the secondary market and U.S. Treasury bonds, are classified within Level 2 of the fair value hierarchy because pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined using models or other valuation methodologies.

The Company measures its private derivative warrants at fair value on a recurring basis and classifies those instruments within Level 2 of the fair value hierarchy because the valuation is based on an observable input of a similar instrument. The Company measures its earnout, convertible note warrant derivative liability, optional redemption derivative liability, conversion option derivative liability, and contingent consideration liability on a recurring basis and classifies those instruments within Level 3 of the fair value hierarchy because unobservable inputs are used to measure fair value. See Note 2 for a summary of the Company’s policies relating to fair value measurements, and Note 11 for more detail on the convertible note warrant, optional redemption, and conversion option derivative liabilities.

The Company measures goodwill at fair value on a nonrecurring basis and classifies goodwill within Level 3 of the fair value hierarchy. It was concluded in connection with the preparation of these financial statements that, based on the results of our most recent qualitative assessment performed for the three months ended September 30, 2023, there was no impairment of goodwill recorded for the three months ended September 30, 2023.


(in thousands)	Earnout Liability		Conversion Option Derivative Liability




Balance at December 31, 2021	$	60,018	$	—
Conversion option derivative liability acquired (see Note 11 for detail)	—		28,160
Decrease in fair value included in other expense	(59,215)		(24,200)
Balance at December 31, 2022	$	803	$	3,960
Contingent consideration liability acquired (see Note 16 for detail)	$	—	—
Decrease in fair value included in other expense	$	(792)	(2,034)
Balance at September 30, 2023	$	11	$	1,926

As of September 30, 2023, earnout liabilities were valued using a Monte-Carlo Simulation Model, which is considered to be a Level 3 fair value measurement, derivative warrant liabilities were valued using the public warrant trading price, which is

considered to be a Level 2 fair value measurement, and the contingent consideration liability was valued using a present value factor, which is considered to be a Level 2 fair value measurement. As of December 31, 2022, derivative warrant and earnout liabilities were valued using a Binomial Lattice and Monte-Carlo Simulation Model, respectively, which are considered to be Level 3 fair value measurements.

As of September 30, 2023 and December 31, 2022, the convertible note warrant and conversion option derivative liabilities were valued using the Binomial Lattice and Black-Scholes Models, which are considered to be Level 3 fair value measurements. The primary unobservable input utilized in determining the fair value of our Level 3 liabilities is the expected volatility of the common stock. A summary of the inputs used in the valuations is as follows:


	September 30, 2023
	First Tranche Earnout			Second Tranche Earnout			Convertible Note Warrant Derivative Liability			Conversion Option Derivative Liability
Unit price	$	1.40		$	1.40		$	1.40		$	1.40
Term (in years)	1.12			1.12			3.86			3.86
Volatility	62.60		%	62.60		%	62.70		%	62.70		%
Risk-free rate	5.30		%	5.30		%	4.70		%	4.70		%
Dividend yield	—			—			—			—
Cost of equity	17.70		%	17.70		%	—			—


	December 31, 2022
	Derivative Warrant Liability			First Tranche Earnout			Second Tranche Earnout			Convertible Note Warrant Derivative Liability			Conversion Option Derivative Liability
Unit price	$	1.65		$	1.65		$	1.65		$	1.65		$	1.65
Term (in years)	3.87			1.54			1.55			4.61			4.61
Volatility	71.80		%	70.00		%	70.00		%	40.00		%	40.00		%
Risk-free rate	4.08		%	4.45		%	4.45		%	3.99		%	3.99		%
Dividend yield	—			—			—			—			—
Cost of equity	—			13.60		%	13.60		%	—			—

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	—			—
Cost of equity	—			—

The inputs to estimate the fair value of the Company’s earnout, convertible note warrant, and conversion option derivative liabilities were the market price of the Company’s common stock, their remaining expected term, the volatility of the

Company’s common stock price and the risk-free interest rate over the expected term. Significant changes in any of those inputs in isolation can result in a significant change in the fair value measurement.

Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the derivative liabilities would each result in a directionally similar change in the estimated fair value of the Company’s derivative liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not, and does not plan to, declare dividends on its common stock and, as such, there is no change in the estimated fair value of the derivative warrant liabilities due to the dividend assumption.