Marketable Securities and Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Summary of Investment Securities Classified as Available-for-sale

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

The contractual maturities of the Company's investments in cash equivalents and marketable securities as of September 30, 2023 and December 31, 2022 is as follows:

(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

Summary of Carrying Amounts of Financial Instruments

The following table presents the carrying amounts of the Company’s recurring and non-recurring fair value measurements at September 30, 2023 and December 31, 2022:

	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

Summary of Changes in Fair Value of Level 3 Warrant Liabilities

The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis at 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

Schedule of Assumptions used in the Valuation of Derivative Liabilities

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		%	—			—

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	—			—