Fair Value Measurements

3 Months Ended

Mar. 31, 2022

The following table presents information about the Company's assets and liabilities measured and reported in the financial statements at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value.


	March 31, 2022
	Level 1		Level 2		Level 3		Balance
Assets:
Money market funds	$	68,726	$	—	$	—	$	68,726
Total assets	$	68,726	$	—	$	—	$	68,726
Liabilities:
Common Stock warrant liability - Public Warrants	$	8,855	$	—	$	—	$	8,855
Common Stock warrant liability - Private Placement Warrants	—		5,082		—		5,082
Total liabilities	$	8,855	$	5,082	$	—	$	13,937

	December 31, 2021
	Level 1		Level 2		Level 3		Balance
Assets:
Money market funds	$	94,973	$	—	$	—	$	94,973
Total assets	$	94,973	$	—	$	—	$	94,973
Liabilities:
Common Stock warrant liability - Public Warrants	$	4,486			$	—	$	4,486
Common Stock warrant liability - Private Placement Warrants			$	2,575			$	2,575
Total liabilities	$	4,486	$	2,575	$	—	$	7,061

Money market funds are included within Level 1 of the fair value hierarchy because they are valued using quoted market prices. The common stock warrant liability for the Public Warrants as of March 31, 2022 is also included within Level 1 of the fair value hierarchy because they are valued using quoted market prices. The Private Placement Warrants are included within Level 2 of the fair value hierarchy as the Company determined that the Private Placement Warrants are economically equivalent to the Public Warrants and estimated the fair value of the Private Placement Warrants based on the quoted market price of the Public Warrants.

The Company has previously presented the fair value measurement of the preferred stock warrant liability as a Level 3 measurement, relying on unobservable inputs reflecting the Company’s own assumptions. Level 3 measurements, which are not based on quoted prices in active markets, introduce a higher degree of subjectivity and may be more sensitive to fluctuations in stock price, volatility rates, and U.S. Treasury Bond rates.

The preferred stock warrants were settled immediately prior to the Merger. The Company re-measured the preferred stock warrant liability to its estimated fair value as of March 31, 2021, using the Black-Scholes option pricing model with the following assumptions:


	March 31, 2021
Series A preferred stock value per share	$	18.23
Exercise price of warrants	$	0.76
Term in years	5.5
Risk-free interest rate	1.04		%
Volatility	67.00		%
Dividend yield	0.00		%

The following table presents a reconciliation of the Company’s preferred stock warrant liability measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of March 31, 2021:


	Preferred Stock Warrant Liability
Balance as of December 31, 2020	$	2,993
Change in fair value included in other income	4,608
Balance as of March 31, 2021	$	7,601

There were no transfers between Level 1 and Level 2 in the periods reported. There were no transfers into or out of Level 3 in the period reported.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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