Fair Value Measurements

6 Months Ended

Jun. 30, 2022

NOTE 3. FAIR VALUE MEASUREMENTS

The Company’s financial assets and liabilities subject to fair value measurement on a recurring basis and the level of inputs used for such measurements were as follows as of the dates indicated (amounts in thousands):


	Fair Value Measured as of June 30, 2022
	Level 1		Level 2		Level 3		Total
Assets included in:
Cash and cash equivalents
Money market securities	$	21,055	$	-	$	-	$	21,055
	$	21,055	$	-	$	-	$	21,055
Liabilities included in:
Warrant liability	$	-	$	-	$	26	$	26
	$	-	$	-	$	26	$	26


	Fair Value Measured as of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets included in:
Cash and cash equivalents
Money market securities	$	101,004	$	-	$	-	$	101,004
	$	101,004	$	-	$	-	$	101,004
Liabilities included in:
Warrant liability	$	-	$	-	$	137	$	137
	$	-	$	-	$	137	$	137

Fair values of cash and cash equivalents, accounts payable and accrued expenses approximate the recorded value due to the short-term nature of these items. The Company’s Private Placement Warrants are classified within Level 3 of the fair value hierarchy because the fair value is based on significant inputs that are unobservable in the market.

The valuation of the Private Placement Warrants uses assumptions and estimates the Company believes would be made by a market participant in making the same valuation. The Company assesses these assumptions and estimates on an on-going basis as additional data impacting the assumptions and estimates are obtained.

The Company engaged a valuation firm to determine the fair value of the Private Placement Warrants using a Black-Scholes option-pricing model and the quoted price of the Company’s Common Stock. The following table presents significant assumptions utilized in the valuations of the Private Placement Warrants as of the dates indicated:


	June 30, 2022			December 31, 2021
Risk-free rate		2.96	%		1.20	%
Dividend yield rate		0.00	%		0.00	%
Volatility		77.0	%		58.8	%
Contractual term (in years)		4.2			4.7
Exercise price	$	11.50		$	11.50

The following table presents changes in the fair value of the Private Placement Warrants for the six months ended June 30, 2022 (amounts in thousands):


Balance, January 1, 2022	$	137
Change in fair value		(111	)
Balance, June 30, 2022	$	26

- 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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