Fair Value Measurements

12 Months Ended

Dec. 31, 2022

Fair Value Measurements

Fair Value Measurements

Note 15 – Fair Value Measurements

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). See Note 2 for additional information, including the fair value hierarchy.

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis and indicates the level within the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value as of December 31, 2022 and 2021:

	December 31,			December 31,
	2022			2021
(in thousands)	Level	Balance		Level	Balance
Cash equivalents
Money market funds	1	$	150,125	—	$	—
Total assets		$	150,125		$	—
Liabilities
Earnout liability	3	$	1,730	3	$	5,211
Warrant liability – Public Warrants	1		10,164	1		39,614
Warrant liability – Private Placement Warrants	2		2,140	3		8,847
Total liabilities		$	14,034		$	53,672

The following table presents a reconciliation for all liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2022 and 2021:

	Private
	Placement
	Warrant		Earnout
(in thousands)	Liability		Liability
Fair value as of December 31, 2020	$	—	$	—
Liability recognized due to the CRIS Business Combination		35,654		18,278
Liability settled through equity		—		(10,853)
Change in fair value of liability		(19,742)		(2,214)
Transfers out of Level 3		(7,065)		—
Fair value as of December 31, 2021		8,847		5,211
Change in fair value of liability		(4,912)		(3,481)
Transfers out of Level 3		(3,935)		—
Fair value as of December 31, 2022	$	—	$	1,730

Assumptions used in the valuations of the Private Placement Warrant liability were as follows:

	December 31,
	2021
Stock price	$	9.94
Risk-free interest rate		1.19	%
Expected term (in years)		4.5
Expected volatility		75	%
Dividend rate		—	%
Exercise price	$	11.50

Assumptions used in the valuations of the earnout liability are as follows:

	December 31,			December 31,
	2022			2021
Stock price	$	4.47		$	9.94
Risk-free interest rate		4.16	%		1.19	%
Expected term (in years)		3.2			4.8
Expected volatility		90	%		75	%
Dividend rate		—	%		—	%