Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Summary of Fair Value Measurements, Recurring and Nonrecurring

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

	September 30, 2022
	Level 1		Level 2		Level 3
Assets
Derivative assets	$	—	$	996	$	—
Total assets	$	—	$	996	$	—
Liabilities
Public warrants	$	1,621	$	—	$	—
Private placement warrants		—		—		640
Term Loan warrants		—		—		3,113
Total liabilities	$	1,621	$	—	$	3,753
	December 31, 2021
	Level 1		Level 2		Level 3
Assets
Derivative assets	$	—	$	314	$	—
Total assets	$	—	$	314	$	—
Liabilities
Public warrants	$	2,701	$	—	$	—
Private placement warrants		—		—		2,133
Total liabilities	$	2,701	$	—	$	2,133

Summary of Fair Value of Significant Assumptions Utilized in the Valuation

The following table presents significant assumptions utilized in the valuation of the private placement warrants on September 30, 2022 and December 31, 2021:

	September 30, 2022			December 31, 2021
Risk-free rate		4.2	%		1.2	%
Dividend yield rate		—			—
Volatility		80.0	%		65.0	%
Contractual term (in years)		3.74			4.49
Exercise price	$	11.50		$	11.50

The following table presents significant assumptions utilized in the valuation of the Term Loan Warrants on the Effective Date and at September 30, 2022:

	September 30, 2022			August 8, 2022
Risk-free rate		4.0	%		2.9	%
Dividend yield rate		—			—
Volatility		80.0	%		75.0	%
Contractual term (in years)		6.86			7.00
Exercise price	$	1.85		$	1.85

Summary of Change in the Fair Value of the Warrants

The following table presents changes in the fair value of the private placement warrants for the three and nine months ended September 30, 2022 and 2021:

	Three months ended September 30,						Nine months ended September 30,
	2022			2021			2022			2021
Balance, beginning of period	$	800		$	20,373		$	2,133		$	—
Assumed in Business Combination		—			—			—			26,400
Change in fair value		(160	)		(12,373	)		(1,493	)		(18,400	)
Balance, end of period	$	640		$	8,000		$	640		$	8,000

The following table presents changes in the fair value of the Term Loan warrants for the three and nine months ended September 30, 2022 and 2021:

	Three months ended September 30,					Nine months ended September 30,
	2022			2021		2022			2021
Balance, beginning of period	$	—		$	—	$	—		$	—
Issued in connection with Term Loan		5,236			—		5,236			—
Change in fair value		(2,123	)		—		(2,123	)		—
Balance, end of period	$	3,113		$	—	$	3,113		$	—