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Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2023

Cash and cash equivalents, accounts receivable, prepaid expenses and other current assets, accounts payable, short-term debt, including the current portion of long-term debt, accrued liabilities, and other current liabilities are reflected on the consolidated balance sheets at amounts that approximate fair value because of the short-term nature of these financial assets and liabilities.

Private warrants, Private Placement (“PIPE”) warrants, and warrants issued under the registered direct offering (“RDO warrants”) are valued using a modified Black-Scholes option pricing model (“OPM”), which is considered to be a Level 3 fair value measurement. See Note O—Warrants for information on the Level 3 inputs used to value the private warrants and PIPE warrants.

The table below presents the financial liabilities measured at fair value on a recurring basis:



		September 30, 2023
	Balance Sheet Caption	Level 1		Level 2		Level 3		Total
PIPE warrants	Derivative liabilities	$	—	$	—	$	17,083	$	17,083
RDO warrants	Derivative liabilities	—		—		11,286		11,286
Private warrants	Derivative liabilities	—		—		98		98





		December 31, 2022
	Balance Sheet Caption	Level 1		Level 2		Level 3		Total
Private warrants	Other non-current liabilities	$	—	$	—	$	9	$	9

The changes in the fair value of the Level 3 liabilities are as follows:



	PIPE warrants		RDO warrants		Private warrants












December 31, 2022	$	—	$	—	$	9
Additions	14,893		15,536		—
Changes in fair value	2,190		(4,250)		89
Settlements	—		—		—
September 30, 2023	$	17,083	$	11,286	$	98

- 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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