Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Summary of assets and liabilities measured at fair value on a recurring basis

The following are the major categories of assets and liabilities measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022, using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3) (in thousands):

March 31, 2023	Level 1		Level 2		Level 3		Total
Assets
Marketable securities	$	34,423	$	—	$	—	$	34,423
Short-term investments		—		108,831		—		108,831
Total assets	$	34,423	$	108,831	$	—	$	143,254
Liabilities
Warrant liabilities - public warrants	$	140	$	—	$	—	$	140
Warrant liabilities - private warrants		-		—		176		176
Earnout liabilities		-		—		28		28
Total liabilities	$	140	$	—	$	204	$	344

December 31, 2022	Level 1		Level 2		Level 3		Total
Assets
Marketable securities	$	285	$	—	$	—	$	285
Short-term investments		—		168,789		—		168,789
Total assets	$	285	$	168,789	$	—	$	169,074
Liabilities
Warrant liabilities - public warrants	$	209	$	—	$	—	$	209
Warrant liabilities - private warrants		-		—		254		254
Earnout liabilities		-		—		53		53
Total liabilities	$	209	$	—	$	307	$	516

Summary of roll-forward of the Level 3 public warrant liability

A roll-forward of the Level 1 public warrant liability is as follows (dollars in thousands):

Opening value at January 1, 2023	$	209
Change in fair value during the period		(69	)
Ending value at March 31, 2023	$	140

Summary of roll-forward of the Level 3 private warrant liability

A roll-forward of the Level 3 private warrant liability is as follows (dollars in thousands):

Opening value at January 1, 2023	$	253
Change in fair value during the period		(77	)
Ending value at March 31, 2023	$	176

Black Scholes Option Pricing Model [Member]

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Summary of roll-forward of the Level 3 private warrant liability

The following table presents the assumptions used to value the private warrant liability for the three months ended March 31, 2023:

Exercise price	$	368.00
Expected volatility		119.5	%
Risk-free interest rate		3.7	%
Remaining term		3.76
Dividend yield		0	%

Earnout Shares Liability [Member]

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Summary of roll-forward of the Level 3 derivative asset and liability on loans

A roll-forward of the Level 3 Founder Holder Earnout Shares liability is as follows (dollars in thousands):

Opening value at January 1, 2023	$	53
Change in fair value during the period		(25	)
Ending value at March 31, 2023	$	28

Summary of fair value of the derivative asset and liability

The following table presents the assumptions used to value the Founder Holder Earnout Shares liability for the three months ended March 31, 2023:

Exercise price	$400-$480
Expected volatility		90.3	%
Risk-free interest rate		3.7	%
Remaining term		3.77
Dividend yield		0	%