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Fair Value (Tables)
9 Months Ended
Sep. 30, 2023
Fair Value  
Schedule of financial assets and liabilities measured at fair value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in thousands)

 

September 30, 2023

 

 

 

 

 

 

 


 

 

Cash and Cash Equivalents - Money Market Funds
$ 806

$


$

$ 806
Cash and Cash Equivalents - U.S. Government Agency Bonds




86,307





86,307
Short term investments - U.S. Government Agency Bonds




6,962





6,962

Private Placement Warrants

 


 

 


 

 


14,000

 

 


14,000

 


















December 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and Cash Equivalents - Money Market Funds
$ 95

$

$

$ 95
Cash and Cash Equivalents - U.S. Government Agency Bonds




36,509





36,509
Short term investments - U.S. Government Agency Bonds




8,216





8,216

Private Placement Warrants

 

$

 

 

$

 

 

$

4,200

 

 

$

4,200

 

Schedule of fair value warrants estimated using the Black-Scholes option-pricing model

 

 

September 30, 2023

 

 

December 31, 2022

 

 

 

Values

 

 

Values

 

Stock Price

 

$

5.14

 

 

$

2.93

 

Strike price

 

$

11.50

 

 

$

11.50

 

Holding Period/Term (years)

 

 

3.08

 

 

 

3.82

 

Volatility

 

 

72.50

%

 

 

62.00

%

Expected dividends

 

 

None

 

 

 

None

 

Risk-Free Rate

 

 

4.79

%

 

 

4.13

%

Fair value of warrants

 

$

1.60

 

 

$

0.48

 

Schedule of liabilities measured at fair value

Warrants:

 

(in thousands)

 

Balance as of December 31, 2022

 

$

4,200

 

Fair value adjustment of Private Placement Warrants

 

 

9,800

Balance as of September 30, 2023

 

$

14,000