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Fair Value Measurement
6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurement
NOTE 4. FAIR VALUE MEASUREMENT
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 (amounts in thousands):
 
    
Fair Value Measured as of June 30, 2023
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Assets:
           
Cash Equivalents:
           
Money market funds
   $ 4,765      $ —      $ —      $ 4,765  
Short-term marketable securities:
           
Commercial paper
     —          5,171        —          5,171  
U.S. government treasuries
     2,953        —          —          2,953  
U.S. government agency securities
     —          10,463        —          10,463  
Corporate debt securities
     —          2,093        —          2,093  
  
 
 
    
 
 
    
 
 
    
 
 
 
Total cash equivalents and marketable securities
   $ 7,718      $ 17,727      $ —      $ 25,445  
  
 
 
    
 
 
    
 
 
    
 
 
 
    
Fair Value Measured as of December 31, 2022
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Assets:
           
Cash Equivalents:
           
Money market funds
   $ 2,266      $ —      $ —      $ 2,266  
Commercial paper
     —          4,496        —          4,496  
Corporate debt securities
     —          3,032        —          3,032  
Short-term marketable securities:
           
Commercial paper
     —          15,587        —          15,587  
U.S. government treasuries
     1,005        —          —          1,005  
U.S. government agency securities
     —          16,069        —          16,069  
Corporate debt securities
     —          8,135        —          8,135  
  
 
 
    
 
 
    
 
 
    
 
 
 
Total cash equivalents and marketable securities
   $ 3,271      $ 47,319      $ —      $ 50,590  
  
 
 
    
 
 
    
 
 
    
 
 
 
 
The Company’s Level 2 securities are valued using third-party pricing sources. The pricing services utilize industry standard valuation models, including both income and market-based approaches, for which all significant inputs are observable, either directly or indirectly. There were no transfers of assets between Level 1, Level 2, or Level 3 during the three- and
six-month
periods ended June 30, 2023.
 
    
Fair Value Measured as of
June 30, 2023
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Liabilities:
           
Common stock warrant liabilities
   $ —      $ —      $ 244      $ 244  
  
 
 
    
 
 
    
 
 
    
 
 
 
Total fair value
   $ —      $ —      $ 244      $ 244  
  
 
 
    
 
 
    
 
 
    
 
 
 
    
Fair Value Measured as of
December 31, 2022
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Liabilities:
           
Common stock warrant liabilities
   $ —      $ —      $ 144      $ 144  
  
 
 
    
 
 
    
 
 
    
 
 
 
Total fair value
   $ —      $ —      $ 144      $ 144  
  
 
 
    
 
 
    
 
 
    
 
 
 
The estimated fair value of the warrant liability for the private warrants at June 30, 2023 and December 31, 2022 was determined using Level 3 inputs. Inherent in a Monte Carlo options pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate, and dividend yield. The Company estimates the volatility of its ordinary shares based on its historical volatility for a time period that approximates the expected remaining life of the warrants. The risk-free interest rate is based on the U.S.
Treasury zero-coupon
yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. There were no changes to the number of private warrants underlying the Level 3 financial instruments during the three- and
six-months
ended June 30, 2023. There were no transfers between Level 1, 2, or 3 during the three- and
six-months
ended June 30, 2023 and 2022.
The following table presents changes in Level 3 liabilities measured at fair value for the
six-month
period ended June 30, 2023. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long-dated volatilities) inputs (in thousands).
 
    
Warrant
Liability
 
Balance – January 1, 2023
  
$
144
 
Change in fair value
     100  
  
 
 
 
Balance – June 30, 2023
  
$
244
 
  
 
 
 
A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the Company’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy as of June 30, 2023 and December 31, 2022 is as follows:
 
    
As of
June 30, 2023
   
As of
December 31, 2022
 
Stock price
   $ 1.30     $ 1.02  
Exercise price
   $ 11.50     $ 11.50  
Option term (years)
     2.5       3.0  
Volatility (annual)
     80.6     73.7
Risk-free rate
     4.6     4.1
Dividend yield (per share)
     0     0