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Marketable Securities and Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Summary of Investment Securities Classified as Available-for-sale The Company’s investments in marketable securities at March 31, 2023 and December 31, 2022 is as follows:
March 31, 2023
(in thousands)Amortized CostGross Unrealized GainsGross Unrealized LossesFair Value
Marketable securities:
Short-term U.S. Treasuries $40,177 $$(48)$40,132 
Long-term U.S. Treasuries59,030 — (189)58,841 
Total available for sale securities$99,207 $$(237)$98,973 

December 31, 2022
(in thousands)Amortized CostGross Unrealized GainsGross Unrealized LossesFair Value
Cash equivalents: 
U.S. Treasury Bills$2,573 $— $— $2,573 
Marketable securities:
Short-term U.S. Treasuries $59,876 $$(86)$59,796 
Long-term U.S. Treasuries58,652 — (298)58,354 
Total available for sale securities$121,101 $$(384)$120,723 

The contractual maturities of the Company's investments in cash equivalents and marketable securities as of March 31, 2023 and December 31, 2022 is as follows:
(in thousands)Due in One Year or LessDue After One Year through Five YearsDue After Five YearsTotal
Marketable securities:
Short-term U.S. Treasuries$40,132 $— $— $40,132 
Long-term U.S. Treasuries 30,235 28,606 — 58,841 
Total available for sale securities$70,367 $28,606 $— $98,973 
(in thousands)Due in One Year or LessDue After One Year through Five YearsDue After Five YearsTotal
Cash equivalents:
U.S. Treasury Bills$2,573 $— $— $2,573 
Marketable securities:
Short-term U.S. Treasuries59,796 — — 59,796 
Long-term U.S. Treasuries 10,523 47,831 — 58,354 
Total available for sale securities$72,892 $47,831 $— $120,723 
Summary of Carrying Amounts of Financial Instruments
The following table presents the carrying amounts of the Company’s recurring and non-recurring fair value measurements at March 31, 2023 and December 31, 2022:
March 31, 2023
(in thousands)Total Level 1Level 2Level 3
Financial assets: 
Marketable securities$40,132 $— $40,132 $— 
Non-current investments58,841 — 58,841 — 
Financial liabilities:
Derivative warrant liabilities$207 $— $207 $— 
Earnout liabilities51 — — 51 
Conversion option derivative liabilities642 — — 642 
Non-recurring fair value measurement:
Goodwill4,551 — — 4,551 
As of March 31, 2023, derivative warrant liabilities of $207 were transferred from a Level 3 to a Level 2 financial instrument as a result of the valuation being based on the market price of our public warrants, which management considers to be a similar and comparable instrument, as compared to the previous valuation which was based on the Binomial Lattice Model. There were no transfers between levels for the three months ended March 31, 2022.
December 31, 2022
(in thousands)TotalLevel 1Level 2Level 3
Financial assets: 
Cash equivalents$2,573 $— $2,573 $— 
Marketable securities59,796 — 59,796 — 
Non-current investments58,354 — 58,354 — 
Financial liabilities:
Derivative warrant liabilities$350 $— $— $350 
Earnout liabilities803 — — 803 
Conversion option derivative liabilities3,960 — — 3,960 
Non-recurring fair value measurement:
Goodwill21,418 — — 21,418 
Summary of Changes in Fair Value of Level 3 Warrant Liabilities
The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis at March 31, 2023:
(in thousands)Private Warrant LiabilityEarnout LiabilityConversion Option Derivative Liability
Balance at December 31, 2021$2,193 $60,018 $— 
Conversion option derivative liability acquired (see Note 11 for detail)— — 28,160 
Decrease in fair value included in other expense(1,843)(59,215)(24,200)
Balance at December 31, 2022$350 $803 $3,960 
Decrease in fair value included in other expense(143)$(752)(3,318)
Balance at March 31, 2023$207 $51 $642 
Schedule of Assumptions used in the Valuation of Derivative Liabilities A summary of the inputs used in the valuations is as follows:
March 31, 2023
First Tranche EarnoutSecond Tranche EarnoutConvertible Note Warrant Derivative LiabilityConversion Option Derivative Liability
Unit price$0.68$0.68$0.68$0.68
Term (in years)1.461.494.364.36
Volatility79.00 %79.00 %67.00 %67.00 %
Risk-free rate4.30 %4.30 %3.60 %3.60 %
Dividend yield— — — — 
Cost of equity15.80 %15.80 %— — 
December 31, 2022
Derivative Warrant LiabilityFirst Tranche EarnoutSecond Tranche EarnoutConvertible Note Warrant Derivative LiabilityConversion Option Derivative Liability
Unit price$1.65$1.65$1.65$1.65$1.65
Term (in years)3.871.541.554.614.61
Volatility71.80 %70.00 %70.00 %40.00 %40.00 %
Risk-free rate4.08 %4.45 %4.45 %3.99 %3.99 %
Dividend yield— — — — — 
Cost of equity— 13.60 %13.60 %0.00 %0.00 %
A summary of the inputs used in the initial measurement of the convertible note warrant and conversion option derivative liabilities is as follows:
August 9, 2022
(Initial Measurement)
Convertible Note Warrant Derivative LiabilityConversion Option Derivative Liability
Unit price$6.63 $6.63 
Term (in years)5.00 5.00 
Volatility42.5 %42.5 %
Risk-free rate3.0 %3.0 %
Dividend yield— — 
Cost of equity— —