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Marketable Securities and Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

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 Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value


Marketable securities:
Short-term U.S. Treasuries	$	40,177	$	3	$	(48)	$	40,132
Long-term U.S. Treasuries	59,030		—		(189)		58,841
Total available for sale securities	$	99,207	$	3	$	(237)	$	98,973


	December 31, 2022
(in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Cash equivalents:
U.S. Treasury Bills	$	2,573	$	—	$	—	$	2,573
Marketable securities:
Short-term U.S. Treasuries	$	59,876	$	6	$	(86)	$	59,796
Long-term U.S. Treasuries	58,652		—		(298)		58,354
Total available for sale securities	$	121,101	$	6	$	(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 Less		Due After One Year through Five Years		Due After Five Years		Total


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 Less		Due After One Year through Five Years		Due After Five Years		Total
Cash equivalents:
U.S. Treasury Bills	$	2,573	$	—	$	—	$	2,573
Marketable securities:
Short-term U.S. Treasuries	59,796		—		—		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 1		Level 2		Level 3
Financial assets:

Marketable securities	$	40,132	$	—	$	40,132	$	—
Non-current investments	58,841		—		58,841		—
Financial liabilities:
Derivative warrant liabilities	$	207	$	—	$	207	$	—
Earnout liabilities	51		—		—		51
Conversion option derivative liabilities	642		—		—		642
Non-recurring fair value measurement:
Goodwill	4,551		—		—		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)	Total		Level 1		Level 2		Level 3
Financial assets:
Cash equivalents	$	2,573	$	—	$	2,573	$	—
Marketable securities	59,796		—		59,796		—
Non-current investments	58,354		—		58,354		—
Financial liabilities:
Derivative warrant liabilities	$	350	$	—	$	—	$	350
Earnout liabilities	803		—		—		803
Conversion option derivative liabilities	3,960		—		—		3,960
Non-recurring fair value measurement:
Goodwill	21,418		—		—		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 Liability		Earnout Liability		Conversion 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 Earnout			Second Tranche Earnout			Convertible Note Warrant Derivative Liability			Conversion Option Derivative Liability
Unit price	$	0.68		$	0.68		$	0.68		$	0.68
Term (in years)	1.46			1.49			4.36			4.36
Volatility	79.00		%	79.00		%	67.00		%	67.00		%
Risk-free rate	4.30		%	4.30		%	3.60		%	3.60		%
Dividend yield	—			—			—			—
Cost of equity	15.80		%	15.80		%	—			—


	December 31, 2022
	Derivative Warrant Liability			First Tranche Earnout			Second Tranche Earnout			Convertible Note Warrant Derivative Liability			Conversion Option Derivative Liability
Unit price	$	1.65		$	1.65		$	1.65		$	1.65		$	1.65
Term (in years)	3.87			1.54			1.55			4.61			4.61
Volatility	71.80		%	70.00		%	70.00		%	40.00		%	40.00		%
Risk-free rate	4.08		%	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 Liability			Conversion Option Derivative Liability
Unit price	$	6.63		$	6.63
Term (in years)	5.00			5.00
Volatility	42.5		%	42.5		%
Risk-free rate	3.0		%	3.0		%
Dividend yield	—			—
Cost of equity	—			—