Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2023

Schedule of Key Fair Value Measurement Inputs

The key inputs into the convertible bond valuation model were as follows as of the Closing Date. As of June 30, 2023, the most significant change in the below inputs that impacted the valuation was share price, which was $9.15:


																								2L Notes
																								June 15, 2023
Risk-free interest rate																								3.90%
Volatility																								50.00%
Selected yield																								20.00%
Expected term (years)																								5.3
Share price																								$10.21

The key inputs into the Monte-Carlo option pricing model were as follows as of June 30, 2023 and December 31, 2022 for the respective Level 3 instruments:


	IPO Warrants		Earnout Shares and Vesting Shares
	June 30, 2023	December 31, 2022	June 30, 2023	December 31, 2022
Risk-free interest rate	4.45%	N/A	3.88%	3.88%
Volatility	91.30%	N/A	77.80%	74.60%
Dividend yield	—%	N/A	—%	—%
Expected term (years)	3.0	N/A	8.0	8.5
Share price	$9.15	N/A	$9.15	$15.50

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents the changes in the fair value of the 2L Notes that is recognized in change in fair value of 2L Notes in the condensed consolidated statements of operations for the periods indicated below (in thousands). None of the change in fair value is attributable to instrument-specific credit risk:


	Three Months Ended		Six Months Ended
	June 30, 2023			June 30, 2023
Fair value, beginning of period(1)	$	103,943		$	103,943
Decrease in fair value(1)	(7,010)			(7,010)
Fair value, end of period	$	96,933		$	96,933

(1) Represents changes in fair value from the Closing Date, which is when the 2L Notes were issued.

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

The following table presents the activity of cash flow hedges included in accumulated other comprehensive income (loss) for the three and six months ended June 30, 2023 and 2022, respectively (in thousands):


	Cash Flow Hedges
Balance as of December 31, 2022	$	4,899
Unrealized loss recognized in other comprehensive income before reclassifications	(99)
Reclassification to interest expense, net	(3,357)
Balance as of March 31, 2023	1,443
Unrealized gain recognized in other comprehensive income before reclassifications	798
Reclassification to interest expense, net	(1,648)
Balance as of June 30, 2023	$	593

Balance as of December 31, 2021	$	28
Unrealized gain recognized in other comprehensive income before reclassifications	3,681
Reclassification to interest expense, net	71
Balance as of March 31, 2022	3,780
Unrealized gain recognized in other comprehensive income before reclassifications	2,642
Reclassification to interest expense, net	66
Balance as of June 30, 2022	$	6,488

Schedule of Fair Value of Derivative Assets and Liabilities

The following table presents the fair value of derivative assets and liabilities within the condensed consolidated balance sheets as of June 30, 2023 and December 31, 2022 (in thousands):


	June 30, 2023			December 31, 2022
	Assets		Liabilities	Assets		Liabilities
Derivatives designated as cash flow hedging instruments:
Other current assets	$	511	—	$	5,028	—
Other non-current assets	$	83	—	—		—
Accrued expenses and other liabilities	—		—	—		—
Other non-current liabilities	—		—	—		$	73