Schedule of Financial Assets and Liabilities Measured at Fair Value on a Recurring Basis |
The Company’s financial assets and liabilities measured at fair value on a recurring basis and the level of inputs used for such measurements were as follows (in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Measured as of June 30, 2023 Using: | | | | | | | | | | | | Adjusted Cost | | Unrealized losses | | Fair Value | | Cash and Cash Equivalents | | Marketable Securities | | | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | | Level 1 | | | | | | | | | | | | | | | | | | | | Money market funds | | $ | 16,863 | | | $ | — | | | $ | 16,863 | | | $ | 16,863 | | | $ | — | | | | | | | | | | | Level 2 | | | | | | | | | | | | | | | | | | | | Asset-backed securities | | $ | 3,503 | | | $ | (40) | | | $ | 3,463 | | | $ | — | | | $ | 3,463 | | | | | | | | | | | Corporate bonds | | 7,095 | | | (39) | | | 7,056 | | | — | | | 7,056 | | | | | | | | | | | Commercial paper | | — | | | — | | | — | | | — | | | — | | | | | | | | | | | U.S. Government securities | | 30,006 | | | (265) | | | 29,741 | | | — | | | 29,741 | | | | | | | | | | | Total financial assets | | $ | 57,467 | | | $ | (344) | | | $ | 57,123 | | | $ | 16,863 | | | $ | 40,260 | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | Level 2 | | | | | | | | | | | | Private placement warrant liability | | $ | — | | | $ | — | | | $ | 2 | | | $ | — | | | $ | — | | | | | | | | | | | Level 3 | | | | | | | | | | | | | | | | | | | | Convertible notes | | $ | — | | | $ | — | | | $ | 1,641 | | | $ | — | | | $ | — | | | | | | | | | | | Derivative warrant liability | | — | | | — | | | 42 | | | — | | | — | | | | | | | | | | | Total financial liabilities | | $ | — | | | $ | — | | | $ | 1,685 | | | $ | — | | | $ | — | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Measured as of December 31, 2022 Using: | | | Adjusted Cost | | Unrealized losses | | Fair Value | | Cash and Cash Equivalents | | Marketable Securities | Assets | | | | | | | | | | | Level 1 | | | | | | | | | | | Money market funds | | $ | 14,253 | | | $ | — | | | $ | 14,253 | | | $ | 14,253 | | | $ | — | | Level 2 | | | | | | | | | | | Asset-backed securities | | $ | 3,507 | | | $ | (119) | | | $ | 3,388 | | | $ | — | | | $ | 3,388 | | Corporate bonds | | 22,139 | | | (240) | | | 21,899 | | | — | | | 21,899 | | Commercial paper | | 20,760 | | | — | | | 20,760 | | | — | | | 20,760 | | U.S. Government securities | | 29,983 | | | (895) | | | 29,088 | | | — | | | 29,088 | | Total financial assets | | $ | 90,642 | | | $ | (1,254) | | | $ | 89,388 | | | $ | 14,253 | | | $ | 75,135 | | Liabilities | | | | | | | | | | | Level 2 | | | | | | | | | | | Private placement warrant liability | | $ | — | | | $ | — | | | $ | 7 | | | $ | — | | | $ | — | | Level 3 | | | | | | | | | | | Convertible notes | | | | | | $ | 8,594 | | | | | | Derivative warrant liability | | | | | | 119 | | | | | | Total financial liabilities | | $ | — | | | $ | — | | | $ | 8,720 | | | $ | — | | | $ | — | |
|
Schedule of the Changes in Fair Value of Level 3 Financial Instruments |
The following table presents a summary of the changes in fair value of the Company's Level 3 financial instruments for the six months ended June 30, 2023 (in thousands):
| | | | | | | | | | | | | | | | | | | | | | | 2022 Note | | Derivative Warrant Liability | | Total | Balance at December 31, 2022 | | $ | 8,594 | | | $ | 119 | | | $ | 8,713 | | | | | | | | | Payments or conversions | | (7,982) | | | — | | | (7,982) | | Change in fair value included in other income (expense), net | | 1,008 | | | (77) | | | 931 | | Change in fair value due to instrument specific credit risk included in other comprehensive income | | 21 | | | — | | | 21 | | Balance at June 30, 2023 | | $ | 1,641 | | | $ | 42 | | | $ | 1,683 | |
|
Schedule of Key Inputs into the Black-Sholes Option Pricing Model |
The key inputs into the binomial-lattice model for the 2022 Note valued at June 30, 2023 are as follows:
| | | | | | | June 30, 2023 | Remaining term (years) | 0.2 | | Expected volatility | 115.0 | % | Risk-free interest rate | 5.3 | % | Dividend yield | — | % | Estimated credit spread | 35.7 | % |
The key inputs into the Monte-Carlo simulation model for the derivative warrant liability valued at June 30, 2023 are as follows:
| | | | | | | June 30, 2023 | Expected term (years) | 3.2 | | Expected volatility | 115.0 | % | Risk-free interest rate | 4.4 | % | Dividend yield | — | % | Exercise price | $ | 3.50 | |
|