FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2023

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