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Fair Value Measurements
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
ASC 820, Fair Value Measurements and Disclosures, clarifies that fair value is an exit price, representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. As such, fair value is a market-based measurement that should be determined based upon assumptions that market participants would use in pricing an asset or liability.
U.S. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. As presented in the tables below, this hierarchy consists of three broad levels:
•Level 1: Quoted prices in active markets for identical assets and liabilities.
•Level 2: Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not active; and model-derived valuations whose inputs or significant value drivers are observable.
•Level 3: Significant inputs to the valuation model are unobservable and significant to the overall fair value measurement of the assets or liabilities. Inputs reflect management’s best estimate of what market participants would use in pricing the asset or liability at the measurement date.
The Company’s financial instruments consist primarily of cash and cash equivalents, accounts receivable, accounts payable, other current liabilities, warrants, earn-out shares liability, convertible debt and the associated derivative liability. The fair value of cash and accounts receivable approximates carrying value due to their short-term maturity.
As required by ASC 820, assets and liabilities measured at fair value are classified in their entirety based on the lowest level of input that is significant to their fair value measurement. Derivative financial instruments which are required to be measured at fair value on a recurring basis are measured at fair value using Level 3 inputs for all periods presented. Level 3 inputs are unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities.
Assets and liabilities carried at fair value on a recurring basis as of December 31, 2023 and 2022 consisted of the following (in thousands):
December 31, 2023
Fair ValueLevel 1Level 2Level 3
Financial Assets
Cash and Cash Equivalents(1):
Money market funds$2,917 $2,917 $— $— 
Total Financial Assets
$2,917 $2,917 $— $— 
Financial Liabilities:
Private Placement Warrants$4 $— $4 $— 
Public Warrants391 391 — — 
Contingent Earn-out Shares liability39 — — 39 
Total Financial Liabilities
$434 $391 $4 $39 
December 31, 2022
Fair ValueLevel 1Level 2Level 3
Financial Assets
Cash and Cash Equivalents(1):
Money market funds$22,481 $22,481 $— $— 
Corporate debt security2,199 2,199 — — 
$24,680 $24,680 $— $— 
Short-Term Investments:
U.S. treasuries$2,181 $2,181 $— $— 
Corporate debt security39,564 — 39,564 — 
Asset-backed security and other5,248 — 5,248 — 
Non-U.S. government and supranational bonds3,655 — 3,655 — 
$50,648 $2,181 $48,467 $— 
Total Financial Assets
$75,328 $26,861 $48,467 $— 
Financial Liabilities:
Private Placement Warrants$7 $— $7 $— 
Public Warrants654 654 — — 
Derivative Liabilities405 — — 405 
Contingent Earn-out Shares liability564 — — 564 
Total Financial Liabilities
$1,630 $654 $7 $969 
__________________
(1)Included in total cash and cash equivalents on the Consolidated Balance Sheets.
The changes in the fair value of Level 3 financial liabilities during the year ended December 31, 2023 consisted of the following (in thousands):
Derivative Liabilities on Convertible DebenturesContingent Earn-out Shares Liability
Fair value at December 31, 2022
$405 $564 
Recognition of earn-out RSUs— (6)
Change in fair value during the period(405)(519)
Fair value at December 31, 2023
$— $39 
Significant unobservable inputs related to Level 3 earn-out shares liability consisted of the following:
December 31, 2023December 31, 2022
Stock price$7.98$13.29
Stock price volatility80%80%
Expected term2.64 years3.64 years
Risk-free interest rate4.1%4.2%
Significant unobservable inputs related to Level 3 derivative liabilities consisted of the following as of December 31, 2022:
Stock price$13.29
Stock price volatility80%
Expected term0.86 years
Risk-free interest rate4.60%
Fair Value Measurements
ASC 820, Fair Value Measurements and Disclosures, clarifies that fair value is an exit price, representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. As such, fair value is a market-based measurement that should be determined based upon assumptions that market participants would use in pricing an asset or liability.
U.S. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. As presented in the tables below, this hierarchy consists of three broad levels:
•Level 1: Quoted prices in active markets for identical assets and liabilities.
•Level 2: Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not active; and model-derived valuations whose inputs or significant value drivers are observable.
•Level 3: Significant inputs to the valuation model are unobservable and significant to the overall fair value measurement of the assets or liabilities. Inputs reflect management’s best estimate of what market participants would use in pricing the asset or liability at the measurement date.
The Company’s financial instruments consist primarily of cash and cash equivalents, accounts receivable, accounts payable, other current liabilities, warrants, earn-out shares liability, convertible debt and the associated derivative liability. The fair value of cash, cash equivalents and accounts receivable approximates carrying value due to their short-term maturity.
As required by ASC 820, assets and liabilities measured at fair value are classified in their entirety based on the lowest level of input that is significant to their fair value measurement. Derivative financial instruments which are required to be measured at fair value on a recurring basis are measured at fair value using Level 3 inputs for all periods presented. Level 3 inputs are unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities.
Assets and liabilities carried at fair value on a recurring basis as of June 30, 2024 and December 31, 2023 consisted of the following (in thousands):
June 30, 2024
Fair ValueLevel 1Level 2Level 3
Financial Assets
Cash and Cash Equivalents(1):
Money market funds$5 $5 $— $— 
Total Financial Assets$5 $5 $— $— 
Financial Liabilities:
Private Placement Warrants$5 $— $5 $— 
Public Warrants430 430 — — 
Contingent Earn-out Shares liability6 — — 6 
Total Financial Liabilities
$441 $430 $5 $6 
December 31, 2023
Fair ValueLevel 1Level 2Level 3
Financial Assets
Cash and Cash Equivalents(1):
Money market funds$2,917 $2,917 $— $— 
Total Financial Assets
$2,917 $2,917 $— $— 
Financial Liabilities:
Private Placement Warrants$4 $— $4 $— 
Public Warrants391 391 — — 
Contingent Earn-out Shares liability39 — — 39 
Total Financial Liabilities
$434 $391 $4 $39 
__________________
(1)Included in total cash and cash equivalents on the condensed consolidated balance sheets.
The changes in the fair value of Level 3 financial liabilities during the three months ended June 30, 2024 consisted of the following (in thousands):
Contingent Earn-Out Shares Liability
Fair value at March 31, 2024$42 
Recognition of Earn-out RSUs— 
Change in fair value during the period(36)
Fair value at June 30, 2024
$6 
The changes in the fair value of Level 3 financial liabilities during the six months ended June 30, 2024 consisted of the following (in thousands):
Contingent Earn-Out Shares Liability
Fair value at December 31, 2023
$39 
Recognition of Earn-out RSUs— 
Change in fair value during the period(33)
Fair value at June 30, 2024
$6 
Significant unobservable inputs related to Level 3 earn-out shares liability consisted of the following:
June 30, 2024
December 31, 2023
Stock price$6.91 $7.98 
Stock price volatility80 %80 %
Expected term2.14 years2.64 years
Risk-free interest rate4.7 %4.1 %