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Fair Value Measurement

9 Months Ended

Sep. 30, 2022

Assets and liabilities that are measured at fair value on a recurring basis, and the level of the fair value hierarchy utilized to determine such fair values, as shown in the following tables (in thousands):


	Balance as of September 30, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Forward Purchase Agreement	$	—	$	—	$	6,131	$	6,131
Total	$	—	$	—	$	6,131	$	6,131
Liabilities:
Public Warrants	$	1,098	$	—	$	—	$	1,098
Exchangeable Right liability	—		—		688		688
Total	$	1,098	$	—	$	688	$	1,786


	Balance as of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Forward Purchase Agreement	$	—	$	—	$	45,611	$	45,611
Total	$	—	$	—	$	45,611	$	45,611
Liabilities:
Public Warrants	$	12,650	$	—	$	—	$	12,650
Exchangeable Right liability	—		—		11,154		11,154
Total	$	12,650	$	—	$	11,154	$	23,804

There were no transfers into or out of Level 3 instruments and/or between Level 1 and Level 2 instruments as of September 30, 2022.

The following table provides a roll forward of the aggregate fair value of the Company’s public warrant liability, Exchangeable Right Liability (see Note 15), and Forward Purchase Agreement (see Note 6) (in thousands):


	Public Warrant Liability		Exchangeable Right Liability		Forward Purchase Agreement
Balance as of December 31, 2021	$	12,650	$	11,154	$	45,611
Net proceeds from sale of FPA Shares	—		—		(2,437)
Change in estimated fair value	(11,552)		(10,466)		(37,043)
Balance as of September 30, 2022	$	1,098	$	688	$	6,131

The changes in estimated fair value are recorded in the unaudited Condensed Consolidated Statements of Operations and Comprehensive Loss.

The Exchangeable Right Liability was valued using the Black-Scholes model. The following table summarizes the significant unobservable inputs that are included in the valuation of Exchangeable right liability as of September 30, 2022 and December 31, 2021:


	Input Value or Range
Unobservable Inputs	September 30, 2022		December 31, 2021
Estimated term	4.1 years		4.9 years
Estimated volatility	70.0	%	45.0	%
Risk-free rate	4.1	%	1.2	%

Changes in the unobservable inputs noted above would impact the fair value of the Exchangeable Right Liability. Increases (decreases) in the estimates of the estimated volatility or the risk-free rate would increase (decrease) in the Exchangeable Right Liability and an increase (decrease) in the Company’s stock price would increase (decrease) the value of the Exchangeable Right Liability.

The Forward Purchase Agreement was valued using the Black-Scholes model. The following table summarizes the significant unobservable inputs that are included in the valuation of Forward Purchase Agreement as of September 30, 2022 and December 31, 2021:


	Input Value or Range
Unobservable Inputs	September 30, 2022		December 31, 2021
Estimated term	1.1 years		1.9 years
Estimated volatility	50.0	%	45.0	%
Risk-free rate	4.0	%	0.7	%

Changes in the unobservable inputs noted above would impact the fair value of the Forward Purchase Agreement. Increases (decreases) in the estimates of the estimated volatility or the risk-free rate would (decrease) increase the Forward Purchase Agreement and an increase (decrease) in the Company’s stock price would increase (decrease) the value of the Forward Purchase Agreement.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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