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 March 31, 2023
	Level 1		Level 2		Level 3		Total
Assets:
Forward Purchase Agreement	$	—	$	1,742	$	—	$	1,742
Total	$	—	$	1,742	$	—	$	1,742
Liabilities:
Public Warrants	$	586	$	—	$	—	$	586
Exchangeable Right liability	—		—		366		366
Second Lien Note	—		—		4,054		4,054
Unsecured Note	—		—		2,114		2,114
Warrant Liability - Second Lien Securities Purchase Agreement	—		—		2,051		2,051
Warrant Liability - Unsecured Note Offering	—		—		1,063		1,063
Secured Convertible Note	—		—		11,510		11,510
Warrant Liability - GM Securities Purchase Agreement	—		—		380		380
Total	$	586	$	—	$	21,538	$	22,124


	Balance as of December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Forward Purchase Agreement	$	—	$	2,687	$	—	$	2,687
Total	$	—	$	2,687	$	—	$	2,687
Liabilities:
Public Warrants	$	594	$	—	$	—	$	594
Exchangeable Right liability	—		—		403		403
Secured Convertible Note	—		—		11,390		11,390
Warrant Liability - GM Securities Purchase Agreement	—		—		343		343
Total	$	594	$	—	$	12,136	$	12,730

There were no transfers into or out of Level 3 instruments as of March 31, 2023. The Company transferred the FPA out of Level 3 and into Level 2 as of December 31, 2022. As a result of the amendment to the FPA, the Company’s share price now approximates the fair value of the FPA most closely because the $10 per share ceiling is not probable to be triggered.

The following table provides a roll forward of the aggregate fair value of the Company’s public warrant liability, Exchangeable Right Liability, Forward Purchase Agreement, GM Securities Purchase Agreement, Second Lien Securities Purchase Agreement, and Unsecured Note Offering (in thousands):


	Public Warrant Liability		Exchange- able Right Liability		Forward Purchase Agreement		GM Securities Purchase Agreement		Second Lien Securities Purchase Agreement		Unsecured Note Offering
Balance as of December 31, 2022	$	594	$	403	$	2,687	$	11,733	$	—	$	—
Initial fair value of financial instruments	—		—		—		—		5,687		3,181
Settlement of FPA shares	—		—		(805)		—		—		—
Change in estimated fair value	(8)		(37)		(140)		157		418		(4)
Balance as of March 31, 2023	$	586	$	366	$	1,742	$	11,890	$	6,105	$	3,177

The Exchangeable Right Liability was valued using a Black-Scholes model. The following table summarizes the significant unobservable inputs that are included in the valuation of Exchangeable right liability as of March 31, 2023 and December 31, 2022:


	March 31, 2023				December 31, 2022
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Estimated term	3.6 years		3.6 years		3.9 years		3.9 years
Estimated volatility	93.6	%	93.6	%	93.0	%	93.0	%
Risk-free rate	3.7	%	3.7	%	4.1	%	4.1	%

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 common share price would increase (decrease) the value of the Exchangeable Right Liability.

The Company has elected the fair value option in accounting for the fair value of the SCN under the GM Securities Purchase Agreement. The fair value was determined using a hybrid of the probability-weighted expected return method, scenario-based method, and binomial lattice methods as the ultimate maturity date and put price are contingent upon the Company’s engagement (or lack thereof) in certain qualifying transactions; accordingly, the Company estimates the SCN’s fair value in each scenario and determines the probability-weighted value. Within each scenario, the binomial lattice model was applied to capture the various optionality available to the borrower and lender. As of March 31, 2023 the outstanding principal and fair value of the SCN was $10.0 million and $11.5 million, respectively.


	March 31, 2023						December 31, 2022
Unobservable Inputs	Input Value or Range			Weighted Average			Input Value or Range			Weighted Average
Probability of scenarios:
Financing of $35 million or more within 1 year	45.0		%	45.0		%	45.0		%	45.0		%
Financing of $25 to $35 million within 1 year	30.0		%	30.0		%	30.0		%	30.0		%
Financing of less than $25 million within 1 year	25.0		%	25.0		%	25.0		%	25.0		%
Timing of scenarios:
Term to maturity	0.7 years			0.7 years			1.0 years			1.0 years
Estimated market yield	17.3		%	17.3		%	18.0		%	18.0		%
Risk-free rate	4.8		%	4.8		%	4.7		%	4.7		%
Estimated credit spread	17.5		%	17.5		%	13.2		%	13.2		%
Value of common share	$	0.49		$	0.49		$	0.48		$	0.48

Changes in the unobservable inputs noted above would impact the fair value of the SCN. Increases (decreases) in the estimates of the risk-free rate would increase (decrease) the fair value of the SCN and an increase (decrease) in the Company’s common share price would decrease (increase) the value of the SCN.

The GM Warrants under the GM Securities Purchase Agreement were valued using a Black-Scholes model. The following table summarizes the significant unobservable inputs that are included in the valuation of GM Warrants as of March 31, 2023 and December 31, 2022:


	March 31, 2023				December 31, 2022
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Estimated term	2.7 years		2.7 years		3.0 years		3.0 years
Estimated volatility	125.0	%	125.0	%	110.0	%	110.0	%
Risk-free rate	3.9	%	3.9	%	4.2	%	4.2	%

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

The Company has elected the fair value option in accounting for the fair value of the Second Lien Note under the Second Lien SPA. The fair value was determined using a probability-weighted discounted cash flow model. Accordingly, the Company estimates the Second Lien Note fair value in each scenario and determines the probability-weighted value. As of March 31, 2023 the outstanding principal and fair value of the Second Lien Note was $3.7 million and $4.1 million, respectively.

The following table summarizes the significant unobservable inputs that are included in the valuation of the Second Lien Note as of March 31, 2023 and February 27, 2023 (date of issuance):


	March 31, 2023				February 27, 2023
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Probability of scenarios:
Held to extended maturity	70.0	%	70.0	%	90.0	%	90.0	%
Additional extension of maturity	30.0	%	30.0	%	10.0	%	10.0	%
Timing of scenarios:
Term to maturity	0.1 years		0.1 years		0.1 years		0.1 years
Estimated market yield	25.0	%	25.0	%	17.9	%	17.9	%
Contractual Interest	10.0	%	10.0	%	10.0	%	10.0	%

Changes in the unobservable inputs noted above would impact the fair value of the Second Lien Note. Increases (decreases) in the estimates of the estimated market yield would increase (decrease) the fair value of the Second Lien Note.

The Second Lien Warrant was valued using a Black-Scholes model. The following table summarizes the significant unobservable inputs that are included in the valuation of the Second Lien Warrant as of March 31, 2023 and February 27, 2023 (date of issuance):


	March 31, 2023				February 27, 2023
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Estimated term	5.0 years		5.0 years		5.0 years		5.0 years
Estimated volatility	62.1	%	62.1	%	60.1	%	60.1	%
Risk-free rate	3.6	%	3.6	%	4.2	%	4.2	%

Changes in the unobservable inputs noted above would impact the fair value of the Second Lien Warrant. Increases (decreases) in the estimates of the estimated volatility or the risk-free rate would increase (decrease) the fair value of the Second Lien Warrant and an increase (decrease) in the Company’s common share price would decrease (increase) the value of the Second Lien Warrant.

The Company has elected the fair value option in accounting for the fair value of the Unsecured Note under the Unsecured Note Offering. The fair value was determined utilizing discounted cash flow model. As of March 31, 2023 the outstanding principal and fair value of the Unsecured Note was $2.0 million and $2.1 million, respectively.

The following table summarizes the significant unobservable inputs that are included in the valuation of the Unsecured Note as of March 31, 2023 and March 21, 2023 (date of issuance):


	March 31, 2023				March 21, 2023
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Probability of scenarios:
Default or held to maturity	100.0	%	100.0	%	100.0	%	100.0	%
Timing of scenarios:
Term to maturity	0.1 years		0.1 years		0.2 years		0.2 years
Estimated market yield	27.5	%	27.5	%	24.0	%	24.0	%
Contractual Interest	10.0	%	10.0	%	10.0	%	10.0	%

Changes in the unobservable inputs noted above would impact the fair value of the Unsecured Note. Increases (decreases) in the estimates of the estimated market yield would increase (decrease) the fair value of the Unsecured Note.

The Unsecured Note Warrant was valued using a Black-Scholes model. The following table summarizes the significant unobservable inputs that are included in the valuation of Unsecured Note Warrant as of March 31, 2023 and March 21, 2023 (date of issuance):


	March 31, 2023				March 21, 2023
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Estimated term	5.0 years		5.0 years		5.0 years		5.0 years
Estimated volatility	62.1	%	62.1	%	62.1	%	62.1	%
Risk-free rate	3.6	%	3.6	%	3.7	%	3.7	%

Changes in the unobservable inputs noted above would impact the fair value of the Unsecured Note Warrant. Increases (decreases) in the estimates of the estimated volatility or the risk-free rate would increase (decrease) the fair value of the Unsecured Note Warrant and an increase (decrease) in the Company’s common share price would decrease (increase) the value of the Unsecured Note Warrant.