Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.3
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

Assets and liabilities measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 were as follows (in thousands):

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

September 30, 2023

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

    Cash and money market funds

 

$

112,219

 

 

$

112,219

 

 

$

 

 

$

 

Total:

 

$

112,219

 

 

$

112,219

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

24,549

 

 

$

 

 

$

 

 

$

24,549

 

Total

 

$

24,549

 

 

$

 

 

$

 

 

$

24,549

 

 

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

December 31, 2022

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

    Cash and money market funds

 

$

167,467

 

 

$

167,467

 

 

$

 

 

$

 

Marketable securities:

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt securities - due in one year or less

 

 

22,320

 

 

 

 

 

 

22,320

 

 

 

 

Commercial paper

 

 

2,491

 

 

 

 

 

 

2,491

 

 

 

 

Municipal bonds

 

 

6,038

 

 

 

 

 

 

6,038

 

 

 

 

US Treasury obligation - due in one year or less

 

 

3,988

 

 

 

3,988

 

 

 

 

 

 

 

Total

 

$

202,304

 

 

$

171,455

 

 

$

30,849

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

24,472

 

 

$

 

 

$

 

 

$

24,472

 

Total

 

$

24,472

 

 

$

 

 

$

 

 

$

24,472

 

Summary of Assumptions Used to Record Fair Value of Warrants

A summary of the Black Scholes pricing model assumptions used to record the fair value of the Warrants is as follows:

 

 

September 30, 2023

 

 

 

December 31, 2022

Stock price

 

$

3.95

 

 

 

$

3.59

 

 

Average risk-free interest rate

 

 

4.71

 

%

 

 

4.02

 

%

Average expected life (in years)

 

 

3.92

 

 

 

 

4.67

 

 

Average expected volatility

 

 

85.96

 

%

 

 

86.79

 

%

Summary of Changes in Level 3 Warrant Liability Measured at Fair Value on Recurring Basis

The following table reflects the change in the Company’s Level 3 warrant liability for the nine months ended September 30, 2023 and the year ended December 31, 2022 (in thousands):

 

 

September 30, 2023

 

 

 

December 31, 2022

 

Fair value of warrant liabilities as of beginning of year

 

$

24,472

 

 

 

$

3,029

 

Warrants issued in connection with 2022 Private Placement

 

 

 

 

 

 

64,664

 

Change in fair value

 

 

77

 

 

 

 

(43,221

)

Fair value of warrant liabilities as of end of period

 

$

24,549

 

 

 

$

24,472