Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements and Hierarchy (Tables)

v3.23.1
Fair Value Measurements and Hierarchy (Tables)
3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of fair value hierarchy for financial liabilities
Information about the Company’s financial liabilities measured at fair value on a recurring basis is presented below:
Level 1 Level 2 Level 3 Total
(in thousands)
Warrant liability as of March 31, 2023 $ 844  $ —  $ 24  $ 868 
Warrant liability as of December 31, 2022 $ 1,477  $ —  $ 40  $ 1,517 
Schedule of Fair Value Measurement Inputs and Valuation Techniques
The key Level 3 inputs into the option pricing model related to the private placement warrants to purchase Class A common stock were as follows:
March 31, 2023 December 31, 2022
Volatility 73.0% 55.0%
Risk-free interest rate 3.8% 4.1%
Exercise price $ 11.50  $ 11.50 
Expected term 3.7 years 3.9 years
Schedule of changes in the fair value
The following tables set forth a summary of changes in the fair value of the Company’s private placement warrants to purchase Class A common stock, which are considered to be Level 3 fair value measurements:
Three Months Ended March 31,
2023 2022
(in thousands)
Beginning balance $ 40  $ 502 
Mark-to-market adjustment (16) (19)
Ending balance $ 24  $ 483