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
The following table summarizes the Company’s assets and liabilities that are measured at fair value on a recurring basis as required by ASC 820, by level, within the fair value hierarchy as of September 30, 2023 and December 31, 2022 (in thousands):
September 30, 2023
Fair Value Level 1 Level 2 Level 3
Asset
Derivative asset, current $ 2,205  $ —  $ —  $ 2,205 
Liability
Contingent earnout shares liability $ 170  $ —  $ —  $ 170 
Derivative liability, current $ 538  $ —  $ —  $ 538 
Convertible debt, current $ 27,941  $ —  $ —  $ 27,941 
Convertible debt, non-current $ 44,836  $ —  $ —  $ 44,836 
Warrant liability, non-current $ 75,651  $ —  $ 75,651  $ — 
December 31, 2022
Fair Value Level 1 Level 2 Level 3
Liability
Contingent earnout shares liability $ 3,013  $ —  $ —  $ 3,013 
Warrant liability, current $ 17,171  $ —  $ 17,171  $ — 
Schedule of Fair Value of the Initial Loans Based on Assumptions The Company estimated the fair value of the Initial Loans based on assumptions used in the Monte Carlo simulation model using the following inputs as of the end of the reporting period:
July Convertible Debenture August Convertible Debenture
September Convertible Debenture
Expected term (in years) 0.92 1.01 1.16
Stock price $0.49 $0.49 $0.49
Interest rate 3.0  % 3.0  % 3.0  %
Expected volatility 113.2  % 112.2  % 111.7  %
Expected dividend rate $ —  $ —  $ — 
Risk free rate 5.4  % 5.4  % 5.3  %
The following table summarizes the Company’s stock-based compensation expense by line item for the three and nine months ended September 30, 2023 and 2022 (in thousands):
Three months ended
September 30,
Nine months ended
September 30,
2023 2022 2023 2022
Research and development $ 626  $ 8,217  $ 4,970  $ 23,342 
Selling, general and administrative 6,282  11,310 18,481  37,638
Total $ 6,908  $ 19,527  $ 23,451  $ 60,980 
The fair value of the Warrants at the issuance date was measured using the Black-Scholes-Merton option pricing model. The key inputs used in the valuation were as follows:

Expected term (years) 10
Risk free interest rate 3.0  %
Expected volatility 91.3  %
Dividend yield —  %
Exercise price $ 2.15 
Stock price $ 3.63 
The fair value of the warrants upon the expiration of the option period was measured using the Black-Scholes-Merton option pricing model. The key inputs used in the valuation were as follows:
Expected term (year) 0.9
Expected volatility 116.4  %
Expected dividend rate —  %
Risk free rate 4.7  %
Estimated fair value per warrant $ 0.57 
Exercise price $ 1.05 
Stock price $ 1.20 
The fair value of the warrants was measured using the Black-Scholes-Merton option pricing model. The key inputs used in the valuation were as follows:
Expected term (years) 4.36
Expected volatility 113.3  %
Expected dividend rate —  %
Risk free rate 4.61  %
Estimated fair value per warrant $ 0.32 
Exercise price $ 1.30 
Stock price $ 0.49 
The warrants are liability classified and subject to periodic remeasurement. The fair value of the warrants was measured using the Black-Scholes option pricing model. The key inputs used in the valuation were as follows:

Expected term (years) 5.23
Expected volatility 113.3  %
Expected dividend rate —  %
Risk free rate 4.55  %
Estimated fair value per warrant $0.39
Exercise price $0.67
Stock price $0.49
The warrants are liability classified and subject to periodic remeasurement. The fair value of the warrants was measured using the Black-Scholes option pricing model. The key inputs used in the valuation were as follows:

Expected term (years) 5.02
Expected volatility 124.9  %
Expected dividend rate —  %
Risk free rate 4.55  %
Estimated fair value per warrant $0.39
Exercise Price $0.65
Stock Price $0.49
The key inputs used in the valuation were as follows:
Expected term (years) 5.34
Expected volatility 113.3  %
Expected dividend rate —  %
Risk free rate 4.55  %
Estimated fair value per warrant $ 0.39 
Exercise price $ 0.67 
Stock price $ 0.49 
The key inputs used in the valuation were as follows:
July Convertible Debenture
August Convertible Debenture
September Convertible Debenture
Expected term (years) 4.75 4.84 4.99
Expected volatility 113.3  % 113.3  % 113.3  %
Expected dividend rate —  % —  % —  %
Risk free rate 4.57  % 4.56  % 4.55  %
Estimated fair value per warrant $ 0.39  $ 0.39  $ 0.40 
Exercise price $ 0.54  $ 0.54  $ 0.54 
Stock price $ 0.49  $ 0.49  $ 0.49 
Schedule of Fair Value of Convertible Debt and Earnout Shares Liability
Following is a summary of the change in fair value of the Convertible debt for the nine months ended September 30, 2023 and September 30, 2022 (in thousands).
Nine months ended September 30,
Convertible Debt 2023 2022
Beginning fair value —  — 
Addition during the period $ 71,438  — 
Change in fair value during the period $ 1,339  — 
Ending fair value $ 72,777  — 
Following is a summary of the change in fair value of the Earnout Shares liability for the nine months ended September 30, 2023 and September 30, 2022 (in thousands).
Nine Months Ended September 30,
Earnout Shares Liability 2023 2022
Beginning fair value $ 3,013  $ 29,057 
Change in fair value during the period $ (2,843) $ (22,869)
Ending fair value $ 170  $ 6,188 
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation
Nine months ended September 30,
Derivative liability 2023 2022
Beginning fair value —  — 
Addition during the period 4,310  — 
Change in fair value during the period $ (2,998) — 
Derecognition of liability upon extinguishment of convertible debt $ (774) — 
Ending fair value $ 538  — 
Nine months ended September 30,
Derivative asset
 2023 2022
Beginning fair value —  — 
Addition during the period 5,966  — 
Change in fair value during the period $ (3,761) — 
Ending fair value $ 2,205  —