Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2023 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.
Fair Value
Level 1 Level 2 Level 3 Total
(in thousands) $ $ $ $
AlbaCore Warrants
 — — — —
Stockholder earnouts — — 244 244
Sponsor earnouts — — 8 8
— — 252 252
Fair Value, Liabilities Measured On Recurring Basis, Observable And Unobservable Input Reconciliation
The following table presents a reconciliation of the fair values for each level of fair value instruments is below:
Tradeable (Level 1) Non-tradeable (Level 2) Non-tradeable (Level 3) Total
(in thousands) $ $ $ $
Balance of Warrant and Earnout liabilities at December 31, 2022 — — 1,378 1,378
Fair value remeasurement of Warrant liabilities prior to settlement of AlbaCore warrants — — 60 60
Settlement of AlbaCore warrants upon issuance of shares — — (771) (771)
Fair value remeasurement of Earnout liabilities — — (415) (415)
Balance of Earnout liabilities at March 31, 2023 — — 252 252
Fair Value Measurement Inputs and Valuation Techniques The key inputs into the Monte Carlo simulation model for the AlbaCore Warrants were as follows on the date of exercise and as of March 31, 2023:
As of As of
March 15, 2023
December 31, 2022
Underlying stock price (USD)
 $ 6.86  $ 6.75 
Exercise price (USD) $ 0.00106  $ 0.00106 
Volatility 81.2  % 75.7  %
Remaining term (years) 3.65 3.85
Risk-free rate
 3.9  % 4.0  %

The key inputs into the Monte Carlo simulation model for the Earnout Shares were as follows as of March 31, 2023 and December 31, 2022:
As of As of
March 31, 2023
December 31, 2022
Underlying stock price (USD)
 $ 5.09  $ 6.75 
Exercise price (USD) N/A N/A
Volatility 74.5  % 75.2  %
Remaining term (years) 4.31 4.56
Risk-free rate
 3.6  % 4.0  %