Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Instruments (Tables)

v3.23.1
Fair Value of Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assumptions These two types of inputs have created the following
fair-value hierarchy:
Level 1:
Quoted prices for identical instruments in active markets;
Level 2:
Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets; and
Level 3:
Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
The following table presents the fair value per warrant and the valuation assumptions under the Black-Scholes OPM as of March 31, 2023 and December 31, 2022:
March 31,
2023		 December 31, 2022
Fair value per share $ 0.53  $ 0.17 
Warrants outstanding 7,732,168  7,732,168 
Exercise price $ 11.50  $ 11.50 
Common stock price $ 3.03  $ 1.98 
Expected option term (years) 3.42 years 3.67 years
Expected volatility 66.90  % 60.70  %
Risk-free rate of return 3.70  % 4.10  %
Expected annual dividend yield —  % —  %
Schedule of Liabilities Measured at Fair Value
The following table presents information about the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022 were as follows:
  March 31, 2023
  Balance Sheet Location Level 1 Level 2 Level 3 Total
Assets:
Committed equity facility Other non-current assets $ —  $ —  $ 322  $ 322 
Total assets $ —  $ —  $ 322  $ 322 
Liabilities:
Private warrants Warrant liabilities $ —  $ —  $ 4,098  $ 4,098 
Contingent consideration
 Notes payable to sellers —  —  —  — 
Total liabilities $ —  $ —  $ 4,098  $ 4,098 
December 31, 2022
Balance Sheet Location Level 1 Level 2 Level 3 Total
Assets:
Committed equity facility Other non-current assets $ —  $ —  $ 216  $ 216 
Total assets $ —  $ —  $ 216  $ 216 
Liabilities:
Private warrants Warrant liabilities $ —  $ —  $ 1,314  $ 1,314 
Contingent consideration
 Notes payable to sellers —  —  1,000  1,000 
Total liabilities $ —  $ —  $ 2,314  $ 2,314 
Changes in the Fair Value of Level 3 Financial Assets
Changes in the fair value of Level 3 financial assets and liabilities were as follows:
Assets: Committed Equity Facility Total
Level 3
December 31, 2022 $ 216  $ 216 
Changes in fair value
 106  106 
March 31, 2023 $ 322  $ 322 
Liabilities: Contingent Consideration Private
Warrants		 Total
Level 3
December 31, 2022 $ 1,000  $ 1,314  $ 2,314 
Changes in fair value
 —  2,784  2,784 
Settlements
 (1,000) —  (1,000)
March 31, 2023 $ —  $ 4,098  $ 4,098 
Changes in the Fair Value of Level 3 Financial Liabilities
Changes in the fair value of Level 3 financial assets and liabilities were as follows:
Assets: Committed Equity Facility Total
Level 3
December 31, 2022 $ 216  $ 216 
Changes in fair value
 106  106 
March 31, 2023 $ 322  $ 322 
Liabilities: Contingent Consideration Private
Warrants		 Total
Level 3
December 31, 2022 $ 1,000  $ 1,314  $ 2,314 
Changes in fair value
 —  2,784  2,784 
Settlements
 (1,000) —  (1,000)
March 31, 2023 $ —  $ 4,098  $ 4,098