Quarterly report pursuant to Section 13 or 15(d)


9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability, an exit price, in an orderly transaction between unaffiliated willing market participants on the measurement date under current market conditions. Assets and liabilities recorded at fair value are measured and classified in accordance with a three-tier fair value hierarchy based on the observability of the inputs available and activity in the markets used to measure fair value. A financial instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.
Level 1 - Quoted prices, unadjusted, in active markets for identical assets or liabilities that can be accessed at the measurement date.
Level 2 - Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly.
Level 3 - Unobservable inputs developed using our own estimates and assumptions, which reflect those that market participants would use in pricing the asset or liability.
Financial instruments that are measured at fair value on a recurring basis and their corresponding placement in the fair value hierarchy consisted of the following (in thousands):
September 30, 2022
Level 1 Level 2 Level 3 Fair Value
Cash equivalents $ 162,392  $ —  $ —  $ 162,392 
Warrant liability - Public Warrants 1,278  —  —  1,278 
Warrant liability - Private Warrants —  725  —  725 
Total liabilities $ 1,278  $ 725  $ —  $ 2,003 
December 31, 2021
Level 1 Level 2 Level 3 Fair Value
Cash equivalents $ 408,082  $ —  $ —  $ 408,082 
Warrant liability - Public Warrants 6,553  —  —  6,553 
Warrant liability - Private Warrants —  3,715  —  3,715 
Total liabilities $ 6,553  $ 3,715  $ —  $ 10,268 
The carrying amount of cash equivalents approximates fair value and is classified within Level 1, because we determined the fair value through quoted market prices.
The warrants were accounted for as a liability in accordance with ASC 815-40 (see Note 18). The warrant liability was measured at fair value upon assumption and on a recurring basis, with changes in fair value presented in the condensed consolidated statements of operations.
As of September 30, 2022 and December 31, 2021, we used Level 1 inputs for the Public Warrants and Level 2 inputs for the Private Warrants. We valued the Private Warrants by applying the valuation technique of a Monte Carlo simulation model to reflect the redemption conditions. The Private Warrants are substantially similar to the Public Warrants, but not directly traded or quoted on an active trading market.
The following table presents the changes in the fair value of the warrant liability (in thousands):
Public Warrants Private Warrants Total
Warrant Liability
Fair value as of December 31, 2021 $ 6,553  $ 3,715  $ 10,268 
Change in fair value of warrant liability (5,275) (2,990) (8,265)
Fair value as of September 30, 2022 $ 1,278  $ 725  $ 2,003