Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.22.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
6 Months Ended
Jun. 30, 2022
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Summary of Assets and Liabilities Measurements on a Recurring Basis
As of June 30, 2022 and December 31, 2021, the Company’s financial assets and liabilities measured and recorded at fair value on a recurring basis were classified within the fair value hierarchy as follows (in thousands):
June 30, 2022 December 31, 2021
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Assets
Cash equivalents $ 120  $ 98,184  $ —  $ 98,304  $ 27,389  $ —  $ —  $ 27,389 
Investments:
Commercial paper, available for sale —  121,368  —  121,368  —  76,930  —  76,930 
Corporate Bonds, available for sale —  99,215  —  99,215  —  84,588  —  84,588 
Municipal bonds, available for sale —  10,748  —  10,748  —  5,847  —  5,847 
Total investments —  231,331  —  231,331  —  167,365  —  167,365 
Total assets $ 120  $ 329,515  $ —  $ 329,635  $ 27,389  $ 167,365  $ —  $ 194,754 
Liabilities
Warrant liability:
RTI warrants $ —  $ —  $ 3,379  $ 3,379  $ —  $ —  $ 5,175  $ 5,175 
Private warrants —  —  681  681  —  —  938  938 
Series A warrants —  47,321  —  47,321  —  —  —  — 
Total warrant liability $ —  $ 47,321  $ 4,060  $ 51,381  $ —  $ —  $ 6,113  $ 6,113 
Private warrants  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair Value Measurement Inputs
The private warrants are measured at fair value on a recurring basis using a Black-Scholes model. The private warrants are classified as Level 3 and were valued using the following assumptions:
June 30, 2022 December 31, 2021
Expected annual dividend yield —  % —  %
Expected volatility 76.1  % 69.5  %
Risk-free rate of return 2.97  % 1.14  %
Expected option term (years) 3.72 4.22
Level 3 Liabilities Measured at Fair Value
A summary of the private warrants activity from December 31, 2021 to June 30, 2022 is as follows:
Fair value
(Level 3)
Balance at December 31, 2021 $ 938 
Change in fair value (257)
Balance at June 30, 2022 $ 681 
RTI warrants  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair Value Measurement Inputs
The Company has determined its warrant to be a Level 3 fair value measurement and has remeasured using a Binomial Tree option pricing model to calculate its fair value using the following assumptions:
June 30, 2022 December 31, 2021
Expected annual dividend yield —  % —  %
Expected volatility 58.4  % 59.6  %
Risk-free rate of return 2.39  % 0.97  %
Expected option term (years) 2.5 3.0
Level 3 Liabilities Measured at Fair Value
Changes in Level 3 liabilities measured at fair value for six months ended June 30, 2022 are as follows (in thousands):
Fair value
(Level 3)
Balance at December 31, 2021 $ 5,175 
Change in fair value (1,796)
Balance at June 30, 2022 $ 3,379