Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value, Assets Measured on Recurring Basis

Assets and liabilities that are measured at fair value on a recurring basis, and the level of the fair value hierarchy utilized to determine such fair values, as shown in the following tables (in thousands):


	Balance as of March 31, 2023
	Level 1		Level 2		Level 3		Total
Assets:
Forward Purchase Agreement	$	—	$	1,742	$	—	$	1,742
Total	$	—	$	1,742	$	—	$	1,742
Liabilities:
Public Warrants	$	586	$	—	$	—	$	586
Exchangeable Right liability	—		—		366		366
Second Lien Note	—		—		4,054		4,054
Unsecured Note	—		—		2,114		2,114
Warrant Liability - Second Lien Securities Purchase Agreement	—		—		2,051		2,051
Warrant Liability - Unsecured Note Offering	—		—		1,063		1,063
Secured Convertible Note	—		—		11,510		11,510
Warrant Liability - GM Securities Purchase Agreement	—		—		380		380
Total	$	586	$	—	$	21,538	$	22,124


	Balance as of December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Forward Purchase Agreement	$	—	$	2,687	$	—	$	2,687
Total	$	—	$	2,687	$	—	$	2,687
Liabilities:
Public Warrants	$	594	$	—	$	—	$	594
Exchangeable Right liability	—		—		403		403
Secured Convertible Note	—		—		11,390		11,390
Warrant Liability - GM Securities Purchase Agreement	—		—		343		343
Total	$	594	$	—	$	12,136	$	12,730

Fair Value, Liabilities Measured on Recurring Basis


	Balance as of March 31, 2023
	Level 1		Level 2		Level 3		Total
Assets:
Forward Purchase Agreement	$	—	$	1,742	$	—	$	1,742
Total	$	—	$	1,742	$	—	$	1,742
Liabilities:
Public Warrants	$	586	$	—	$	—	$	586
Exchangeable Right liability	—		—		366		366
Second Lien Note	—		—		4,054		4,054
Unsecured Note	—		—		2,114		2,114
Warrant Liability - Second Lien Securities Purchase Agreement	—		—		2,051		2,051
Warrant Liability - Unsecured Note Offering	—		—		1,063		1,063
Secured Convertible Note	—		—		11,510		11,510
Warrant Liability - GM Securities Purchase Agreement	—		—		380		380
Total	$	586	$	—	$	21,538	$	22,124


	Balance as of December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Forward Purchase Agreement	$	—	$	2,687	$	—	$	2,687
Total	$	—	$	2,687	$	—	$	2,687
Liabilities:
Public Warrants	$	594	$	—	$	—	$	594
Exchangeable Right liability	—		—		403		403
Secured Convertible Note	—		—		11,390		11,390
Warrant Liability - GM Securities Purchase Agreement	—		—		343		343
Total	$	594	$	—	$	12,136	$	12,730

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table provides a roll forward of the aggregate fair value of the Company’s public warrant liability, Exchangeable Right Liability, Forward Purchase Agreement, GM Securities Purchase Agreement, Second Lien Securities Purchase Agreement, and Unsecured Note Offering (in thousands):


	Public Warrant Liability		Exchange- able Right Liability		Forward Purchase Agreement		GM Securities Purchase Agreement		Second Lien Securities Purchase Agreement		Unsecured Note Offering
Balance as of December 31, 2022	$	594	$	403	$	2,687	$	11,733	$	—	$	—
Initial fair value of financial instruments	—		—		—		—		5,687		3,181
Settlement of FPA shares	—		—		(805)		—		—		—
Change in estimated fair value	(8)		(37)		(140)		157		418		(4)
Balance as of March 31, 2023	$	586	$	366	$	1,742	$	11,890	$	6,105	$	3,177

Summary of Significant Unobservable Inputs that Included In Valuation of Advanced Subscription Agreements and Derivative Liability

The following table summarizes the significant unobservable inputs that are included in the valuation of Exchangeable right liability as of March 31, 2023 and December 31, 2022:


	March 31, 2023				December 31, 2022
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Estimated term	3.6 years		3.6 years		3.9 years		3.9 years
Estimated volatility	93.6	%	93.6	%	93.0	%	93.0	%
Risk-free rate	3.7	%	3.7	%	4.1	%	4.1	%

The following table summarizes the significant unobservable inputs that are included in the valuation of the SCN as of March 31, 2023 and December 31, 2022:


	March 31, 2023						December 31, 2022
Unobservable Inputs	Input Value or Range			Weighted Average			Input Value or Range			Weighted Average
Probability of scenarios:
Financing of $35 million or more within 1 year	45.0		%	45.0		%	45.0		%	45.0		%
Financing of $25 to $35 million within 1 year	30.0		%	30.0		%	30.0		%	30.0		%
Financing of less than $25 million within 1 year	25.0		%	25.0		%	25.0		%	25.0		%
Timing of scenarios:
Term to maturity	0.7 years			0.7 years			1.0 years			1.0 years
Estimated market yield	17.3		%	17.3		%	18.0		%	18.0		%
Risk-free rate	4.8		%	4.8		%	4.7		%	4.7		%
Estimated credit spread	17.5		%	17.5		%	13.2		%	13.2		%
Value of common share	$	0.49		$	0.49		$	0.48		$	0.48

The following table summarizes the significant unobservable inputs that are included in the valuation of GM Warrants as of March 31, 2023 and December 31, 2022:


	March 31, 2023				December 31, 2022
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Estimated term	2.7 years		2.7 years		3.0 years		3.0 years
Estimated volatility	125.0	%	125.0	%	110.0	%	110.0	%
Risk-free rate	3.9	%	3.9	%	4.2	%	4.2	%

The following table summarizes the significant unobservable inputs that are included in the valuation of the Second Lien Note as of March 31, 2023 and February 27, 2023 (date of issuance):


	March 31, 2023				February 27, 2023
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Probability of scenarios:
Held to extended maturity	70.0	%	70.0	%	90.0	%	90.0	%
Additional extension of maturity	30.0	%	30.0	%	10.0	%	10.0	%
Timing of scenarios:
Term to maturity	0.1 years		0.1 years		0.1 years		0.1 years
Estimated market yield	25.0	%	25.0	%	17.9	%	17.9	%
Contractual Interest	10.0	%	10.0	%	10.0	%	10.0	%

The following table summarizes the significant unobservable inputs that are included in the valuation of the Second Lien Warrant as of March 31, 2023 and February 27, 2023 (date of issuance):


	March 31, 2023				February 27, 2023
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Estimated term	5.0 years		5.0 years		5.0 years		5.0 years
Estimated volatility	62.1	%	62.1	%	60.1	%	60.1	%
Risk-free rate	3.6	%	3.6	%	4.2	%	4.2	%

The following table summarizes the significant unobservable inputs that are included in the valuation of the Unsecured Note as of March 31, 2023 and March 21, 2023 (date of issuance):


	March 31, 2023				March 21, 2023
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Probability of scenarios:
Default or held to maturity	100.0	%	100.0	%	100.0	%	100.0	%
Timing of scenarios:
Term to maturity	0.1 years		0.1 years		0.2 years		0.2 years
Estimated market yield	27.5	%	27.5	%	24.0	%	24.0	%
Contractual Interest	10.0	%	10.0	%	10.0	%	10.0	%

The following table summarizes the significant unobservable inputs that are included in the valuation of Unsecured Note Warrant as of March 31, 2023 and March 21, 2023 (date of issuance):


	March 31, 2023				March 21, 2023
Unobservable Inputs	Input Value or Range		Weighted Average		Input Value or Range		Weighted Average
Estimated term	5.0 years		5.0 years		5.0 years		5.0 years
Estimated volatility	62.1	%	62.1	%	62.1	%	62.1	%
Risk-free rate	3.6	%	3.6	%	3.7	%	3.7	%