Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.3
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assets And Liabilities Measured on Recurring Basis
The following table sets forth, by level within the fair value hierarchy, the accounting of the Company’s financial assets and liabilities at fair value on a recurring and nonrecurring basis according to the valuation techniques the Company uses to determine their fair value:

  September 30, 2023
  Level 1 Level 2 Level 3
(in thousands)
Recurring fair value measurements      
Assets:      
 Money market funds
$ 18,231 $ $
Liabilities:
March 2023 Cargill Warrant Liability
$ $ $ 8,780
December 31, 2022
Level 1 Level 2 Level 3
(in thousands)
Recurring fair value measurements
Assets:
 Money market funds
$ 13,997 $ $
Schedule of Changes in Level 3 Fair Value Measurement for the Warrant Liability The following table presents changes in the Level 3 fair value measurement for the warrant liability on a recurring basis:
September 30,
2023
(in thousands)
Balance as of March 28, 2023 (initial measurement) $ 25,697
Fair value measurement adjustments (15,151)
Balance as of June 30, 2023 10,546
Fair value measurement adjustments (1,766)
Balance as of September 30, 2023 $ 8,780
Fair Value Measurement Inputs and Valuation Techniques
The key inputs into the Black-Scholes-Merton option pricing model used to determine the fair value of the 2023 Cargill Warrant Liability were as follows at their measurement dates:

September 30,
2023
March 28, 2023
(initial measurement)
Input
Share price $ 2.45 $ 5.84
Risk-free interest rate 4.60% 3.63%
Volatility 128% 135%
Exercise price $ 13.00 $ 13.00
Warrant life (years) 4.5 5.0
Dividend yield —% —%