Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2022
Information about Company's Financial Assets and Liabilities Measured at Fair Value on Recurring Basis
The following fair value hierarchy table presents information about the Company’s financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 (in thousands):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    
Fair Value Measurement as of March 31, 2022
 
    
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(Level 3)
 
Cash equivalents
   $ 6,276      $ —        $ —    
Marketable securities
     32,644        —          —    
Warrant liabilities
     —          —          6,742  
    
 
 
    
 
 
    
 
 
 
Total
   $ 38,920      $ —        $ 6,742  
    
 
 
    
 
 
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    
Fair Value Measurement as of December 31, 2021
 
    
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(Level 3)
 
Cash equivalents
   $ 7,734      $ —        $ —    
Marketable securities
     37,631        —          —    
Warrant liabilities
     —          —          2,530  
    
 
 
    
 
 
    
 
 
 
Total
   $ 45,365      $ —        $ 2,530  
    
 
 
    
 
 
    
 
 
 
Reconciliation of Company's Financial Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)
The following tables present a reconciliation of the Company’s financial liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2022 and 2021 (in thousands):
 
 
 
 
 
 
 
 
 
 
    
Three Months Ended
March 31,
 
    
2022
    
2021
 
Balance at beginning of period
   $ 2,530      $ 29,404  
Decrease in fair value (1)
     4,212        (5,567
    
 
 
    
 
 
 
Balance at end of period
   $ 6,742      $ 23,837  
    
 
 
    
 
 
 
 
(1)
The change in fair values of the warrant liabilities is recorded in other income in the consolidated statement of operations.
2017 Warrants [Member]  
Assumption Used to Determine Fair Value of Warrant Liability The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:
 
 
 
 
 
 
 
 
 
 
    
As of
March 31,
2022
   
As of
December 31,
2021
 
Expected volatility
     80.2     56.5
Remaining contractual term (in years)
     0.33       0.58  
Risk-free interest rate
     0.52     0.19
Expected dividend yield
     —       —  
2020 Warrants [Member]  
Assumption Used to Determine Fair Value of Warrant Liability The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:
 
 
 
 
 
 
 
 
 
 
    
As of
March 31,
202
2
   
As of
December 31,
202
1
 
Expected volatility
     71.3     61.9
Remaining contractual term (in years)
     1.17       1.42  
Risk-free interest rate
     1.63     0.56
Expected dividend yield
     —       —