Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.2.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 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 June 30, 2022 and December 31, 2021 (in thousands):
 
    
Fair Value Measurement as of June 30, 2022
 
    
Quoted Prices

in Active

Markets for

Identical Assets

(Level 1)
    
Significant

Other

Observable

Inputs

(Level 2)
    
Significant

Unobservable

Inputs

(Level 3)
 
Cash equivalents
   $ 6,792      $ —        $ —    
Marketable securities
     17,753        —          —    
Warrant liabilities
     —          —          4,826  
    
 
 
    
 
 
    
 
 
 
Total
   $ 24,545      $ —        $ 4,826  
    
 
 
    
 
 
    
 
 
 
 
    
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 and six months ended June 30, 2022 and 2021 (in thousands):
 
    
Three Months Ended

June 30,
    
Six Months Ended

June 30,
 
    
2022
    
2021
    
2022
    
2021
 
Balance at beginning of period
   $ 6,742      $ 23,838      $ 2,530      $ 29,404  
(Decrease) increase in fair value (1)
     (1,916      (5,286      2,296        (10,852
    
 
 
    
 
 
    
 
 
    
 
 
 
Balance at end of period
   $ 4,826      $ 18,552      $ 4,826      $ 18,552  
    
 
 
    
 
 
    
 
 
    
 
 
 
 
(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

June 30,

2022
   
As of

December 31,

2021
 
Expected volatility
     146.3     56.5
Remaining contractual term (in years)
     0.08       0.58  
Risk-free interest rate
     1.28     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

June 30,

2022
   
As of

December 31,

2021
 
Expected volatility
     84.6     61.9
Remaining contractual term (in years)
     0.92       1.42  
Risk-free interest rate
     2.80     0.56
Expected dividend yield
     —       —