Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

Fair Value Measurements

9 Months Ended

Sep. 30, 2022

4. Fair Value Measurements

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 September 30, 2022 and December 31, 2021 (in thousands):


	Fair Value Measurement as of September 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	$	3,017	$	—	$	—
Marketable securities		12,984		—		—
Warrant liabilities		—		—		3

Total	$	16,001	$	—	$	3


	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

The Company issued warrants to the purchasers of its May 27, 2020 offering (the “2020 Warrants”). The Company determined that these warrants should be classified as a liability and considered as a Level 3 financial instrument (see also Note 9, “Capital Structure”). The 2020 Warrants are

re-measured

at each subsequent reporting period and changes in fair value are recognized in the consolidated statement of operations. The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:


	As of September 30, 2022			As of December 31, 2021
Expected volatility		136.5	%		61.9	%
Remaining contractual term (in years)		0.67			1.42
Risk-free interest rate		3.99	%		0.56	%
Expected dividend yield		—	%		—	%

Warrant liabilities

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 nine months ended September 30, 2022 and 2021 (in thousands):


	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Balance at beginning of period	$	4,826		$	18,552		$	2,530		$	29,404
(Decrease) increase in fair value (1)		(4,823	)		(6,358	)		(2,527	)		(17,210	)

Balance at end of period	$	3		$	12,194		$	3		$	12,194

(1)	The change in fair values of the warrant liabilities is recorded in other income in the consolidated statement of operations.

The key inputs into the Black-Scholes option pricing model are the current

per-share

value and the expected volatility of the Company’s common stock. Significant changes in these inputs will directly increase or decrease the estimated fair value of the Company’s warrant liabilities.