Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.2.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 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 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  
    
 
 
    
 
 
    
 
 
 
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 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  
    
 
 
    
 
 
    
 
 
   
 
 
 
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
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
     —       —