Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

Fair Value Measurements

3 Months Ended

Mar. 31, 2023

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 March 31, 2023 and December 31, 2022 (in thousands):


	Fair Value Measurement as of March 31, 2023
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Cash equivalents	$	10,186	$	—	$	—
Marketable securities		2,025		—		—
Warrant liabilities		—		—		1,899

Total	$	12,211	$	—	$	1,899


	Fair Value Measurement as of December 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	$	7,596	$	—	$	—
Marketable securities		4,775		—		—
Warrant liabilities		—		—		9,299

Total	$	12,371	$	—	$	9,299

The Company issued warrants to the purchasers of its 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 March 31, 2023			As of December 31, 2022
Expected volatility		183.8	%		80.2	%
Remaining contractual term (in years)		0.17			0.42
Risk-free interest rate		4.79	%		4.76	%
Expected dividend yield		—	%		—	%

The Company issued

the

Class A

Warrant

and Class B

arrant to the purchaser of its 2022 Offering (together, the “2022 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 2022 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:


	Class A Warrants						Class B Warrants
	As of March 31, 2023			As of December 31, 2022			As of March 31, 2023			As of December 31, 2022
Expected volatility		108.0	%		99.8	%		164.7	%		140.3	%
Remaining contractual term (in years)		4.83			5.08			0.33			0.58
Risk-free interest rate		3.60	%		3.99	%		4.97	%		4.76	%
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 months ended March 31, 2023 and 2022 (in thousands):


	Three Months Ended March 31,
	2023			2022
Balance at beginning of period	$	9,299		$	2,530
(Decrease) increase in fair value (1)		(7,400	)		4,212

Balance at end of period	$	1,899		$	6,742

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

The key inputs

to the Black-Scholes option pricing model are the 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 liability.