Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.23.1
Fair Value Measurements
3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurements
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
W
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
in
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.