Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.3
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2023
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, 2023 and December 31, 2022 (in thousands):

 

 

Fair Value Measurement as of September 30, 2023

 

 

Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)

 

 

Significant
Other
Observable
Inputs
(Level 2)

 

 

Significant
Unobservable
Inputs
(Level 3)

 

Cash equivalents

 

$

4,086

 

 

$

—

 

 

$

—

 

Marketable securities

 

 

—

 

 

 

—

 

 

 

—

 

Warrant liabilities

 

 

—

 

 

 

—

 

 

 

652

 

Total

 

$

4,086

 

 

$

—

 

 

$

652

 

 

 

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

 
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, 2023 and 2022 (in thousands):

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

2023

 

 

2022

 

 

2023

 

 

2022

 

Balance at beginning of period

 

$

1,861

 

 

$

4,826

 

 

$

9,299

 

 

$

2,530

 

Issuance of Class C Warrant

 

 

—

 

 

 

—

 

 

 

1,793

 

 

 

—

 

(Decrease) increase in fair value (1)

 

 

(1,209

)

 

 

(4,823

)

 

 

(8,998

)

 

 

(2,527

)

Exercise of underlying warrants (2)

 

 

—

 

 

 

—

 

 

 

(1,442

)

 

 

—

 

Balance at end of period

 

$

652

 

 

$

3

 

 

$

652

 

 

$

3

 

 

(1)
The change in fair values of the warrant liabilities is recorded in other income in the consolidated statement of operations.
(2)
The remaining fair value of the warrant liabilities at the time of exercise was transferred into additional paid-in capital in the consolidated balance sheet.
Class C Warrant [Member]  
Assumption Used to Determine Fair Value of Warrant Liability

On June 27, 2023, the Company issued the Class C Warrant pursuant to the Inducement Agreement and determined that this warrant should be classified as a liability and considered as a Level 3 financial instrument (see also Note 9, “Capital Structure”). The Class C Warrant was re-measured at each subsequent reporting period and the changes in fair value have been 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, 2023

 

 

At Issuance

 

Expected volatility

 

 

130.0

%

 

 

129.1

%

Remaining contractual term (in years)

 

 

5.17

 

 

 

5.25

 

Risk-free interest rate

 

 

4.60

%

 

 

4.02

%

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 December 31, 2022. On May 27, 2023, the 2020 Warrants expired in accordance with their terms and are no longer exercisable.

 

 

As of
December 31, 2022

 

Expected volatility

 

 

80.2

%

Remaining contractual term (in years)

 

 

0.42

 

Risk-free interest rate

 

 

4.76

%

Expected dividend yield

 

— %

 
2022 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:

 

 

Class A Warrants

 

 

Class B Warrants

 

 

As of
June 26, 2023

 

 

As of
December 31, 2022

 

 

As of
June 26, 2023

 

 

As of
December 31, 2022

 

Expected volatility

 

 

135.5

%

 

 

99.8

%

 

 

129.5

%

 

 

140.3

%

Remaining contractual term (in years)

 

 

4.63

 

 

 

5.08

 

 

 

0.13

 

 

 

0.58

 

Risk-free interest rate

 

 

4.13

%

 

 

3.99

%

 

 

5.32

%

 

 

4.76

%

Expected dividend yield

 

— %

 

 

— %

 

 

—%

 

 

—%