4. Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Schedule of Fair Value Hierarchy Assets and Liabilities

The Company’s financial assets and liabilities measured at fair value at March 31, 2022 and December 31, 2021 are as follows (in thousands):

		Fair Value Measurements
		as of March 31, 2022
		(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Cash	$	61,772	$	-	$	-	$	61,772
Liabilities:
Convertible notes payable, at fair value	$	-	$	-	$	19,164	$	19,164
Warrant liabilities, at fair value		-		-		190		190
	$	-	$	-	$	19,354	$	19,354

		Fair Value Measurements
		as of December 31, 2021
		(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Cash	$	78,734	$	-	$	-	$	78,734
Liabilities:
Convertible notes payable, at fair value	$	-	$	-	$	18,920	$	18,920
Derivative liability, at fair value		1,174		-		-		1,174
Warrant liabilities, at fair value		-		-		424		424
	$	1,174	$	-	$	19,344	$	20,518

Schedule of Fair Value Level 3 Reconciliation

The following table is a reconciliation for the common stock warrant liabilities and convertible notes measured at fair value using Level 3 unobservable inputs (in thousands): 

		Warrant		Derivative		Convertible notes,
		liabilities		liability		at fair value
Balance as of December 31, 2020	$	1,062	$	-	$	-
Warrant liability reclassified to stockholders' equity		(1,155)		-		-
Issuance of convertible notes, at fair value		-		-		19,150
Issuance of derivative liability		-		805		-
Change in fair value measurement of derivative liability		-		369		-
Change in fair value measurement of convertible notes		-		-		(230)
Change in fair value measurement of warrant liability		517		-		-
Balance as of December 31, 2021	$	424	$	1,174	$	18,920
Settlement of derivative liability		-		(1,174)		-
Change in fair value measurement of convertible notes		-		-		244
Change in fair value measurement of warrant liability		(234)		-		-
Balance as of March 31, 2022	$	190	$	-	$	19,164

Long-Term Debt [Member]

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Summary of Fair Value Measurements Warrant Valuation Assumptions

The 2021 Convertible Notes are valued using a Monte Carlo simulation model. The following assumptions were used in determining the fair value of the 2021 Convertible Notes as of March 31, 2022 and December 31, 2021:

		Three Months Ended		Year Ended
		March 31, 2022		December 31, 2021
Risk-free interest rate		2.45%		0.90% - 0.95%
Volatility		105%		113% - 114%
Dividend yield		-%		-%
Contractual term (years)		2.7		3.0
Stock price	$	0.84	$	1.74 - 1.95

Warrant [Member]

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Summary of Fair Value Measurements Warrant Valuation Assumptions

The following assumptions were used in determining the fair value of the warrant liabilities valued using the Black-Scholes option pricing model for the three months ended March 31, 2022 and 2021.

		Three Months Ended March 31,
		2022		2021
Risk-free interest rate		1.96%		0.32%
Volatility		103.30%		120.91%
Dividend yield		-%		-%
Expected term (years)		1.82		2.82
Weighted-average fair value	$	0.63	$	4.76