PUBLIC OFFERING AND PRIVATE PLACEMENT (Tables)

9 Months Ended

Sep. 30, 2021

Statement of Stockholders' Equity [Abstract]

Schedule of Derivative Liabilities at Fair Value

The fair value of the warrants has been estimated with the following weighted-average assumptions, including the most sensitive input, volatility:

	September 30, 2021	December 31, 2020
Risk-free interest rate	0.95%	0.46%
Volatility	95.00%	90.00%
Expected term (years)	4.89	5.64

The fair value of the private placement option has been estimated with the following weighted-average assumptions, including the most sensitive input, volatility:

	September 30, 2021		December 31, 2020
Risk-free interest rate	1.33	%	0.77	%
Volatility	95.00	%	90.00	%
Expected term (years)	7.00		7.00

The following table provides the warrant derivative and private placement option reported at fair value and measured on a recurring basis:

	Fair Value at September 30, 2021						Fair Value at December 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Warrant derivative liability	$	—	$	—	$	7,842	$	—	$	—	$	10,345
Private placement option liability	—		—		2,800		—		—		7,803
Total fair value	$	—	$	—	$	10,642	$	—	$	—	$	18,148

The following table reflects the fair value roll forward reconciliation of the warrant derivative and private placement option liabilities for the period ended September 30, 2021:

(in thousands)	Warrant Derivative Liability		Private Placement Option Liability		Total
Balance, December 31, 2020	$	10,345	$	7,803	$	18,148
Change in fair value	(2,503)		(5,003)		(7,506)
Balance, September 30, 2021	$	7,842	$	2,800	$	10,642