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FAIR VALUE MEASUREMENTS AND INVESTMENT SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Summary of Assets Measured at Fair Value on a Recurring Basis The following table presents the Company’s investment securities (including, if applicable, those classified on the Company’s balance sheet as cash equivalents) that are measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021:
Fair Value at March 31, 2022
Fair Value at December 31, 2021
(in thousands)
Level 1
Level 2
 Level 3
Level 1Level 2 Level 3
Cash equivalents:
Money market funds$34,999 $— $— $42,487 $— $— 
Total cash equivalents$34,999 $— $— $42,487 $— $— 
The following table provides the warrant derivative liability reported at fair value and measured on a recurring basis:
Fair Value at March 31, 2022
Fair Value at December 31, 2021
(in thousands)Level 1Level 2Level 3Level 1Level 2Level 3
Warrant derivative liability$— $— $4,410 $— $— $2,773 
Total fair value$— $— $4,410 $— $— $2,773 
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:
March 31, 2022December 31, 2021
Risk-free interest rate
2.40%1.22%
Volatility
92.00%94.00%
Expected term (years)
4.384.64
The following table reflects the fair value roll forward reconciliation of the warrant derivative liabilities for the period ended March 31, 2022:
(in thousands)Warrant Derivative Liability
Balance, December 31, 2021
$2,773 
Change in fair value1,637 
Balance, March 31, 2022
$4,410