FAIR VALUE MEASUREMENTS AND INVESTMENT SECURITIES (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2022 and December 31, 2021:

	Fair Value at September 30, 2022						Fair Value at December 31, 2021
(in thousands)	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Cash equivalents:
Money market funds	$	28,017	$	—	$	—	$	42,487	$	—	$	—
Total cash equivalents	$	28,017	$	—	$	—	$	42,487	$	—	$	—

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

	Fair Value at September 30, 2022						Fair Value at December 31, 2021
(in thousands)	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Warrant derivative liability	$	—	$	—	$	1,946	$	—	$	—	$	2,773
Total fair value	$	—	$	—	$	1,946	$	—	$	—	$	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:

	September 30, 2022	December 31, 2021
Risk-free interest rate	4.20%	1.22%
Volatility	100.00%	94.00%
Expected term (years)	3.88	4.64

The following table reflects the fair value roll forward reconciliation of the warrant derivative liabilities for the period ended September 30, 2022:

(in thousands)	Warrant Derivative Liability
Balance, December 31, 2021	$	2,773
Change in fair value	(827)
Balance, September 30, 2022	$	1,946