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Fair Value of Financial Instruments (Tables)
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table provides the assets and liabilities measured at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques utilized by the Company to determine such value at March 31, 2022 and December 31, 2021:

 

 

 

March 31, 2022

 

 

 

Fair Value

 

 

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

 

 

Significant Other Observable Inputs
(Level 2)

 

 

Significant Unobservable Inputs
(Level 3)

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

65,206

 

 

$

65,206

 

 

$

 

 

$

 

 

 

 

December 31, 2021

 

 

 

Fair Value

 

 

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

 

 

Significant Other Observable Inputs
(Level 2)

 

 

Significant Unobservable Inputs
(Level 3)

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

84,102

 

 

$

84,102

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Contingent earnout

 

$

524

 

 

$

 

 

$

 

 

$

524

 

Schedule of Rollforward of the Estimate Fair Values for Instruments

The following tables present the rollforward of the estimated fair values for instruments classified by the Company within Level 3 of the fair value hierarchy defined above, measured using significant unobservable inputs:

 

 

Warrant
liabilities

 

 

Forward
obligation

 

 

Contingent
earnout

 

 

Total

 

 

 

(in thousands)

 

December 31, 2021

 

$

 

 

$

 

 

$

524

 

 

$

524

 

Payment of contingent earnout

 

 

 

 

 

 

 

 

(524

)

 

 

(524

)

March 31, 2022

 

$

 

 

$

 

 

$

 

 

$

 

 

 

 

Warrant
liabilities

 

 

Forward
obligation

 

 

Contingent
earnout

 

 

Total

 

 

 

(in thousands)

 

December 31, 2020

 

$

1,914

 

 

$

2,750

 

 

$

930

 

 

$

5,594

 

Payment of contingent earnout

 

 

 

 

 

 

 

 

(667

)

 

 

(667

)

Change in fair value

 

 

 

 

 

 

 

 

14

 

 

 

14

 

March 31, 2021

 

$

1,914

 

 

$

2,750

 

 

$

277

 

 

$

4,941

 

Summary of Warrants Issued and Outstanding

Warrants issued and outstanding at March 31, 2022 and December 31, 2021 included the following:

Number of warrants

 

 

Exercise price per share

 

 

27,397

 

 

$

10.95

 

 

54,793

 

 

$

17.80

 

 

249,313

 

 

$

20.08

 

 

331,503

 

 

 

 

Summary of Fair Values Determined Using Black-Scholes Option-Pricing Model

As of March 31, 2021, warrants fully vested and outstanding had estimated fair values ranging between $7.88 to $12.28. Fair values were determined using the Black-Scholes option-pricing model with the following input assumptions for the three months ended March 31, 2021:

 

 

Three Months Ended

 

 

March 31, 2021

Expected volatility range (weighted average)

 

79.33 to 86.41% (80.39%)

Dividend yield

 

0.00%

Risk-free interest rates range (weighted average)

 

0.30% to 1.57% (1.31%)

Expected term range (average)

 

2.75 years to 8.52 years (7.01 years)