Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Liabilities Measured at Fair Value on Recurring Basis

The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of March 31, 2022 and 2021 (in thousands):

	Fair value measured at March 31, 2022
	Fair value at March 31, 2022		Quoted prices in active markets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Warrant liability	$	8,300	$	-	$	-	$	8,300
Embedded conversion option		4,575		-		-		4,575
Total fair value		12,875		-		-		12,875

	Fair value measured at December 31, 2021
	Fair value at December 31, 2021		Quoted prices in active markets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Warrant liability	$	9,614		-		-		9,614
Embedded conversion option		6,255		-		-		6,255
Total fair value		15,869		-		-		15,869

Warrants Outstanding and Fair Values

The following table presents changes in Level 3 liabilities measured at fair value for the three months ended March 31, 2022. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g. changes in market interest rates) and unobservable (e.g., changes in unobservable long-dated volatilities) inputs (dollars in thousands):

	Warrant Liability			Conversion Feature			Total
Balance at December 31, 2021	$	9,614		$	6,255		$	15,869
Cashless exercise		(2,167	)		-			(2,167	)
Warrants issued		2,654			-			2,654
Change in fair value		(1,801	)		(1,680	)		(3,481	)
Balance at March 31, 2022	$	8,300		$	4,575		$	12,875

A summary of the warrant liability activity for the three months ended March 31, 2022 is as follows:

	Warrants Outstanding			Fair Value per Share		Fair Value
Balance at December 31, 2021		62,617,188		$	0.15	$	9,614,134
Warrants classified as liabilities		(15,000,000	)		0.14		(2,167,022	)
Warrants issued		16,152,079			0.18		2,654,178
Gain on remeasurement of warrant liability		-					(1,801,225	)
Balance at March 31, 2022		63,769,267		$	0.13	$	8,300,065

Fair Value of Warrant Liabilities Using Black-Scholes Model

Significant Black Scholes valuation model inputs related to the Company’s different Warrants are listed below.

	March 31, 2022			December 31, 2021			New Issuances at Issue Date
Weighted average remaining life in years		5.65			4.67			8.63
Weighted average volatility		131	%		116	%		143	%
Weighted average risk free interest rate		2.2	%		1.2	%		2.0	%
Expected dividend yield		0.00	%		0.00	%		0.00	%