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Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Schedule of Fair Value of Assets and Liabilities Measured 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 December 31, 2021 and 2020 (in thousands):

 

  

Quoted

prices in

active

markets

(Level 1)

  

Significant

other

observable

inputs

(Level 2)

  

Significant

unobservable

inputs

(Level 3)

   Total 
   Fair valued measured at December 31, 2021 
  

Quoted

prices in

active

markets

(Level 1)

  

Significant

other

observable

inputs

(Level 2)

  

Significant

unobservable

inputs

(Level 3)

   Total 
Financial liabilities at fair value:                    
Warrant liabilities  $-   $-   $3,548   $3,548 
Total financial liabilities at fair value  $  -   $  -   $      3,548   $3,548 

 

  

Quoted

prices in

active

markets

(Level 1)

  

Significant

other

observable

inputs

(Level 2)

  

Significant

unobservable

inputs

(Level 3)

   Total 
   Fair valued measured at December 31, 2020 
  

Quoted

prices in

active

markets

(Level 1)

  

Significant

other

observable

inputs

(Level 2)

  

Significant

unobservable

inputs

(Level 3)

   Total 
Financial liabilities at fair value:                    
Warrant liabilities  $  -   $   -   $22,686   $22,686 
Total financial liabilities at fair value  $-   $-   $  22,686   $22,686 
Schedule of Liability for Derivatives and Warrants

The following table presents changes in Level 3 liabilities measured at fair value (in thousands) for the years ended December 31, 2021, 2020 and 2019. Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.

 

   Derivative - Convertible Notes   Profits Interests Sold   Embedded Put Option   Warrant
liabilities
 
Fair value at December 31, 2018  $1,018   $-   $-   $4,528 
Change in fair value   (678)   198    (137)   (4,504)
Additions   863    1,773    589    - 
Redemption   -    -    (76)   - 
Fair value at December 31, 2019   1,203    1,971    376    24 
Change in fair value   (206)   (1,971)   (220)   83,338 
Additions   3,583    -    172    50,743 
Redemption   (4,580)   -    (328)   (97,884)
Reclassification of warrant liabilities   -    -    -    (13,535)
Fair value at December 31, 2020   -    -    -    22,686 
Change in fair value   -    -    -    (2,659)
Redemption   -    -    -    (16,479)
Fair value at December 31, 2021  $-   $-   $-   $3,548 
Schedule of Warrant Liabilities, Change in Using Black Scholes to Monte Carlo Simulation Assumptions

The Company used a Black-Scholes model to estimate the fair value of the warrant liabilities at December 31, 2021 and 2020 using the following inputs:

 

   December 31, 2021   December 31, 2020 
Fair value of underlying common shares  $15.52   $28.00 
Exercise price  $9.25   $9.25 
Expected dividend yield   %     %  
Expected volatility   50.9% - 52.8%    73.9% - 75.1% 
Weighted average expected volatility   52.7%    74.35% 
Risk free interest rate   0.06% - 0.06%    0.10% - 0.11% 
Weighted average risk-free interest rate   0.06%    0.11% 
Expected term (years)   0.14 - 0.15    1.14 - 1.24 
Weighted average expected term (years)   0.14    1.19