Fair Value of Financial Assets and Liabilities (Tables)

3 Months Ended

9 Months Ended

Sep. 30, 2022

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value

The following tables present information about the Company’s financial assets and liabilities measured at fair value on a recurring basis and indicate the level of the fair value hierarchy used to determine such fair values:

	Fair Value Measurements as of September 30, 2022 Using:
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents—money market funds	$	—	$	2,516	$	—	$	2,516
	$	—	$	2,516	$	—	$	2,516
Liabilities:
Embedded derivative liability	$	—	$	—	$	310	$	310
	$	—	$	—	$	310	$	310

	Fair Value Measurements as of December 31, 2021 Using:
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents—money market funds	$	20,000	$	27,793	$	—	$	47,793
	$	20,000	$	27,793	$	—	$	47,793
Liabilities:
Embedded derivative liability	$	—	$	—	$	821	$	821
	$	—	$	—	$	821	$	821

Summary of Aggregate Fair Values of Warrant Liability and Derivative Liability

The following table provides a roll-forward of the aggregate fair values financial instruments for which fair values are determined using Level 3 inputs:

(in thousands)	Embedded Derivative Liability		Warrant Liability		Total
Balance as of December 31, 2021	$	821	$	—	$	821
Issuance of warrants (see Note 10)	—		41,249		41,249
Change in fair value	(511)		(2,495)		(3,006)
Reclassification of warrant liability to permanent equity	—		(38,754)		(38,754)
Balance as of September 30, 2022	$	310	$	—	$	310

Schedule of Share-based Payment Award, Stock Options, Valuation Assumptions

	July 6, 2022			September 1, 2022
Risk-free interest rate	2.96		%	3.29		%
Expected term (in years)	5.0 years			4.9 years
Expected volatility	97.3		%	97.5		%
Expected dividend yield	—		%	—		%
Fair value of warrant liability	$	41,249		$	38,754