Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Measurements

Summary of information about the company's financial instruments that were measured at fair value on a recurring basis

	September 30, 2022
(in thousands)	Level 1		Level 2		Level 3		Total
Warrant liability	$	—	$	—	$	—	$	—
Streeterville note		—		—		7,167		7,167
Total fair value	$	—	$	—	$	7,167	$	7,167

	December 31, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Warrant liability	$	—	$	—	$	1	$	1
Streeterville note	$	—	$	—	$	7,818	$	7,818
Total fair value	$	—	$	—	$	7,819	$	7,819

Summary of change in the estimated fair value of level 3 liabilities

	Nine Months Ended
	September 30, 2022
(in thousands)	Warrant liability		Streeterville note
Beginning fair value of Level 3 liability	$	1	$	7,818
Additions		—		—
Exercises		—		—
Change in fair value		(1)		(651)
Ending fair value of Level 3 liability	$	—	$	7,167

Summary of information about the significant unobservable inputs used in level 3 fair value measurements

	Range of Inputs
	(probability-weighted average)		Relationship of unobservable inputs
Unobservable Inputs	2022	2021	to fair value
Risk Adjusted Discount Rate	12.81%-27.34% (27.34%)	6.78% - 21.31% (21.31%)	If discount rate is adjusted to total of additional 100 basis points (bps), fair value would have decreased by $262,000. If discount rate is adjusted to total deduction of 100 bps, fair value would have increased by $262,000.
Sales Proceeds: Amount of comparable TDPRV	$67.5 million to $350 million ($100 million)	$67.5 million to $350.0 million ($100.0 million)	If expected cash flows by Management considered the lowest amount of market indications for vouchers, FV would have decreased by $825,000. If expected cash flows by Management considered the highest amount of market indications for vouchers, FV would have increased by $6.35 million.
Range of Probability for Timing of Cash Flows: Variations of the terms and conditions of the timing of cash flows, including settlement of the note principal, interest, penalties, and acceleration clause.	0.39%-41.88%	0.35%-46.06%	If expected cash flows by Management considered the Scenario with the least amount of indicated value, FV would have decreased by $705,000. If expected cash flows by Management considered the scenario with the greatest amount of indicated value, FV would have increased by $2.76 million.

Summary of the fair value and unpaid principal balance for items the Company accounts for under FVO

(in thousands)	Fair value		Unpaid Principal Balance		Fair Value Over (Under) Unpaid Principal Balance
At September 30, 2022
Hybrid Instrument:
Streeterville note	$	7,167	$	6,221	$	946