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Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2023
Fair Value Measurements  
Summary of information about the company's financial instruments that were measured at fair value on a recurring basis

March 31, 2023

(in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Warrant liability

$

$

$

$

Streeterville note

8,198

8,198

Total fair value

$

$

$

8,198

$

8,198

December 31, 2022

(in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Warrant liability

$

$

$

$

Streeterville note

$

$

$

7,839

$

7,839

Total fair value

$

$

$

7,839

$

7,839

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

Three Months Ended

March 31, 2023

(in thousands)

Warrant liability

    

Streeterville note

Beginning fair value of Level 3 liability

  

$

  

$

7,839

Additions

Exercises

Change in fair value

  

 

359

Ending fair value of Level 3 liability

  

$

  

$

8,198

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

2023

2022

to fair value

Risk Adjusted Discount Rate

11.30%-25.66% (25.66%)

11.53%-26.06% (26.06%)

If discount rate is adjusted to total of additional 100 basis points (bps), fair value would have decreased by $319,000.

If discount rate is adjusted to total deduction of 100 bps, fair value would have increased by $319,000.

Sales Proceeds: Amount of comparable TDPRV

$67.5 million to $350 million ($100 million)

$67.5 million to $350 million ($100 million)

If expected cash flows by Management considered the lowest amount of market indications for vouchers, FV would have decreased by $1.06 million.

If expected cash flows by Management considered the highest amount of market indications for vouchers, FV would have increased by $8.18 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.

0.42%-47.08%

0.39%-46.55%

If expected cash flows by Management considered the Scenario with the least amount of indicated value, FV would have decreased by $394,000.

If expected cash flows by Management considered the scenario with the greatest amount of indicated value, FV would have increased by $2.65 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 March 31, 2023

Hybrid Instrument:

Streeterville note

$

8,198

$

6,221

$

1,977