Fair Value Measurements

9 Months Ended

Sep. 30, 2022

The following tables present the Company's financial assets and liabilities measured at fair value on a recurring basis and their assigned levels within the fair value hierarchy (in thousands):


	September 30, 2022
	Level 1		Level 2		Level 3		Total
Money market funds(1)	$	10,737	$	—	$	—	$	10,737
Total assets	$	10,737	$	—	$	—	$	10,737
Warrant liabilities	$	—	$	—	$	24	$	24
Total liabilities	$	—	$	—	$	24	$	24


	December 31, 2021
	Level 1		Level 2		Level 3		Total
Money market funds(1)	$	87,252	$	—	$	—	$	87,252
Total assets	$	87,252	$	—	$	—	$	87,252
Warrant liabilities	$	—	$	—	$	114	$	114
Total liabilities	$	—	$	—	$	114	$	114

_________________

(1) Included in cash and cash equivalents on the condensed consolidated balance sheets. This balance includes cash requirements settled on a nightly basis.

There were no transfers made among the three levels in the fair value hierarchy during periods presented.

The following table presents a summary of changes in the fair value of the Company’s common stock warrant liability (in thousands):


	September 30, 2022		December 31, 2021
Balance, beginning of the period	$	114	$	10,704
Net exercise of warrants	—		(13,509)
Change in fair value	(90)		2,919
Balance, end of the period	$	24	$	114

The fair value of the warrants issued by the Company has been estimated using a variant of the Black Scholes option pricing model. The underlying equity included in the Black Scholes option pricing model was valued based on the equity value implied from sales of preferred and common stock at each measurement date. The fair value of the warrants was impacted by the model selected as well as assumptions surrounding unobservable inputs including the underlying equity value, expected volatility of the underlying equity, risk free interest rate and the expected term.

The Company records the change in the fair value of common stock warrants in change in fair value of warrant liability in the condensed consolidated statements of operations.

The fair value of the common stock warrant liability was estimated using the following assumptions:


	September 30, 2022	December 31, 2021
Weighted average strike price	$7.60	$7.60
Contractual term (years)	5.9	6.7
Volatility (annual)	117.5%	124.0%
Risk-free rate	4.2%	1.4%
Dividend yield (per share)	0.0%	0.0%

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details