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Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Summarizes the Conclusions Reached Regarding Fair Value Measurements The following table summarizes the conclusions reached regarding fair value measurements as of December 31, 2021, 2020 and 2019 (in thousands):

 

Balance at December 31, 2021

 

 

Quoted Prices in Active Markets for Identical Assets

(Level 1)

 

 

Significant Other Observable Inputs

(Level 2)

 

 

Significant Unobservable Inputs

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities with readily determinable fair value

$

4,928

 

 

$

4,928

 

 

$

—

 

 

$

—

 

Total

$

4,928

 

 

$

4,928

 

 

$

—

 

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability, related party (1)

$

1,262

 

 

$

—

 

 

$

—

 

 

$

1,262

 

Total

$

1,262

 

 

$

—

 

 

$

—

 

 

$

1,262

 

 

 

Balance at December 31, 2020

 

 

Quoted Prices in Active Markets for Identical Assets

(Level 1)

 

 

Significant Other Observable Inputs

(Level 2)

 

 

Significant Unobservable Inputs

(Level 3)

 

Warrant liability, related party (1)

$

2,871

 

 

$

—

 

 

$

—

 

 

$

2,871

 

Total

$

2,871

 

 

$

—

 

 

$

—

 

 

$

2,871

 

 

(1)

Fair value determined using the Black-Scholes option pricing model. Expected volatility is based on a portfolio of selected stocks of companies believed to have market and economic characteristics similar to its own. The risk-free rate is based on the U.S. Treasury yield curve in effect at the time of valuation.

 

 

Changes in Level 3 Instruments for the years ended December 31, 2021, 2020 and 2019

 

 

Balance at January 1

 

 

Net Change in

fair value included in earnings

 

 

Purchases /

Issuance

 

 

Sales /

Repurchases

 

 

Balance at December 31,

 

2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability, related party

$

2,871

 

 

$

(1,609

)

 

$

—

 

 

$

—

 

 

$

1,262

 

Total

$

2,871

 

 

$

(1,609

)

 

$

—

 

 

$

—

 

 

$

1,262

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability, related party

 

2,601

 

 

 

270

 

 

 

—

 

 

 

—

 

 

 

2,871

 

Total

$

2,601

 

 

$

270

 

 

$

—

 

 

$

—

 

 

$

2,871

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability, related party

 

2,436

 

 

 

(827

)

 

 

992

 

 

 

—

 

 

 

2,601

 

Total

$

2,436

 

 

$

(827

)

 

$

992

 

 

$

—

 

 

$

2,601

 

 
Assumptions Used to Calculate Fair Value of Warrants Significant inputs utilized in the valuation of the Letter Agreement Warrants were:

 

December 31, 2021

 

 

December 31, 2020

 

 

Range

Weighted Average

 

 

Range

Weighted Average

 

Expected volatility

82.68% - 142.86%

128.13%

 

 

120.53% - 142.07%

128.16%

 

Risk-free interest rate

0.95% - 1.26%

1.15%

 

 

0.26% - 0.50%

0.39%