Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables present information about the Company’s assets measured at fair value on a recurring basis, and indicate the level of the fair value hierarchy utilized to determine such fair values (in thousands):

	SEPTEMBER 30, 2022
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3		NOT SUBJECT TO LEVELING(1)
Liabilities:
Derivative liability – warrants	$	5,428	$	—	$	—	$	5,428	$	—
	$	5,428	$	—	$	—	$	5,428	$	—

	DECEMBER 31, 2021
	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3		NOT SUBJECT TO LEVELING(1)
Assets:
Cash equivalents:
Money market funds	$	67,603	$	—	$	—	$	—	$	67,603
	$	67,603	$	—	$	—	$	—	$	67,603

(1) Certain cash equivalents that are valued using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy.

Schedule of Fair Market Valuation of Warrants

The following inputs were used in the fair market valuation of warrants as of September 30, 2022:

	September 30, 2022
Risk-free rate(1)		4.06	%
Expected term		4.96
Stock price(2)	$	0.78
Strike price(3)	$	1.88
Common stock volatility(4)		79.93	%
Dividend yield(5)		—	%

(1)Based on the U.S. Treasury yield curve, with terms commensurate with the expected term of the warrants.

(2)The closing price of the Company's common stock on the last trading day of the quarter ended September 30, 2022.

(3)As per the agreement for the warrant.

(4)Expected volatility based on historical volatility of the Company's peer companies that are commensurate with the expected term of the warrants.

(5)The Company has not paid and does not anticipate paying cash dividends on its shares of common stock in the foreseeable future; therefore, the expected dividend yield is assumed to be zero.

Schedule of Change in Fair Value of Level 3 Warrants

The following table reflects the change in the Company's Level 3 warrants from December 31, 2021 through September 30, 2022 (in thousands):

	Warrants
	(in thousands)
Balance at December 31, 2021	$	—
Issuance fair value at September 15, 2022		8,150
Change in fair value, recorded as a gain on derivative liability - warrants		(2,722	)
Balance at September 30, 2022	$	5,428