Fair Value of Financial Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Schedule of Financial Assets and Liabilities Measured at Fair Value On a Recurring Basis

The following tables present information about our financial assets and liabilities measured at fair value on are recurring basis:

	March 31, 2022
(In thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents - money market funds	$	34,008	$	—	$	—	$	34,008
	$	34,008	$	—	$	—	$	34,008
Liabilities:
Derivative liability	$	—	$	—	$	3,148	$	3,148
Warrant liability	—		156		—		156
	$	—	$	156	$	3,148	$	3,304

	December 31, 2021
(In thousands)	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents - money market funds	$	45,006	$	—	$	—	$	45,006
	$	45,006	$	—	$	—	$	45,006
Liabilities:
Derivative liability	$	—	$	—	$	7,977	$	7,977
Warrant liability	—		252		—		252
	$	—	$	252	$	7,977	$	8,229

Schedule of Cash and Cash Equivalents

Cash equivalents at March 31, 2022 and December 31, 2021 were as follows:

	March 31, 2022
(In thousands)	Amortized Cost		Unrealized Gain		Unrealized Loss		Fair Value
Cash equivalents:
Money market funds	$	34,008	$	—	$	—	$	34,008
Total cash equivalents	$	34,008	$	—	$	—	$	34,008

	December 31, 2021
(In thousands)	Amortized Cost		Unrealized Gain		Unrealized Loss		Fair Value
Cash equivalents:
Money market funds	$	45,006	$	—	$	—	$	45,006
Total cash equivalents	$	45,006	$	—	$	—	$	45,006

Schedule of Fair Value Significant Assumptions

The fair value of the derivative liability is considered a Level 3 valuation and is determined using a Binomial Lattice Option Pricing Model. The significant assumptions used in the model were:

	March 31, 2022	December 31, 2021
Stock price	$1.18	$2.24
Volatility	88.0%	82.5%
Risk free rate	2.43%	1.18%
Exercise price	$10.65	$10.65
Expected life (in years)	4.19	4.44
Conversion periods	2-5 years	2-5 years
Future share price	$0.01-$44.37	$0.01-$34.05