Fair Value of Financial Instruments

3 Months Ended

Mar. 31, 2023

The following table presents information about the Company’s assets and liabilities measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022, and the fair value hierarchy of the valuation techniques utilized. The Company classifies its assets and liabilities as either short- or long-term based on maturity and anticipated realization dates.


	March 31, 2023
	Level 1		Level 2		Level 3		Total
Financial assets:
Cash equivalents	$	122,262	$	—	$	—	$	122,262
Financial liabilities:
Directors' Deferred Share Unit Liability	$	229	$	—	$	—	$	229
2022 USD Financing Warrant Liability	$	—	$	—	$	15,089	$	15,089
	December 31, 2022
	Level 1		Level 2		Level 3		Total
Financial assets:
Cash equivalents	$	131,702	$	—	$	—	$	131,702
Financial liabilities:
Directors' Deferred Share Unit Liability	$	124	$	—	$	—	$	124
2022 USD Financing Warrant Liability	$	—	$	—	$	9,904	$	9,904

There were no transfers into or out of Level 1, Level 2, or Level 3 during the three months ended March 31, 2023 and the year ended December 31, 2022.

The fair value of the warrant liability is measured at fair value on a recurring basis. The warrants to purchase 7,058,823 Common Shares issued in our underwritten public offering that closed on September 30, 2022 (the “2022 USD Financing Warrants”) are classified as Level 3 in the fair value hierarchy and are determined using the Black-Scholes option pricing model using the following assumptions:


	As of March 31, 2023	As of December 31, 2022
Share price	$3.17	$2.20
Expected volatility	96.67%	97.08%
Risk-free rate	3.59%	3.94%
Expected life	4.50 years	4.75 years

- 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.

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