Fair Value (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Fair Value Hierarchy of Financial Instruments Measured at Fair Value on Recurring Basis

The fair value hierarchy for financial instruments measured at fair value on a recurring basis as of June 30, 2022 is as follows:

	June 30, 2022
(in thousands)	Level 1		Level 2		Level 3		Total
Cash equivalents
Money market funds	$	3,568	$	—	$	—	$	3,568
Marketable securities
Commercial paper		—		6,916		—		6,916
Municipal debt securities		—		1,524		—		1,524
Corporate debt securities		—		10,593		—		10,593
Common stock warrant liability		—		—		167		167
Clene Nanomedicine contingent earn-out		—		—		9,847		9,847
Initial Stockholders contingent earn-out		—		—		1,263		1,263

The fair value hierarchy for financial instruments measured at fair value on a recurring basis as of December 31, 2021 is as follows:

	December 31, 2021
(in thousands)	Level 1		Level 2		Level 3		Total
Notes payable	$	736	$	—	$	—	$	736
Common stock warrant liability		—		—		474		474
Clene Nanomedicine contingent earn-out		—		—		18,100		18,100
Initial Stockholders contingent earn-out		—		—		2,317		2,317

Schedule of Unobservable Inputs to Conversion Feature, Warrant Liability, and Contingent Earn-Out Valuation Models

The unobservable inputs to the Black-Scholes option-pricing model were as follows:

	June 30,			December 31,
	2022			2021
Expected stock price volatility		115.00	%		105.00	%
Risk-free interest rate		3.00	%		0.70	%
Expected dividend yield		0.00	%		0.00	%
Expected term	1.89 years			2.39 years

The unobservable inputs to the Black-Scholes option-pricing model were as follows:

	June 30,			December 31,
	2022			2021
Expected stock price volatility		115.00	%		105.00	%
Risk-free interest rate		3.00	%		1.20	%
Expected dividend yield		0.00	%		0.00	%
Expected term	3.70 years			3.89 – 4.39 years
Probability of drawing Tranche 2		45.00	%		50.00	%

The unobservable inputs to the Monte Carlo valuation model were as follows:

	June 30,			December 31,
	2022			2021
Expected stock price volatility		115.00	%		105.00	%
Risk-free interest rate		3.00	%		1.10	%
Expected dividend yield		0.00	%		0.00	%
Expected term	3.50 years			4.00 years

Schedule of Changes in Fair Value of Financial Instruments Related to Level 3 Financial Instruments

Changes in the fair value of our Level 3 financial instruments for the six months ended June 30, 2022 were as follows:

(in thousands)	Common Stock Warrant Liability			Clene Nanomedicine Contingent Earn-out			Initial Stockholders Contingent Earn-out
Balance - December 31, 2021	$	474		$	18,100		$	2,317
Change in fair value		(2	)		(8,253	)		(1,054	)
Reclassification from liability to equity		(305	)		—			—
Balance - June 30, 2022	$	167		$	9,847		$	1,263

Changes in the fair value of our Level 3 financial instruments for the six months ended June 30, 2021 were as follows:

(in thousands)	Common Stock Warrant Liability			Clene Nanomedicine Contingent Earn-out		Initial Stockholders Contingent Earn-out
Balance - December 31, 2020	$	—		$	52,053	$	5,906
Initial fair value of instrument		1,457			—		—
Change in fair value		(133	)		16,970		1,729
Balance - June 30, 2021	$	1,324		$	69,023	$	7,635