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Fair Value (Tables)
9 Months Ended
Sep. 30, 2022
Fair Value  
Schedule of financial assets and liabilities measured at fair value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in thousands)

 

September 30, 2022

 

 

 

 

 

 

 

 

 

 

 

 

Cash and Cash Equivalents - Money Market Funds
$ 116

$


$

$ 116
Cash and Cash Equivalents - U.S. Government Agency Bonds




53,585





53,585
Short term investments - U.S. Government Agency Bonds




8,173





8,173

Warrants

 

$

 

 

$

 

 

$

5,687

 

 

$

5,687

 

December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants

 

$

 

 

$

 

 

$

28,875

 

 

$

28,875

 

Schedule of fair value warrants estimated using the Black-Scholes option-pricing model

 

 

September 30, 2022

 

 

December 31, 2021

 

 

 

Values

 

 

Values

 

Stock Price

 

$

2.69

 

 

$

8.76

 

Strike price

 

$

11.50

 

 

$

11.50

 

Holding Period/Term (years)

 

 

4.08

 

 

 

4.80

 

Volatility

 

 

72.50

%

 

 

52.90

%

Expected dividends

 

 

None

 

 

 

None

 

Risk-Free Rate

 

 

4.16

%

 

 

1.23

%

Fair value of warrants

 

$

0.65

 

 

$

3.30

 

Schedule of liabilities measured at fair value

Warrants:

 

(in thousands)

 

Balance as of December 31, 2021

 

$

28,875

 

Fair value adjustment of Private Placement Warrants

 

 

(23,188

)

Balance as of September 30, 2022

 

$

5,687