Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value of Financial Instruments [Abstract]

Level 3 Fair Value Measurement Inputs

The Company used the Monte Carlo simulation model to determine the fair value of the Warrants, which required the input of subjective assumptions. The fair value of the Warrants as of March 31, 2022 was estimated with the following assumptions.

Exercise Price	$	1.94
Common Stock Price	$	1.25 - $2.08
Risk Free Rate		1.9% - 2.4%
Volatility		65%
Term (in years)	4.9 yrs - 5.0 yrs

Assets and Liabilities Measured at Fair Value

The following table presents assets and liabilities measured at fair value at March 31, 2022:

(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Money market funds	$	3,008	$	-	$	-	$	3,008
Total assets	$	3,008	$	-	$	-	$	3,008
Derivative liability	$	-	$	-	$	84	$	84
Warrant liability		-		-		1,527		1,527
Cash settled performance-vesting restricted stock units		-		49		-		49
Total liabilities	$	-	$	49	$	1,611	$	1,660

The following table presents assets and liabilities measured at fair value at December 31, 2021:

(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Money market funds	$	15	$	-	$	-	$	15
Total assets	$	15	$	-	$	-	$	15

Changes in Fair Value of Level 3 Liabilities

The following table summarizes changes in the fair value of our Level 3 liabilities during the three months ended March 31, 2022.

(in thousands)	Embedded Redemption Features			Warrant		Level 3 Total
Balance at December 31, 2021	$	-		$	-	$	-
Derivative liabilities at issuance date		306			-		306
Warrant liabilities at issuance date		-			724		724
Change in fair value included in gain on derivative instruments, net		(222	)		803		581
Balance at March 31, 2022	$	84		$	1,527	$	1,611