Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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 and Cash-Settled PRSUs, which required the input of subjective assumptions. The fair value of the Warrants as of June 30, 2022 was estimated with the following assumptions.

Exercise Price	$	1.94
Common Stock Price	$	1.25
Risk Free Rate		3.0%
Volatility		65%
Term (in years)	4.7 yrs

Assets and Liabilities Measured at Fair Value

The following table presents assets and liabilities measured at fair value at June 30, 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
Derivative liability	$	-	$	-	$	204	$	204
Warrant liability		-		-		712		712
Cash settled performance-vesting restricted stock units		-		76		-		76
Total liabilities	$	-	$	76	$	916	$	992

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 six months ended June 30, 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		(102	)		(12	)		(114	)
Balance at June 30, 2022	$	204		$	712		$	916