Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.21.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis by Level Within Fair Value Hierarchy

The following tables set forth the financial liabilities measured at fair value on a recurring basis by level within the fair value hierarchy as of December 31, 2020 and 2019.

 

   

Fair  Value Measurements as of December 31, 2020

(in thousands)

 
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 1,238     $ 1,238  

 

   

Fair Value Measurements as of December 31, 2019

(in thousands)

 
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 220     $ 220  
Schedule of Fair Value Measurement Hierarchy of Derivative Liability

The following table presents a reconciliation of the derivative liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the years ended December 31, 2020 and 2019 (in thousands):

 

   

Common  Stock

Warrants

 
Balance as of December 31, 2018   $ (1,566 )
Issuance of derivatives     -  
Change in fair value     1,303  
Exercise of warrants     44  
Other, net     (1 )
Balance as of December 31, 2019     (220 )
Issuance of derivatives     (6,328 )
Change in fair value     2,111  
Exercise of warrants     3,199  
Balance as of December 31, 2020   $ (1,238 )
Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability using the Monte Carlo simulation valuation model as of December 31, 2020 and 2019 were as follows:

 

   

December 31,

2020 

   

December 31,

2019 

 
Weighted-average risk-free interest rate     0.09%-0.27 %     1.62 %
Weighted-average expected life (in years)     0.63-4.10       3.4  
Expected dividend yield     - %     - %
Weighted average expected volatility     138.3%-175.6 %     64 %