Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2021
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 March 31, 2021 and December 31, 2020 (in thousands):

 

    Fair  Value Measurements as of March 31, 2021  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 1,285     $ 1,285  

 

    Fair Value Measurements as of December 31, 2020  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 1,238     $ 1,238  
Schedule of Fair Value Measurement Hierarchy of Derivative Liability

The Company did not have any transfers of assets and liabilities between any levels of the fair value measurement hierarchy during the three months ended March 31, 2021 and 2020 (in thousands).

 

    Common  Stock
Warrants
 
Balance as of December 31, 2019   $ (220 )
Issuance of derivatives     (6,328 )
Change in fair value     4,166  
Exercise of warrants     1,556  
Balance as of March 31, 2020   $ (826 )
         
Balance as of December 31, 2020   $ (1,238 )
Change in fair value     (242 )
Exercise of warrants     195  
Balance as of March 31, 2021   $ (1,285 )
Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability as of March 31, 2021 and December 31, 2020 were as follows:

 

      March 31, 2021       December 31, 2020  
Weighted-average risk-free interest rate      0.05%-0.70 %      0.09%-0.27 %
Weighted-average expected life (in years)      0.38-4.07        0.63-4.10  
Expected dividend yield     - %     - %
Weighted-average expected volatility     137.8%-178.1 %      138.3%-175.6 %