Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis by Level Within Fair Value Hierarchy

    Fair Value Measurements as of June 30, 2022  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 198     $ 198  

 

    Fair Value Measurements as of December 31, 2021  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 347     $ 347  
Schedule of Fair Value Measurement Hierarchy of Derivative Liability

The Company did not have any transfers of assets and liabilities between Level 1 and Level 2 of the fair value measurement hierarchy during the six months ended June 30, 2022, and 2021. 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 six months ended June 30, 2022, and 2021 (in thousands):

 

    Common Stock
Warrants
 
Balance as of December 31, 2020   $ (1,238 )
Change in fair value     (256 )
Other, net      
Exercise of warrants     195  
Balance as of June 30, 2021   $ (1,299 )
         
Balance as of December 31, 2021   $ (347 )
Change in fair value     148  
Other, net     1  
Balance as of June 30, 2022   $ (198 )
Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability as of June 30, 2022, and December 31, 2021 were as follows:

 

   

June 30,

2022

   

December 31,

2021

 
Weighted-average risk-free interest rate     2.51%-2.99 %     0.06%-0.97 %
Weighted-average expected life (in years)     0.57-2.61       0.07-3.10  
Expected dividend yield     - %     - %
Weighted-average expected volatility     74.9%-127.1 %     71.5%-126.5 %