General form of registration statement for all companies including face-amount certificate companies

Fair Value Measurements (Tables)

v3.22.4
Fair Value Measurements (Tables)
9 Months Ended 12 Months Ended
Sep. 30, 2022
Dec. 31, 2021
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 September 30, 2022  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 139     $ 139  

 

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

 

   

Fair Value Measurements as of December 31, 2021

(in thousands)

 
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 347     $ 347  

 

   

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  
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 nine months ended September 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 nine months ended September 30, 2022, and 2021 (in thousands):

 

    Common Stock
Warrants
 
Balance as of December 31, 2020   $ (1,238 )
Change in fair value     225  
Exercise of warrants     195  
Balance as of September 30, 2021   $ (818 )
         
Balance as of December 31, 2021   $ (347 )
Change in fair value     208  
Balance as of September 30, 2022   $ (139 )

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 years ended December 31, 2021 and 2020. 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, 2021 and 2020 (in thousands):

 

   

Common Stock

Warrants

 
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 )
Change in fair value     696  
Exercise of warrants     195  
Balance as of December 31, 2021   $ (347 )
Schedule of Assumptions Used in Estimating Fair Value

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

 

     

September 30,

2022

     

December 31,

2021

 
Weighted-average risk-free interest rate     3.33%-4.22 %     0.06%-0.97 %
Weighted-average expected life (in years)     0.32-2.36       0.07-3.10  
Expected dividend yield     - %     - %
Weighted-average expected volatility     81.9%-121.7 %     71.5%-126.5 %

The assumptions used in estimating the common stock warrant liability using the Monte Carlo simulation valuation model as of December 31, 2021 and 2020 were as follows:

 

      December 31, 2021       December 31, 2020  
Weighted-average risk-free interest rate     0.06%-0.97 %     0.09%-0.27 %
Weighted-average expected life (in years)     0.07-3.10       0.63-4.10  
Expected dividend yield     - %     - %
Weighted average expected volatility     71.5%-126.5 %     138.3%-175.6 %