Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
12 Months Ended
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 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 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 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 %