Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 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, 2021  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 818     $ 818  

 

    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 nine months ended September 30, 2021 and 2020 (in thousands).

    Common Stock
Warrants
 
Balance as of December 31, 2019   $ (220 )
Issuance of derivatives     (6,328 )
Change in fair value     1,750  
Exercise of warrants     3,197  
Other, net     1  
Balance as of September 30, 2020   $ (1,600 )
         
Balance as of December 31, 2020   $ (1,238 )
Change in fair value     225  
Exercise of warrants     195  
Balance as of September 30, 2021   $ (818 )
Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability as of September 30, 2021 and December 31, 2020 were as follows:

 

   

September 30,

2021

   

December 31,

2020 

 
Weighted-average risk-free interest rate     0.04%-0.53 %     0.09%-0.27 %
Weighted-average expected life (in years)     0.31-3.36       0.63-4.10  
Expected dividend yield     - %     - %
Weighted-average expected volatility     62.0%-145.0 %     138.3%-175.6 %