Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Measurements

Schedule of fair value assets and liabilities measured on recurring basis

The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of March 31, 2022 and December 31, 2021 (in thousands):

	Fair value measured at March 31, 2022
			Quoted prices in active		Significant other		Significant
	Fair value at		markets		observable inputs		unobservable inputs
	March 31, 2022		(Level 1)		(Level 2)		(Level 3)
Warrant liability	$	98,618	$	—	$	—	$	98,618
Embedded redemption option		978		—		—		978
Contingent payable derivative liability		8,308		—		—		8,308
Total fair value	$	107,904	$	—	$	—	$	107,904

	Fair value measured at December 31, 2021
			Quoted prices in active		Significant other		Significant
	Fair value at		markets		observable inputs		unobservable inputs
	December 31, 2021		(Level 1)		(Level 2)		(Level 3)
Warrant liability	$	106,784	$	—	$	—	$	106,784
Embedded conversion option		988		—		—		988
Contingent payable derivative liability		8,232		—		—		8,232
Total fair value	$	116,004	$	—	$	—	$	116,004

Schedule of Fair Value Liabilities Measured On Recurring Basis Unobservable Input Reconciliation

The following table presents changes in Level 3 liabilities measured at fair value for the three-month period ended March 31, 2022. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs (in thousands).

	Warrant		Embedded		Contingent Payable
	Liability		Conversion Option		Derivative Liability		Total
Balance - January 1, 2022	$	106,784	$	988	$	8,232	$	116,004
Additional warrant liability		159		—		—		159
Reclassification of warrant liabilities		(7,719)		—		—		(7,719)
Change in fair value		(606)		(10)		76		(540)
Balance – March 31, 2022	$	98,618	$	978	$	8,308	$	107,904

Schedule of Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques

A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the Company’s warrant liabilities and embedded conversion feature that are categorized within Level 3 of the fair value hierarchy as of March 31, 2022 and December 31, 2021 is as follows:

	As of March 31, 2022
	Warrant			Contingent Payable
	Liability			Derivative Liability
Strike price	$	0.28		$	0.70
Contractual term (years)		0.8			1.4
Volatility (annual)		71	%		75	%
Risk-free rate		1.1	%		1.4	%
Dividend yield (per share)		0	%		0	%

	As of December 31, 2021
	Warrant			Contingent Payable
	Liability			Derivative Liability
Strike price	$	0.30		$	0.70
Contractual term (years)		1.0			1.6
Volatility (annual)		90	%		72	%
Risk-free rate		0.1	%		0.6	%
Dividend yield (per share)		0	%		0	%

* Contingent based on current stock price as of March 31, 2022 and December 31, 2021.