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FAIR VALUE

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

4. FAIR VALUE

In accordance with ASC 820, Fair Value Measurements and Disclosures, financial instruments were measured at fair value using a three-level hierarchy which maximizes use of observable inputs and minimizes use of unobservable inputs:

	●	Level 1: Observable inputs such as quoted prices in active markets for identical instruments.

	●	Level 2: Quoted prices for similar instruments that are directly or indirectly observable in the market.

	●	Level 3: Significant unobservable inputs supported by little or no market activity. Financial instruments whose values are determined using pricing models, discounted cash flow methodologies, or similar techniques, for which determination of fair value requires significant judgment or estimation.

Financial instruments measured at fair value are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. There were no transfers within the hierarchy for any of the periods presented.

The following table sets forth the fair value of the Company’s financial assets and liabilities measured on a recurring basis by level within the fair value hierarchy (in thousands):

		June 30, 2021
		Level 1				Level 2				Level 3				Total
Liabilities:
Common stock warrant liability		$	–			$	–			$	14,059			$	14,059
Total		$	–			$	–			$	14,059			$	14,059

		December 31, 2020
		Level 1				Level 2				Level 3				Total
Liabilities:
Common stock warrant liability		$	–			$	–			$	5,975			$	5,975
Total		$	–			$	–			$	5,975			$	5,975

The following table presents the change in fair value of the liability classified common stock warrants for the six months ended June 30, 2021 (in thousands):

		Fair Value at December 31, 2020				Initial Fair Value at Issuance				(Gain) Loss Upon Change in Fair Value				Liability Reduction Due to Exercises				Fair Value on June 30, 2021
Warrant liabilities
February 14, 2020 issuance		$	328			$	–			$	168			$	–			$	496
December 23, 2020 issuance			5,647				–				3,802				(8,964	)			485
January 14, 2021 issuance			–				8,629				(1,700	)			–				6,929
January 25, 2021 issuance			–				6,199				(50	)			–				6,149
Inducement loss on initial fair value (1)			–				–				5,197				–				–
Total		$	5,975			$	14,828			$	7,417			$	(8,964	)		$	14,059

(1)

Concurrent with the issuance of the January 25, 2021 warrants, upon the exercise of the December 23, 2020 warrants, an inducement loss of $5.2 million was recorded as the fair value of the initial warrant liability for the new warrants of $6.2 million exceeded the gross proceeds received upon sale of the new warrants of approximately $1.0 million

The following table presents the change in fair value of the liability classified common stock warrants for the six months ended June 30, 2020 (in thousands):

		Fair Value at December 31, 2019				Initial Fair Value at Issuance				(Gain) Loss Upon Change in Fair Value				Liability Reduction Due to Exercises				Fair Value on June 30, 2020
Warrant liabilities
February 14, 2020 issuance		$	–			$	11,677			$	(2,941	)		$	–			$	8,736

The Company uses the Monte Carlo simulation model to determine the fair value of the liability classified warrants. Input assumptions used to measure the fair value of these freestanding instruments during the six months ended June 30, 2021, are as follows:

		For the Six Months ended June 30,
		2021
Stock price		$	1.02 – 1.21
Exercise price		$	0.10 – 1.38
Risk-free rate			0.42 – 1.13	%
Volatility			99.0 – 102.8	%
Remaining term (years)			4.48 – 5.87

Input assumptions used to measure the fair value of these freestanding instruments during the six months ended June 30, 2020, are as follows:

		For the Six Months ended June 30,
		2020
Stock price		$	1.24 – 1.69
Exercise price		$	2.80
Risk-free rate			0.45 – 1.51	%
Volatility			93.4 – 97.5	%
Remaining term (years)			6.62 – 6.99

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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