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FAIR VALUE

12 Months Ended

Dec. 31, 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):

		Level 1				Level 2				Level 3				Total
		December 31, 2021
		Level 1				Level 2				Level 3				Total
Liabilities
Common stock warrant liability		$	–			$	–			$	6,844			$	6,844
Total		$	–			$	–			$	6,844			$	6,844

		Level 1				Level 2				Level 3				Total
		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 Company assesses its long-lived assets, including property, plant, and equipment, ROU assets, intangible assets, and goodwill, at fair value on a non-recurring basis. The Company reviews the carrying amounts of such assets when events indicate that their carrying amounts may not be recoverable. Any resulting impairment would require that the asset be recorded at its fair value. During the year ended December 31, 2021, the Company recognized an impairment charge of $0.6 million related to definite-lived intangible assets and goodwill and $0.4 million related to property and equipment. As of each measurement date, the fair value of goodwill, intangibles and property and equipment was determined utilizing Level 3 inputs. Fair values of goodwill and intangibles and property and equipment was determined based on a market approach and income approach, respectively. See Note 8 and Note 15 for additional details.

The following table presents the change in fair value of the liability classified common stock warrants for the year ended December 31, 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 at December 31, 2021
Warrant liabilities
February 14, 2020 issuance		$	328			$	–			$	(37	)		$	–			$	291
December 23, 2020 issuance			5,647				–				3,556				(8,964	)			239
January 14, 2021 issuance			–				8,629				(5,284	)			–				3,345
January 25, 2021 issuance⁽¹⁾	⁽¹⁾		–				6,199				(3,230	)			–				2,969
Total		$	5,975			$	14,828			$	(4,995	)		$	(8,964	)		$	6,844

(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 year ended December 31, 2020 (in thousands):

		Initial Fair Value at Issuance				Liability Reduction Due to Exercises				(Gain) Loss Upon Change in Fair Value				Fair Value at December 31, 2020
Warrant liabilities
February 14, 2020 issuance		$	11,677			$	(8,265	)		$	(3,084	)		$	328
December 23, 2020 issuance			5,477				–				170				5,647
Total		$	17,154			$	(8,265	)		$	(2,914	)		$	5,975

The Company uses the Monte Carlo valuation model to determine the fair value of the liability classified warrants issued during 2021 and 2020. Input assumptions for these freestanding instruments are as follows:

			For the Year Ended December 31, 2021
Stock price		$	0.59 - 1.21
Exercise price		$	0.10 - 1.38
Risk-free rate			0.42 - 1.27 %
Volatility			99.0 – 103.9 %
Remaining term (years)			4.0 - 5.9

			For the Year Ended December 31, 2020
Stock price		$	0.65 - 1.69
Exercise price		$	0.10 - 2.80
Risk-free rate			0.36 - 1.51 %
Volatility			93.4 – 99.7 %
Remaining term (years)			5.0 - 7.0

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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