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FAIR VALUE

3 Months Ended

Mar. 31, 2022

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
		March 31, 2022
		Level 1				Level 2				Level 3				Total
Liabilities
Common stock warrant liability		$	–			$	–			$	4,868			$	4,868
Total		$	–			$	–			$	4,868			$	4,868

		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

The Company assesses its assets held for sale, long-lived assets, including property, plant, and equipment and ROU assets 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 three months ended March 31, 2022, the Company recognized an impairment charge of $0.1 million related to equipment classified in assets held for sale. During the three months ended March 31, 2021, the Company recognized an impairment charge of $0.4 million related to property and equipment. As of each measurement date, the fair value of assets held for sale and property and equipment was determined utilizing Level 3 inputs and were based on a market approach. See Notes 7 and Note 15 for additional details.

The following table presents the change in fair value of the liability classified common stock warrants for the three months ended March 31, 2022 (in thousands):

		Fair Value at December 31, 2021				Initial Fair Value at Issuance				(Gain) Loss Upon Change in Fair Value					Fair Value at March 31, 2022
Warrant liabilities
February 14, 2020 issuance		$	291			$	–			$	(179	)	-		$	112
December 23, 2020 issuance			239				–				(166	)				73
January 14, 2021 issuance			3,345				–				(1,856	)				1,489
January 25, 2021 issuance			2,969				–				(1,649	)				1,320
March 16, 2022 issuance			–				3,129				(1,255	)				1,874
Total		$	6,844			$	3,129			$	(5,105	)	-		$	4,868

The following table presents the change in fair value of the liability classified common stock warrants for the three months ended March 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 March 31, 2021
Warrant liabilities
February 14, 2020 issuance		$	328			$	–			$	217			$	–			$	545
December 23, 2020 issuance			5,647				–				3,861				(8,964	)			544
January 14, 2021 issuance			–				8,629				(797	)			–				7,832
January 25, 2021 issuance⁽¹⁾			–				6,199				746				–				6,945
Total		$	5,975			$	14,828			$	4,027			$	(8,964	)		$	15,866

(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 during the three-month period ended March 31, 2021, 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 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 are as follows:

			For the Three Months ended March 31,
			2022
Stock price		$	0.25 – 0.34
Exercise price		$	0.10 – 1.38
Risk-free rate			1.95 – 2.44	%
Volatility			98.4 – 103.6	%
Remaining term (years)			1.96 – 4.87

			For the Three Months ended March 31,
			2021
Stock price		$	1.02 – 1.21
Exercise price		$	0.10 – 1.38
Risk-free rate			0.42 – 1.13	%
Volatility			99.0 – 102.7	%
Remaining term (years)			4.73 – 5.87

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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