Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of financial liabilities measured at fair value on recurring basis

The following tables provide a summary of the assets and liabilities measured at fair value on a recurring basis (in thousands): 

	June 30, 2022
	(Level 1)		(Level 2)		(Level 3)		Total  Balance
Liabilities:
Compound embedded derivative with the 2019 Facility Agreement	$	—	$	—	$	(1,460)	$	(1,460)
Total liabilities measured at fair value	$	—	$	—	$	(1,460)	$	(1,460)

	December 31, 2021
	(Level 1)		(Level 2)		(Level 3)		Total  Balance
Assets:
Compound embedded derivative with the 2019 Facility Agreement	$	—	$	—	$	484	$	484
Total assets measured at fair value	$	—	$	—	$	484	$	484
Liabilities:
Compound embedded derivative with the 2013 8.00% Notes	$	—	$	—	$	(1,364)	$	(1,364)
Total liabilities measured at fair value	$	—	$	—	$	(1,364)	$	(1,364)

Schedule of significant quantitative Level 3 inputs utilized

The significant quantitative Level 3 inputs utilized in the valuation model are shown in the table below:

	December 31, 2021
	Stock Price Volatility	Risk-Free Interest Rate		Note Conversion Price	Discount Rate		Market Price of Common Stock
Compound embedded derivative with the 2013 8.00% Notes	120% - 139%	0.5	%	$0.69	18	%	$1.16

The significant quantitative Level 3 inputs utilized in the valuation models as of the conversion date are shown in the table below:

	February 17, 2022
	Risk-Free Interest Rate		Note Conversion Price	Discount Rate		Market Price of Common Stock
Compound embedded derivative with the 2013 8.00% Notes	0.06	%	$0.69	18	%	$1.00

	March 9, 2022
	Risk-Free Interest Rate		Note Conversion Price	Discount Rate		Market Price of Common Stock
Compound embedded derivative with the 2013 8.00% Notes	0.18	%	$0.69	19	%	$1.21

Schedule of rollforward of assets and liabilities measured at fair value

The following table presents a rollforward for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) (in thousands):

Balance at beginning of period, January 1, 2022 and 2021, respectively	$	(880)	$	163
Derivative adjustment related to conversions	1,148		—
Unrealized loss, included in derivative loss	(1,728)		(1,043)
Balance at end of period, June 30, 2022 and December 31, 2021, respectively	$	(1,460)	$	(880)

Schedule of carrying values and estimated fair values of debt instruments

The following table sets forth the carrying value and estimated fair value of the Company's Level 3 financial instrument (in thousands):

	June 30, 2022				December 31, 2021
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
2013 8.00% Notes	$	—	$	—	$	1,407	$	1,265