Financial Instruments

12 Months Ended

Dec. 31, 2021

Financial Instruments

Financial Instruments

4.    Financial Instruments

The following tables present information about the Company’s financial assets and liabilities that have been measured at fair value, and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value. Below is a summary of assets and liabilities measured at fair value on a recurring basis (in thousands):

	As of December 31, 2021
	Quoted Prices		Significant		Significant
	in Active		Observable		Unobservable
	Markets		Inputs		Inputs
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Cash and cash equivalents:
Money market funds	$	1,853	$	—	$	—	$	1,853
Reverse repurchase agreements		—		—		—		—
Short-term investments:
Reverse repurchase agreements		—		39,000		—		39,000
Total	$	1,853	$	39,000	$	—	$	40,853

	As of December 31, 2020
	Quoted Prices		Significant		Significant
	in Active		Observable		Unobservable
	Markets		Inputs		Inputs
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Cash and cash equivalents:
Money market funds	$	22,999	$	—	$	—	$	22,999
Short-term investments:
Reverse repurchase agreements		—		20,000		—		20,000
Total assets	$	22,999	$	20,000	$	—	$	42,999

At December 31, 2021 and 2020, cash equivalents approximated their fair value due to their short-term nature.

In connection with the Quellis Acquisition, the Company issued a warrant to purchase 2,805 shares of Series X Preferred Stock at an exercise price of $341.70 per share. Upon stockholder approval of the Conversion Proposal, and reflecting the reverse stock split, the warrant became a warrant to purchase 467,500 shares of common stock at a purchase price of $2.10. This was originally accounted for as a liability until stockholder approval of the Conversion Proposal on June 2, 2021, at which point the warrant was reclassified to permanent equity. The warrant liability was valued based on significant inputs not observable in the market, which represents a Level 3 measurement within the fair value hierarchy. The Company estimated the fair value of the warrant liability using Black-Scholes option-pricing models and assumptions that are based on the individual characteristics of the warrants on the valuation date, as well as assumptions including the fair value per share of the underlying security, the remaining contractual term of the warrant, risk-free interest rate, expected dividend yield and expected volatility of the price of the underlying security (in thousands).

	December 31, 2021
Balance at beginning of year	$	—
Issuance of warrants		4,332
(Decrease) increase in the fair value of the warrants		(864)
Reclassification of warrant liability to additional paid in-capital		(3,468)
Ending balance	$	—

The fair value of the warrants was based on the following assumptions:

	Year Ended December 31,
	2021
Weighted-average expected volatility	89.1-89.3	%
Expected term (in years)	9.54-9.88
Risk-free interest rate	1.064-1.725	%
Expected dividend yield	0	%