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Investments and Fair Value Instruments (Tables)
9 Months Ended
Sep. 30, 2022
Investments And Fair Value Instruments [Abstract]  
Summary of Amortized Cost and Fair Value of Investment Securities Portfolio

The following tables summarize the amortized cost and fair value of the investment securities portfolio at September 30, 2022 and December 31, 2021.

 

(Dollars in thousands)

 

Amortized
Cost

 

 

Unrealized
Gains

 

 

Unrealized
Losses

 

 

Estimated
Fair Value

 

September 30, 2022

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

20,477

 

 

$

 

 

$

 

 

$

20,477

 

Total Assets at Fair Value

 

$

20,477

 

 

$

 

 

$

 

 

$

20,477

 

 

(Dollars in thousands)

 

Amortized
Cost

 

 

Unrealized
Gains

 

 

Unrealized
Losses

 

 

Estimated
Fair Value

 

December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

26,842

 

 

$

 

 

$

 

 

$

26,842

 

Total Assets at Fair Value

 

$

26,842

 

 

$

 

 

$

 

 

$

26,842

 

Summary of Fair Value of Investment Securities

The fair value of the investment securities at September 30, 2022 were as follows:

 

 

 

Fair Value Measurements at September 30, 2022

 

(Dollars in thousands)

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets at Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

20,477

 

 

$

 

 

$

 

 

$

20,477

 

Total Assets at Fair Value

 

$

20,477

 

 

$

 

 

$

 

 

$

20,477

 

 

The fair value of the investment securities at December 31, 2021 were as follows:

 

 

 

Fair Value Measurements at December 31, 2021

 

(Dollars in thousands)

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets at Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

26,842

 

 

$

 

 

$

 

 

$

26,842

 

Total Assets at Fair Value

 

$

26,842

 

 

$

 

 

$

 

 

$

26,842

 

Summary of Preferred Investment Option Liabilities Measured and Recorded on Recurring Basis using Black-Scholes Model

The preferred investment option liabilities were measured and recorded on a recurring basis using the Black-Scholes Model with the following assumptions at September 30, 2022:


 

 

August 2022 Options

 

August 2022 Placement Agent Options

 

Remaining term (in years)

 

 

4.92

 

 

4.92

 

Expected volatility

 

 

128.5

%

 

128.5

%

Risk-free interest rate

 

 

4.1

%

 

4.1

%

Expected dividend yield

 

 

0

%

 

0

%

Summary of Changes in Fair Value and Other Adjustments of Liabilities

The following table sets forth the establishment of the Company’s Level 3 liabilities, as well as a summary of the changes in the fair value and other adjustments (in thousands):

 

 

 

 

 

(Dollars in thousands)

 

Common Stock
Warrant
Liability -
March
2018
Purchase
Agreement

 

 

Common
Stock
Warrant
Liability -
June
2019
Offering

 

 

Common
Stock
Warrant
Liability -
September
2019
Offering

 

 

Common
Stock
Warrant
Liability -
January 2021
Offering

 

 

August 2022
Options

 

 

August 2022
Placement Agent Options

 

 

Contingent
Liabilities

 

 

Total

 

Balance as of December 31, 2021

 

$

7

 

 

$

170

 

 

$

223

 

 

$

2,993

 

 

$

 

 

$

 

 

$

2,070

 

 

$

5,463

 

Reclassification upon adoption
    of ASU 2020-06

 

 

(7

)

 

 

(170

)

 

 

(223

)

 

 

(2,993

)

 

 

 

 

 

 

 

 

 

 

 

(3,392

)

Initial recognition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,824

 

 

 

191

 

 

 

 

 

 

4,015

 

Change in fair value and other adjustments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1,791

)

 

 

(89

)

 

 

(70

)

 

 

(1,950

)

Balance as of September 30, 2022

 

$

 

 

$

 

 

$

 

 

$

 

 

$

2,033

 

 

$

102

 

 

$

2,000

 

 

$

4,135