Fair Value Measurements |
14. | Fair Value Measurements |
The following table represents the fair value hierarchy of the Company’s financial assets and liabilities measured at fair value on a recurring basis at September 30, 2022 and December 31, 2021 (in thousands): | | | | | | | | | | | | | | | | September 30, 2022 | | | | Total | | Level 1 | | Level 2 | | Level 3 | | Assets | | | | | | | | | | | | | | Money market funds⁽¹⁾ | | $ | 33,610 | | $ | 33,610 | | | — | | | — | | Commercial paper | | | 32,614 | | | — | | | 32,614 | | | — | | Corporate debt securities | | | 36,784 | | | — | | | 36,784 | | | — | | Asset backed securities | | | 13,849 | | | — | | | 13,849 | | | — | | Government and agency securities | | | 44,319 | | | 37,403 | | | 6,916 | | | — | | PHC Option | | | 101 | | | — | | | — | | | 101 | | Liabilities | | | | | | | | | | | | | | Energy Capital Option | | $ | 28,068 | | $ | — | | | — | | | 28,068 | | Embedded features of the 2023 Notes | | | 328 | | | — | | | 328 | | | — | | Embedded features of the PHC Notes | | | 63,847 | | | — | | | — | | | 63,847 | | Embedded features of the 2025 Notes | | | 19,947 | | | — | | | 19,947 | | | — | |
| | | | | | | | | | | | | | | | December 31, 2021 | | | | Total | | Level 1 | | Level 2 | | Level 3 | | Assets | | | | | | | | | | | | | | Money market funds⁽¹⁾ | | $ | 29,197 | | $ | 29,197 | | | — | | | — | | Commercial paper | | | 57,369 | | | — | | | 57,369 | | | — | | Corporate debt securities | | | 39,748 | | | — | | | 39,748 | | | — | | Asset backed securities | | | 26,707 | | | — | | | 26,707 | | | — | | Government and agency securities | | | 24,503 | | | 19,957 | | | 4,546 | | | — | | PHC Option | | | 239 | | | — | | | — | | | 239 | | Liabilities | | | | | | | | | | | | | | Energy Capital Option | | $ | 69,401 | | $ | — | | | — | | | 69,401 | | Embedded features of the 2023 Notes | | | 5,817 | | | — | | | — | | | 5,817 | | Embedded features of the PHC Notes | | | 149,058 | | | — | | | — | | | 149,058 | | Embedded features of the 2025 Notes | | | 81,417 | | | — | | | 81,417 | | | — | |
(1)Classified as cash and cash equivalents due to their short-term maturity The following table provides a reconciliation of the beginning and ending net balances of items measured at fair value on a recurring basis that used significant unobservable inputs (Level 3) (in thousands): | | | | | | | | | Level 3 | | | Instruments | December 31, 2021 | | $ | 224,037 | Gain on fair value adjustment of option | | | (41,333) | Gain on change in fair value of derivatives | | | (85,211) | Financial asset (gain) impairment cost, net | | | 138 | Change in fair value hierarchy classification | | | (5,817) | September 30, 2022 | | $ | 91,814 |
Transfers into Level 2 of liabilities previously classified in Level 3 were due to increased trade activity associated with these instruments providing better price transparency, permitting classification to Level 2. The recurring Level 3 fair value measurements of the embedded features of the notes payable and preferred stock, include the following significant unobservable inputs at September 30, 2022: | | | | | | | | | | PHC Notes | | PHC Option | | Energy Capital Option | | Unobservable Inputs | | Assumptions | | Assumptions | | Assumptions | | Stock price volatility | | 110.0 | % | 104.0 | % | 88.0 | % | Probabilities of conversion provisions | | 5.0 - 10.0 | % | 5.0 - 10.0 | % | 5.0 - 10.0 | % | Time period until maturity (yrs) | | 2.09 | | 0.25 | | 0.00 - 0.11 | | Dividend yield | | — | % | — | % | — | % |
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