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Fair Value Measurements
9 Months Ended
Sep. 30, 2022
Fair Value Measurements  
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

 

%

%

%