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Fair Value of Financial Instruments (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Summarizes the Conclusions Reached Regarding Fair Value Measurements The following table summarizes the conclusions reached regarding fair value measurements as of September 30, 2021 and December 31, 2020 (in thousands):

 

 

Balance at September 30, 2021

 

 

Quoted Prices in Active Markets for Identical Assets

(Level 1)

 

 

Significant Other Observable Inputs

(Level 2)

 

 

Significant Unobservable Inputs

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities with readily determinable fair value

$

4,294

 

 

$

4,294

 

 

$

 

 

$

 

Total

$

4,294

 

 

$

4,294

 

 

$

 

 

$

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability, related party (1)

$

2,260

 

 

$

 

 

$

 

 

$

2,260

 

Total

$

2,260

 

 

$

 

 

$

 

 

$

2,260

 

 

 

Balance at December 31, 2020

 

 

Quoted Prices in Active Markets for Identical Assets

(Level 1)

 

 

Significant Other Observable Inputs

(Level 2)

 

 

Significant Unobservable Inputs

(Level 3)

 

Warrant liability, related party (1)

$

2,871

 

 

$

 

 

$

 

 

$

2,871

 

Total

$

2,871

 

 

$

 

 

$

 

 

$

2,871

 

 

(1)

Fair value determined using the Black-Scholes option pricing model.  Expected volatility is based on historical volatility of its own stock. The risk-free rate is based on the U.S. Treasury yield curve in effect at the time of the valuation.

 

 

Changes in Level 3 instruments for the nine months ended September 30,

 

 

Balance at January 1

 

 

Net Change in

fair value included in earnings

 

 

Purchases /

Issuance

 

 

Sales /

Repurchases

 

 

Balance at September 30,

 

2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability, related party

$

2,871

 

 

$

(611

)

 

$

 

 

$

 

 

$

2,260

 

Total

$

2,871

 

 

$

(611

)

 

$

 

 

$

 

 

$

2,260

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability, related party

$

2,601

 

 

$

114

 

 

$

 

 

$

 

 

$

2,715

 

Total

$

2,601

 

 

$

114

 

 

$

 

 

$

 

 

$

2,715

 

Assumptions Used to Calculate Fair Value of Warrants Significant inputs utilized in the valuation of the Letter Agreement Warrants as of September 30, 2021 and December 31, 2020 were:

 

 

 

 

September 30, 2021

 

 

December 31, 2020

 

 

Range

Weighted Average

 

 

Range

Weighted Average

 

Expected volatility

119.95% - 146.23%

135.67%

 

 

120.53% - 142.07%

128.16%

 

Risk-free interest rate

0.57% - 1.02%

0.85%

 

 

0.26% - 0.50%

0.39%