Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Schedule of fair value measurements, recurring

The following table presents the Company’s liabilities that are measured at fair value on a recurring basis and the level within the fair value hierarchy (in thousands):

							March 31,								December 31,
	Level 1		Level 2		Level 3		2022		Level 1		Level 2		Level 3		2021
Contingent earnout consideration	$	—	$	—	$	702	$	702	$	—	$	—	$	608	$	608
Contingent convertible notes	$	—	$	—	$	14,050	$	14,050	$	—	$	—	$	—	$	—
Total	$	—	$	—	$	14,752	$	14,752	$	—	$	—	$	608	$	608

Schedule of valuation techniques

The key inputs into the Monte Carlo simulation used to estimate the fair value the earn-out provision were as follows:

	March 31, 2022	December 31, 2021
Risk-free interest rate	2.45%	1.02%
Expected volatility	90.0%	90.0%
Term until liquidation (years)	3.13	3.38
Stock price	$1.26	$1.13
Discount rate	7.86%	6.71%

The key inputs into the Monte Carlo simulation used to estimate the fair value the Contingent Convertible Notes Payable as of March 31, 2022 were as follows:

	March 31, 2022
Risk-free interest rate	1.63%
Expected volatility	90.0%
Term until liquidation (years)	0.84
Stock price	$1.26
Discount rate	7.2%

Schedule of fair value, liabilities measured on recurring basis, unobservable input reconciliation

The following table presents the changes in the assets and liabilities measured at fair value on a recurring basis classified as Level 3 (in thousands):

	Three months ended March 31,
	2022		2021
Balance - beginning of period	$	608	$	1,416
Transfer of contingent convertible notes payable from Level 2	10,000		—
Increase in principle of convertible notes for paid-in-kind interest	158		—
Change in fair value of contingent earnout consideration	94		(335)
Change in fair value of contingent convertible notes payable	3,892		—
Balance - end of period	$	14,752	$	1,081