Fair Value (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

Schedule of Assumptions to Estimate Fair Value of Warrants

The Company utilized the following assumptions to estimate the fair value of the August 2016 Warrants:

	June 30, 2021			December 31, 2020
Underlying price per share	$	2.15		$	1.79
Exercise price per share	$	82.50		$	82.50
Risk-free interest rate		0.02	%		0.09	%
Expected holding period		0.17			0.67
Expected volatility		35	%		75	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the February 2017 Warrants:

	June 30, 2021			December 31, 2020
Underlying price per share	$	2.15		$	1.79
Exercise price per share	$	30.25 – 33.00		$	30.25-33.00
Risk-free interest rate		0.08 - 0.10	%		0.12	%
Expected holding period		1.09 – 1.10			1.58 – 1.60
Expected volatility		80	%		130	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the June 2017 Warrants:

	June 30, 2021			December 31, 2020
Underlying price per share	$	2.15		$	1.79
Exercise price per share	$	27.50		$	27.50
Risk-free interest rate		0.07	%		0.11	%
Expected holding period		0.92			12.42
Expected volatility		75	%		135	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the August 2017 Warrants:

	June 30, 2021			December 31, 2020
Underlying price per share	$	2.15		$	1.79
Exercise price per share		19.80		$	19.80
Risk-free interest rate		0.06	%		0.11	%
Expected holding period		0.68			1.18
Expected volatility		70	%		110	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the April 2018 Warrants:

	June 30, 2021			December 31, 2020
Underlying price per share	$	2.15		$	1.79
Exercise price per share	$	17.16		$	17.16
Risk-free interest rate		0.32	%		0.16	%
Expected holding period		2.32			2.81
Expected volatility		140	%		105	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the March 2019 Warrants:

	June 30, 2021			December 31, 2020
Underlying price per share	$	2.15		$	1.79
Exercise price per share	$	8.80		$	8.80
Risk-free interest rate		0.29	%		0.19	%
Expected holding period		2.69			3.19
Expected volatility		135	%		105	%
Expected dividend yield		-			-

Schedule of Range of Probabilities

With the above factors utilized in analysis of the likelihood of the Put’s potential Liability, the Company estimated the range of probabilities related to a Put right being triggered as:

Range of Probability	Probability
Low	0.5	%
Medium	1.0	%
High	5.0	%

Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

The table below presents the balances of assets and liabilities measured at fair value on a recurring basis by level within the hierarchy as:

	(in thousands) As of June 30, 2021
	Total		Level 1		Level 2		Level 3
Assets:
Marketable securities	$	16,135	$	16,135	$	—	$	—
Liabilities:
Redeemable warrants	$	209		—		—		$ 209

	(in thousands) As of December 31, 2020
	Total		Level 1		Level 2		Level 3
Assets:
Marketable securities	$	15,877	$	15,877	$	—	$	—
Liabilities:
Redeemable warrants	$	180		—		—		$ 180

Schedule of Changes in Level 3 Liabilities Measured at Fair Value on a Recurring Basis

The changes in Level 3 Liabilities measured at fair value on a recurring basis are summarized as follows (in thousands):

Redeemable warrants:
Balance at December 31, 2020	$	180
Fair value adjustment		29
Balance at June 30, 2021	$	209