Fair Value (Tables)

9 Months Ended

Sep. 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 February 2017 Warrants:

	September 30, 2021			December 31, 2020
Underlying price per share	$	2.02		$	1.79
Exercise price per share	$	30.25 – 33.00		$	30.25-33.00
Risk-free interest rate		0.08	%		0.12	%
Expected holding period		0.84 – 0.85			1.58 – 1.60
Expected volatility		60	%		130	%
Expected dividend yield		-			-

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

	September 30, 2021			December 31, 2020
Underlying price per share	$	2.02		$	1.79
Exercise price per share	$	27.50		$	27.50
Risk-free interest rate		0.06	%		0.11	%
Expected holding period		0.67			12.42
Expected volatility		55	%		135	%
Expected dividend yield		-			-

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

	September 30, 2021			December 31, 2020
Underlying price per share	$	2.02		$	1.79
Exercise price per share		19.80		$	19.80
Risk-free interest rate		0.05	%		0.11	%
Expected holding period		0.43			1.18
Expected volatility		35	%		110	%
Expected dividend yield		-			-

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

	September 30, 2021			December 31, 2020
Underlying price per share	$	2.02		$	1.79
Exercise price per share	$	17.16		$	17.16
Risk-free interest rate		0.30	%		0.16	%
Expected holding period		2.07			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:

	September 30, 2021			December 31, 2020
Underlying price per share	$	2.02		$	1.79
Exercise price per share	$	8.80		$	8.80
Risk-free interest rate		0.39	%		0.19	%
Expected holding period		2.44			3.19
Expected volatility		135	%		105	%
Expected dividend yield		-			-

Schedule of Range of Probabilities

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 September 30, 2021
	Total		Level 1		Level 2		Level 3
Assets:
Marketable securities	$	16,310	$	16,310	$	—	$	—
Liabilities:
Redeemable warrants	$	158		—		—	$	158

	(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		(22	)
Balance at September 30, 2021	$	158