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Fair Value Measurements

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 11 - Fair Value Measurements

Certain of the Company’s warrants are classified as liabilities and measured at fair value on the issuance date, with changes in fair value recognized as other income (expense) in the condensed consolidated statements of operations.

The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of March 31, 2021 and December 31, 2020 (in thousands):

		Fair valued measured at March 31, 2021
		Quoted prices in active markets (Level 1)				Significant other observable inputs (Level 2)				Significant unobservable inputs (Level 3)				Total
Financial liabilities at fair value:
Warrant liabilities		$	-			$	-			$	8,030			$	8,030
Total financial liabilities at fair value		$	-			$	-			$	8,030			$	8,030

		Fair valued measured at December 31, 2020
		Quoted prices in active markets (Level 1)				Significant other observable inputs (Level 2)				Significant unobservable inputs (Level 3)				Total
Financial liabilities at fair value:
Warrant liabilities		$	-			$	-			$	22,686			$	22,686
Total financial liabilities at fair value		$	-			$	-			$	22,686			$	22,686

Warrant Liabilities

The following table presents changes in Level 3 liabilities measured at fair value (in thousands) for the three months ended March 31, 2021. Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.

		Warrant liabilities
Fair value at December 31, 2020		$	22,686
Change in fair value		$	585
Redemption		$	(15,241	)
Fair value at March 31, 2021		$	8,030

The Company used a Black-Scholes model to estimate the fair value of the warrant liabilities at March 31, 2021 and December 31, 2020 using the following inputs:

		March 31, 2021				December 31, 2020
Fair value of underlying common shares		$	22.12			$	28.00
Exercise price		$	9.25			$	9.25
Expected dividend yield			—	%				%
Expected volatility			67.5% - 68.9	%			73.9% - 75.1	%
Weighted average expected volatility			67.93	%			74.35	%
Risk-free interest rate			0.07% - 0.07	%			0.10% - 0.11	%
Weighted average risk-free interest rate			0.07	%			0.11	%
Expected term (years)			0.9-1.0				1.14 - 1.24
Weighted average expected term (years)			0.90				1.19

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- References

No definition available.

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- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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