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Fair Value Measurements (Tables) | 3 Months Ended
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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 |

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- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI http://asc.fasb.org/extlink&oid=123874694&loc=SL7498348-110258 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bb) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 + Details
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