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Fair Value Measurement of Assets and Liabilities (Tables) | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Schedule of Financial Instruments Measured at Fair Value on Recurring Basis | The following tables summarize the Company’s financial instruments measured at fair value on a recurring basis in accordance with the authoritative guidance for fair value measurements as of September 30, 2021 and December 31, 2020 (in thousands):
| September 30, 2021 |  | December 31, 2020
| Total Fair Value |  | Level 3 |  | Level 1 |  | Total Fair Value |  | Level 3 |  | Level 1
Assets |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  |  |  |  |  |  |  |  |  |  |
Money market funds | $ | 126 |  |  | $ | — |  |  | $ | 126 |  |  | $ | 126 |  |  | $ | — |  |  | $ | 126 |
Total assets | $ | 126 |  |  | $ | — |  |  | $ | 126 |  |  | $ | 126 |  |  | $ | — |  |  | $ | 126 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
2025 Notes |  |  |  |  |  |  |  |  |  |  |
Interest make-whole payment | $ | 1,317 |  |  | $ | 1,317 |  |  | $ | — |  |  | $ | 4,898 |  |  | $ | 4,898 |  |  | $ | — |
Total liabilities | $ | 1,317 |  |  | $ | 1,317 |  |  | $ | — |  |  | $ | 4,898 |  |  | $ | 4,898 |  |  | $ | — |
Schedule of Fair Value Valuation Model and Assumptions | The fair value of the interest make-whole payment derivative liability was determined using a Monte Carlo model with the following key assumptions:
| September 30, 2021 |  | December 31, 2020 |  |
Volatility | 50 | % |  | 50 | % |  |
Stock price | $6.66 per share |  | $15.47 per share |  |
Credit spread | 18.53 | % |  | 19.25 | % |  |
Term | 3.59 years |  | 4.34 years |  |
Dividend yield | — | % |  | — | % |  |
Risk-free rate | 0.66 | % |  | 0.30 | % |  |
Summary of Changes in Fair Value of Level 3 Liabilities | The following table sets forth a summary of changes in the fair value of Level 3 liabilities for the nine months ended September 30, 2021 (in thousands):
| Balance as of December 31, 2020 |  | Additions |  | Conversions |  | Change in fair value |  | Balance as of September 30, 2021
Liabilities: |  |  |  |  |  |  |  |  |
Interest make-whole payment | $ | 4,898 |  |  | $ | — |  |  | $ | (146) |  |  | $ | (3,435) |  |  | $ | 1,317 |

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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=117815213&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=117815213&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=117815213&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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