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Fair Value Measurement of Assets and Liabilities | 9 Months Ended
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Sep. 30, 2022
Fair Value Disclosures [Abstract] |
Fair Value Measurement of Assets and Liabilities | Fair Value Measurement of Assets and Liabilities Fair value is defined as an exit price, representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Fair value is a market-based measurement that is determined based on assumptions that market participants would use in pricing an asset or liability. Each fair value measurement is classified into one of the following levels based on the information used in the valuation: Level 1: Observable inputs such as quoted prices in active markets. Level 2: Inputs, other than quoted prices in active markets, that are observable either directly or indirectly. Level 3: The fair market value for level 3 securities may be highly sensitive to the use of unobservable inputs and subjective assumptions. Generally, changes in significant unobservable inputs may result in significantly lower or higher fair value measurements. The following table summarizes the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021 (in thousands):
| September 30, 2022 |  | December 31, 2021
| Total Fair Value |  | Level 3 |  | Level 1 |  | Total Fair Value |  | Level 3 |  | Level 1
Assets |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  |  |  |  |  |  |  |  |  |  |
Money market funds | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 126 |  |  | $ | — |  |  | $ | 126 |
Total assets | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 126 |  |  | $ | — |  |  | $ | 126 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
2025 Notes |  |  |  |  |  |  |  |  |  |  |
Interest make-whole payment | $ | 24 |  |  | $ | 24 |  |  | $ | — |  |  | $ | 926 |  |  | $ | 926 |  |  | $ | — |
Total liabilities | $ | 24 |  |  | $ | 24 |  |  | $ | — |  |  | $ | 926 |  |  | $ | 926 |  |  | $ | — |
The fair value of the interest make-whole payment derivative liability was determined using a Monte Carlo model using the following key assumptions:
| September 30, 2022 |  | December 31, 2021 |  |  |  |
Volatility | 50 | % |  | 50 | % |  |  |  |
Stock price | $2.07 per share |  | $5.83 per share |  |  |  |
Credit spread | 30.78 | % |  | 15.93 | % |  |  |  |
Term | 2.59 years |  | 3.34 years |  |  |  |
Dividend yield | — | % |  | — | % |  |  |  |
Risk-free rate | 4.24 | % |  | 1.02 | % |  |  |  |
No unrealized gain related to the interest make-whole payment derivative liability was recognized for the three months ended September 30, 2022, compared to a $1.6 million,unrealized gain for the three months ended September 30, 2021. The Company also recognized $0.9 million and $3.4 million of unrealized gains for the nine months ended September 30, 2022 and 2021, respectively. Unrealized gains and losses on the interest make-whole payment derivative are included within other income (expense), net, on the condensed consolidated statements of operations. The Company reviews the fair value hierarchy classification of its financial instruments measured at fair value on a quarterly basis. Changes in the observability of valuation inputs may result in a reclassification of levels for certain securities within the fair value hierarchy. There have been no transfers of assets or liabilities between fair value measurement classifications during the nine months ended September 30, 2022 or 2021. Other Financial InstrumentsThe carrying values of the Company’s other financial assets and liabilities approximate their fair values because of their short-term nature, with the exception of the 3.25% convertible senior notes due 2025 (the “2025 Notes”). The 2025 Notes are carried at amortized cost, adjusted for changes in fair value of the embedded derivative. It is not practicable to determine the fair value of the 2025 Notes due to the lack of information available to calculate the fair value of such notes. As of September 30, 2022 and December 31, 2021, the carrying amount of the 2025 Notes was $158.1 million and $157.9 million, respectively.

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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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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