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Fair Value Measurement of Assets and Liabilities
 9 Months Ended
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, 2022December 31, 2021
Total Fair ValueLevel 3Level 1Total Fair ValueLevel 3Level 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, 2022December 31, 2021
Volatility50 %50 %
Stock price
$2.07 per share
$5.83 per share
Credit spread30.78 %15.93 %
Term2.59 years3.34 years
Dividend yield— %— %
Risk-free rate4.24 %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.