Fair Value Measurement of Assets and Liabilities

12 Months Ended

Dec. 31, 2022

Fair Value Measurement of Assets and Liabilities

The following table summarizes the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2022 and 2021 (in thousands):


	December 31, 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	$	—	$	—	$	—	$	926	$	926	$	—
Total liabilities	$	—	$	—	$	—	$	926	$	926	$	—

During the years ended December 31, 2022 and 2021, there were no transfers between the levels within the fair value hierarchy.

The fair value of the interest make-whole payment derivative liability was determined using a Monte Carlo model with the following key assumptions:


	December 31, 2022		December 31, 2021
Volatility	50	%	50	%
Stock price	$0.84 per share		$5.83 per share
Credit spread	56.52	%	15.93	%
Term	2.34 years		3.34 years
Dividend yield	—	%	—	%
Risk-free rate	4.35	%	1.02	%

The estimated fair value of the interest make-whole derivative liability at December 31, 2022 and December 31, 2021 was determined using assumptions which include an implied credit spread rate for notes with a similar term, the expected volatility and dividend yield of the Company’s common stock and the risk-free interest rate.

During the year ended December 31, 2022, there were no conversions of the 3.25% convertible senior notes due 2025 (the “2025 Notes”) into shares of the Company’s common stock. During the year ended December 31, 2021, certain holders of the 2025 Notes converted an aggregate of approximately $5.0 million in principal amount of the 2025 Notes into shares of the Company’s common stock in accordance with the terms of such notes and a portion of the embedded derivative was settled in shares of the Company’s common stock resulting in $0.1 million of the derivative liability being extinguished upon conversion.

There was a $0.9 million reduction in the fair value of the interest make-whole liability for the year ended December 31, 2022. For the years ended December 31, 2021 and 2020, the Company recorded a $3.8 million gain and a $0.6 million loss, respectively, as a result of the changes in fair value of the interest make-whole liability.

Other Financial Instruments

The 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 2025 Notes. The 2025 Notes are carried at amortized cost, adjusted for changes in fair value of the embedded derivative.