XML 20 R10.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

9 Months Ended

Sep. 30, 2021

4.	Fair Value Measurements

Fair value measurements are market-based measurements, not entity-specific measurements. Therefore, fair value measurements are determined based on the assumptions that market participants would use in pricing the asset or liability. The Company follows a three-level hierarchy to prioritize the inputs used in the valuation techniques to derive fair values. The basis for fair value measurements for each level within the hierarchy is described below:

•

Level 1: Quoted prices in active markets for identical assets or liabilities.

•

Level 2: Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs are observable in active markets.

•

Level 3: Valuations derived from valuation techniques in which one or more significant inputs are unobservable in active markets.

Warrants issued in an underwritten public offering in September 2019 (“Series U Warrants”) are classified as liability instruments. Because some of the inputs to the Company’s valuation model are either not observable or are not derived principally from or corroborated by observable market data by correlation or other means, the warrant liability is classified as Level 3 in the fair value hierarchy.

The Company estimated the fair value of the Series U Warrants with the Black Scholes model. The Series U Warrants will be marked to market as of each balance sheet date until they are exercised or upon expiration, with the changes in fair value recorded as non-operating income or loss in the statements of operations.

	September 30, 2021			December 31, 2020
Expected term	3 years			3.75 years
Common stock market price	$	1.91		$	2.02
Risk-free interest rate		0.53	%		0.24	%
Expected volatility		139	%		149	%
Resulting fair value (per warrant)	$	1.25		$	1.56

The following table summarizes the change in Level 3 warrant liability value for the three and nine months ended September 30, 2021 and 2020 (in thousands):

	Three Months Ended						Nine Months Ended
Warrant liability	September 30, 2021			September 30, 2020			September 30, 2021			September 30, 2020
Beginning balance	$	5		$	242		$	7		$	6,929
Change in fair value		(2	)		81			(4	)		(2,342	)
Reclassification to equity		—			(240	)		—			(4,504	)
Ending balance	$	3		$	83		$	3		$	83