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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2023

Summarizes the Conclusions Reached Regarding Fair Value Measurements

The following table summarizes the conclusions reached regarding fair value measurements as of September 30, 2023 and December 31, 2022 (in thousands):


	Balance at September 30, 2023		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Equity securities with readily determinable fair value	$	4,387	$	4,387	$	—	$	—
Total	$	4,387	$	4,387	$	—	$	—

Liabilities:
Warrant liability, related party (1)	$	278	$	—	$	—	$	278
Total	$	278	$	—	$	—	$	278


	Balance at December 31, 2022		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Equity securities with readily determinable fair value	$	1,343	$	1,343	$	—	$	—
Total	$	1,343	$	1,343	$	—	$	—

Liabilities:
Warrant liability, related party (1)	$	684	$	—	$	—	$	684
Total	$	684	$	—	$	—	$	684

_____________________________


(1)			Fair value determined using the Black-Scholes option pricing model. Expected volatility is based on the historical volatility of the Company’s common stock over the most recent period. The risk-free rate is based on the U.S. Treasury yield curve in effect at the time of valuation.


	Changes in Level 3 instruments for the three months ended September 30,
	Balance at January 1		Net Change in fair value included in earnings		Purchases / Issuance		Sales / Repurchases		Balance at September 30,
2023
Warrant liability, related party	$	684	$	(406)	$	—	$	—	$	278
Total	$	684	$	(406)	$	—	$	—	$	278

2022
Warrant liability, related party	$	1,262	$	(221)	$	368	$	—	$	1,409
Total	$	1,262	$	(221)	$	368	$	—	$	1,409

Fair Value Measurement Inputs and Valuation Techniques

Significant inputs utilized in the valuation of the Letter Agreement Warrants as of September 30, 2023 and December 31, 2022 were:


	September 30, 2023		December 31, 2022
	Range	Weighted Average	Range	Weighted Average
Expected volatility	68.37% - 77.01%	76.06%	76.94% - 85.88%	82.17%
Risk-free interest rate	4.78% - 5.38%	4.88%	4.11% - 4.43%	4.19%

The fair value of the CinRx Warrants was determined using the Black-Scholes option pricing model. Expected volatility is based on the historical volatility of the Company’s common stock over the most recent period. The risk-free rate is based on the U.S. Treasury yield curve in effect at the time of valuation. Significant inputs utilized in the valuation of the CinRx Warrants as of September 30, 2023 were:


Expected volatility	82.38	%
Expected life of options in years	3.75
Risk-free interest rate	4.73	%
Expected dividend yield	—	%