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Note 4 - Fair Value Measurements
 12 Months Ended
Dec. 31, 2021
Notes to Financial Statements  
Fair Value Disclosures [Text Block]

NOTE 4. FAIR VALUE MEASUREMENTS 

 

The Company follows ASC 820, Fair Value Measurements and Disclosures, with respect to assets and liabilities that are measured at fair value on a recurring basis and nonrecurring basis. Under this standard, fair value is defined as the exit price, or the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants as of the measurement date. 

 

The Company’s cash equivalents are classified within Level 1 of the fair value hierarchy because they are valued using quoted market prices in active markets, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. The types of investments that are generally classified within Level 1 of the fair value hierarchy include money market securities and certificates of deposit.

 

As of December 31, 2021, the 2021 Warrants are classified within Level 3 of the fair value hierarchy as liabilities (see Note 13, “Warrant Liability” and Note 14, “Stockholders’ Equity”).

 

As of December 31, 2020, there were no warrants outstanding that were classified as liabilities. The Company’s outstanding warrants on December 31, 2020 consisted of the 2019 Domestic Warrants, 2019 Foreign Warrants and the 2019 Ladenburg Warrants, all of which were classified as equity. The 2019 Domestic Warrants and the 2019 Foreign Warrants were amended and exercised in July 2020 (see Note 14, “Stockholders’ Equity”), resulting in a decrease of $9.1 million in warrant liability. The 2019 Ladenburg Warrants were also amended in July 2020 (see Note 14, “Stockholders’ Equity”), resulting in a decrease of $0.2 million in warrant liability.

 

The embedded derivative liability related to the Convertible Note (as defined below) was fully settled in September 2020. See Note 12, “Convertible Note” for further discussion of the settlement of the Convertible Note and embedded derivative liability during the third quarter of 2020.

 

The following table presents the Company's assets measured at fair value on a recurring basis as of December 31, 2021 (in thousands):

 

      

Fair Value Measurements Using

 
  

Balance at

  

Quoted Prices in

  

Significant

  

Significant

 
  

December 31,

  

Active Markets

  

Other

  

Unobservable

 
  

2021

  

for Identical

  

Observable

  

Inputs

 
      

Items

  

Inputs

  

(Level 3)

 
      

(Level 1)

  

(Level 2)

     

Assets

                

Restricted cash held as a certificate of deposit

 $324  $324  $—  $— 

Deposit held as a certificate of deposit

  151   151   —   — 

Total assets

 $475  $475  $—  $— 
                 
Liabilities                
Warrant liability $9,558   —   —  $9,558 
Contingent earnout liability  561   —   —   561 
Total liabilities $10,119  $—  $—  $10,119 

 

The following table presents the Company's assets measured at fair value on a recurring basis as of December 31, 2020 (in thousands):

 

      

Fair Value Measurements Using

 
  

Balance at

  

Quoted Prices in

  

Significant

  

Significant

 
  

December 31,

  

Active Markets

  

Other

  

Unobservable

 
  

2020

  

for Identical

  

Observable

  

Inputs

 
      

Items

  

Inputs

  

(Level 3)

 
      

(Level 1)

  

(Level 2)

     

Assets

                

Restricted cash held as a certificate of deposit

 $324  $324  $—  $— 

Deposit held as a certificate of deposit

  151   151   —   — 

Total assets

 $475  $475  $—  $— 

 

There were no liabilities measured at fair value on a recurring basis as of December 31, 2020.

 

The following is a reconciliation of the beginning and ending balances for the liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the year ended December 31, 2021 (in thousands):

 

Fair value of warrant liability at December 31, 2020

 $— 

Fair value of 2021 Warrants issued

  14,172 

Decrease in fair value of 2021 Warrants

  (4,614

)

Fair value of warrant liability at December 31, 2021

 $9,558 

 

The following is a reconciliation of the beginning and ending balances for the liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the year ended December 31, 2020 (in thousands):

 

Fair value of warrant liability and embedded derivative liability at December 31, 2019

 $4,092 

Increase in fair value of warrant liability

  5,238 

Decrease in fair value of embedded derivative liability

  (2

)

Decrease in fair value related to warrants expired

  (22

)

Fair value of warrant liability transferred to equity upon exercise

  (9,108

)

Fair value of 2019 Ladenburg Warrant liability transferred to equity upon warrant modification

  (197

)

Elimination of embedded derivative liability upon settlement of convertible note

  (1

)

Fair value of warrant liability and embedded derivative liability at December 31, 2020

 $—