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Note 4 - Fair Value Measurements

9 Months Ended

Sep. 30, 2022

Notes to Financial Statements

Fair Value Disclosures [Text Block]

NOTE 4. FAIR VALUE MEASUREMENTS

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

The following table presents the Company’s assets measured at fair value on a recurring basis as of September 30, 2022 (in thousands):

						Fair Value Measurements Using
						Quoted Prices in
		*Balance at*				Active Markets				Significant Other				Significant Unobservable
		*September 30,*				*for Identical*				*Observable*				*Inputs*
		*2022*				*Items*				*Inputs*				*(Level 3)*
						*(Level 1)*				*(Level 2)*
Assets
Deposit held as a certificate of deposit		$	152			$	152			$	—			$	—
Total assets		$	152			$	152			$	—			$	—

Liabilities
Warrant liability		$	2,827			$	—			$	—			$	2,827
Contingent earnout liability			342				—				—				342
Total liabilities		$	3,169			$	—			$	—			$	3,169

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) as of September 30, 2022 (in thousands):

Fair value of warrant liability at December 31, 2021		$	9,558
Decrease in fair value of November 2021 Warrants			(2,056	)
Reclassification of November 2021 Warrants liability to equity			(7,502	)
Fair value of warrants issued in connection with the 2022 Warrant Reprice Transaction (as defined in Note 14)			5,241
Decrease in fair value of warrants issued in connection with the 2022 Warrant Reprice Transaction (as defined in Note 14)			(2,414	)
Fair value of warrant liability at September 30, 2022		$	2,827

Fair value of contingent liability at December 31, 2021		$	561
Decrease in fair value of contingent liability			(219	)
Fair value of contingent liability at September 30, 2022		$	342

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
						Quoted Prices in
		*Balance at*				Active Markets				Significant Other				Significant Unobservable
		*December 31,*				*for Identical*				*Observable*				*Inputs*
		*2021*				*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 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) as of December 31, 2021 (in thousands):

Fair value of warrant liability at December 31, 2020		$	—
Fair value of November 2021 Warrants issued			14,172
Decrease in fair value of November 2021 Warrants			(4,614	)
Fair value of warrant liability at December 31, 2021		$	9,558

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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