| Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis |
Assets and liabilities measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021 were as follows (in thousands):
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Active |
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Observable |
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Unobservable |
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Markets |
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Inputs |
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Inputs |
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Description |
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September 30, 2022 |
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Assets: |
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Cash |
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$ |
165,984 |
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$ |
165,984 |
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— |
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$ |
— |
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Money market funds |
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4,138 |
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4,138 |
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— |
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— |
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Commercial paper |
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1,410 |
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— |
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1,410 |
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— |
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Corporate debt securities - due in one year or less |
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29,686 |
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— |
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29,686 |
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— |
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Commercial paper |
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12,145 |
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— |
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12,145 |
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— |
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Municipal bonds |
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19,216 |
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— |
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19,216 |
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— |
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US Treasury obligation - due in one year or less |
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11,902 |
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11,902 |
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— |
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— |
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Total |
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$ |
244,481 |
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$ |
182,024 |
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$ |
62,457 |
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$ |
— |
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Liabilities: |
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Warrant liability |
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$ |
55,228 |
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$ |
— |
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$ |
— |
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$ |
55,228 |
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Total |
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$ |
55,228 |
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$ |
— |
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$ |
— |
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$ |
55,228 |
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Active |
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Observable |
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Unobservable |
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Markets |
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Inputs |
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Inputs |
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Description |
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December 31, 2021 |
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Assets: |
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Cash |
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$ |
57,213 |
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$ |
57,213 |
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$ |
— |
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$ |
— |
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Money market funds |
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35,089 |
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35,089 |
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— |
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— |
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Corporate debt securities - due in one year or less |
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30,088 |
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— |
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30,088 |
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— |
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US Treasury obligation - due in one year or less |
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7,979 |
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7,979 |
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— |
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— |
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US Treasury obligation - due in more than one year to five years |
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3,986 |
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3,986 |
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— |
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— |
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Corporate debt securities - due in more than one year to five years |
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9,052 |
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— |
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9,052 |
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— |
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Total |
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$ |
143,407 |
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$ |
104,267 |
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$ |
39,140 |
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$ |
— |
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Liabilities: |
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Warrant liability |
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$ |
3,029 |
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$ |
— |
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$ |
— |
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$ |
3,029 |
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Total |
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$ |
3,029 |
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$ |
— |
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$ |
— |
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$ |
3,029 |
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| Summary of Assumptions Used to Record Fair Value of Warrants |
A summary of the Black Scholes pricing model assumptions used to record the fair value of the Warrants is as follows:
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September 30, 2022 |
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September 16, 2022 |
December 31, 2021 |
Stock price |
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$ |
6.44 |
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$ |
7.35 |
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$ |
3.26 |
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Risk-free interest rate |
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4.07 |
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% |
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3.62 |
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% |
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1.11 |
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% |
Dividend yield |
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— |
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— |
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— |
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Expected life (in years) |
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4.92 |
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5.00 |
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3.94 |
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Expected volatility |
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86.76 |
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% |
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86.10 |
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% |
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81.14 |
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% |
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| Summary of Changes in Level 3 Warrant Liability Measured at Fair Value on Recurring Basis |
The following table reflects the change in the Company’s Level 3 warrant liability for the nine months ended September 30, 2022 and the year ended December 31, 2021 (in thousands):
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September 30, 2022 |
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December 31, 2021 |
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Fair value of warrant liability as of beginning of the period |
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$ |
3,029 |
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$ |
19,711 |
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Fair value of 2022 Warrants issued in connection with private placement |
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64,664 |
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— |
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Change in fair value |
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(12,465 |
) |
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(16,682 |
) |
Fair value of warrant liability as of end of the period |
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$ |
55,228 |
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$ |
3,029 |
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