| Fair Value Measurements |
. Fair Value Measurements
Assets and liabilities measured at fair value on a recurring basis as of December 31, 2022 and 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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December 31, 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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$ |
167,467 |
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$ |
167,467 |
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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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22,320 |
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— |
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22,320 |
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— |
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Commercial paper |
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2,491 |
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— |
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2,491 |
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— |
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Municipal bonds |
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6,038 |
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— |
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6,038 |
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— |
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US Treasury obligation - due in one year or less |
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3,988 |
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3,988 |
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— |
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— |
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Total |
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$ |
202,304 |
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$ |
171,455 |
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$ |
30,849 |
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$ |
— |
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Liabilities: |
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Warrant liabilities |
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$ |
24,472 |
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$ |
— |
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$ |
— |
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$ |
24,472 |
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Total |
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$ |
24,472 |
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$ |
— |
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$ |
— |
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$ |
24,472 |
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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 liabilities |
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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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Assumptions Used in Determining Fair Value of Warrants
The Company issued the 2022 Warrants to purchase an aggregate of up to 13,813,912 shares of common stock in connection with the 2022 Private Placement (see Note 12) and the 2020 Warrants to purchase an aggregate of up to 282,809 shares of common stock in connection with a private placement in December 2020 (see Note 12). The Company accounted for the 2022 Warrants and 2020 Warrants as liabilities. The Company recorded the fair value of these warrants upon issuance using the Black-Scholes valuation model and is required to revalue these warrants at each reporting date with any changes in fair value recorded on our statement of operations. The valuation of the 2022 Warrants and 2020 Warrants is considered under Level 3 of the fair value hierarchy and influenced by the fair value of the underlying common stock of the Company.
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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December 31, 2022 |
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December 31, 2021 |
Stock price |
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$ |
3.59 |
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$ |
3.26 |
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Average risk-free interest rate |
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4.02 |
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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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Average expected life (in years) |
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4.67 |
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3.94 |
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Average expected volatility |
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86.79 |
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% |
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81.14 |
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% |
Changes in Level 3 Liabilities Measured at Fair Value on a Recurring Basis
The following table reflects the change in the Company’s Level 3 Warrant liabilities for the years ended December 31, 2022 and 2021 (in thousands):
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December 31, 2022 |
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December 31, 2021 |
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Fair value of warrant liabilities as of beginning of year |
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$ |
3,029 |
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$ |
19,711 |
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Warrants issued in connection with 2022 Private Placement |
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64,664 |
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— |
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Change in fair value |
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(43,221 |
) |
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(16,682 |
) |
Fair value of warrant liabilities as of end of year |
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$ |
24,472 |
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$ |
3,029 |
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