Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.23.3
Fair Value Measurements
9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurements

6. Fair Value Measurements

Assets and liabilities measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 were as follows (in thousands):

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

September 30, 2023

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

    Cash and money market funds

 

$

112,219

 

 

$

112,219

 

 

$

 

 

$

 

Total:

 

$

112,219

 

 

$

112,219

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

24,549

 

 

$

 

 

$

 

 

$

24,549

 

Total

 

$

24,549

 

 

$

 

 

$

 

 

$

24,549

 

 

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

December 31, 2022

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

    Cash and money market funds

 

$

167,467

 

 

$

167,467

 

 

$

 

 

$

 

Marketable securities:

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt securities - due in one year or less

 

 

22,320

 

 

 

 

 

 

22,320

 

 

 

 

Commercial paper

 

 

2,491

 

 

 

 

 

 

2,491

 

 

 

 

Municipal bonds

 

 

6,038

 

 

 

 

 

 

6,038

 

 

 

 

US Treasury obligation - due in one year or less

 

 

3,988

 

 

 

3,988

 

 

 

 

 

 

 

Total

 

$

202,304

 

 

$

171,455

 

 

$

30,849

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

24,472

 

 

$

 

 

$

 

 

$

24,472

 

Total

 

$

24,472

 

 

$

 

 

$

 

 

$

24,472

 

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 11) and warrants to purchase an aggregate of up to 282,809 shares of common stock in connection with a private placement on December 8, 2020 (the “2020 Warrants”) (see Note 11). 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 the Company's 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:

 

 

September 30, 2023

 

 

 

December 31, 2022

Stock price

 

$

3.95

 

 

 

$

3.59

 

 

Average risk-free interest rate

 

 

4.71

 

%

 

 

4.02

 

%

Average expected life (in years)

 

 

3.92

 

 

 

 

4.67

 

 

Average expected volatility

 

 

85.96

 

%

 

 

86.79

 

%

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 liability for the nine months ended September 30, 2023 and the year ended December 31, 2022 (in thousands):

 

 

September 30, 2023

 

 

 

December 31, 2022

 

Fair value of warrant liabilities as of beginning of year

 

$

24,472

 

 

 

$

3,029

 

Warrants issued in connection with 2022 Private Placement

 

 

 

 

 

 

64,664

 

Change in fair value

 

 

77

 

 

 

 

(43,221

)

Fair value of warrant liabilities as of end of period

 

$

24,549

 

 

 

$

24,472