Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

Fair Value Measurements

3 Months Ended

Mar. 31, 2022

5. Fair Value Measurements

Assets and liabilities measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 were as follows (in thousands):

			Active		Observable		Unobservable
			Markets		Inputs		Inputs
Description	March 31, 2022		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash	$	59,769	$	59,769	—		$	—
Money market funds		9,806		9,806		—		—
Corporate debt securities - due in one year or less		28,804		—		28,804		—
US Treasury obligation - due in one year or less		11,882		11,882		—		—
Corporate debt securities - due in more than one year to five years		2,638		—		2,638		—
Total	$	112,899	$	81,457	$	31,442	$	—
Liabilities:
Warrant liability	$	581	$	—	$	—	$	581
Total	$	581	$	—	$	—	$	581

			Active		Observable		Unobservable
			Markets		Inputs		Inputs
Description	December 31, 2021		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash	$	57,213	$	57,213	$	—	$	—
Money market funds		35,089		35,089		—		—
Corporate debt securities - due in one year or less		30,088		—		30,088		—
US Treasury obligation - due in one year or less		7,979		7,979		—		—
US Treasury obligation - due in more than one year to five years		3,986		3,986		—		—
Corporate debt securities - due in more than one year to five years		9,052		—		9,052		—
Total	$	143,407	$	104,267	$	39,140	$	—
Liabilities:
Warrant liability	$	3,029	$	—	$	—	$	3,029
Total	$	3,029	$	—	$	—	$	3,029

Assumptions Used in Determining Fair Value of Warrants

The Company issued warrants to purchase an aggregate of up to 2,828,125 shares of common stock in connection with a private placement on December 8, 2020 (see Note 10) (the “Warrants”). In the event of certain fundamental transactions involving the Company, the Warrant holders may require the Company to make a payment based on a Black-Scholes valuation, using specified inputs; therefore, the Warrants were accounted for as liabilities. The Company recorded the fair value of the Warrants upon issuance using the Black-Scholes valuation model and is required to revalue the Warrants at each reporting date with any changes in fair value recorded on our statement of operations. The valuation of the 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:

	March 31, 2022			December 31, 2021
Stock price	$	1.19		$	3.26
Risk-free interest rate		2.44	%		1.11	%
Dividend yield		—			—
Expected life (in years)		3.69			3.94
Expected volatility		85.49	%		81.14	%

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 three months ended March 31, 2022 and the year ended December 31, 2021 (in thousands):

	March 31, 2022			December 31, 2021
Fair value of warrant liability as of beginning of the period	$	3,029		$	19,711
Change in fair value		(2,448	)		(16,682	)
Fair value of warrant liability as of end of the period	$	581		$	3,029