Quarterly report pursuant to Section 13 or 15(d)

Financial Instruments Measured at Fair Value and Concentrations of Credit Risk (Tables)

v3.22.1
Financial Instruments Measured at Fair Value and Concentrations of Credit Risk (Tables)
3 Months Ended
Mar. 31, 2022
Text Block [Abstract]  
Summary of Fair Value Measurements and Financial Statement Presentation
The fair values of the Company’s financial instruments measured at fair value and their respective levels in the fair value hierarchy as of March 31, 2022, were as follows:
 
    
March 31, 2022
    
March 31, 2022
 
    
Fair Values of Assets
    
Fair Values of Liabilities
 
In Thousands
  
Level 1
    
Level 2
    
Level 3
    
Total
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Other items reported at fair value:
                                                                       
Common stock warrants
   $ —        $ —        $ —        $ —        $ —        $ —        $ 4,976      $ 4,976  
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total
   $ —        $ —        $ —        $ —        $ —        $ —        $ 4,976      $ 4,976  
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Summary of Fair Value of the Common Warrants
The estimated fair values of the Common Warrants, and the assumptions used for the Black-Scholes option pricing model were as follows:

 
 
  
As of
March 31,
 
 
  
2022
 
Estimated fair value of Common Warrants
  
$
0.64
 
Assumptions:
        
Risk-free interest rate
  
 
2.5
Expected volatility
  
 
80.0
Expected term to liquidation (in years)
  
 
5.4