Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
6 Months Ended
Jun. 30, 2021
Fair Value Measurements  
Fair Value Measurements

5.    Fair Value Measurements

The Company measures the fair value of financial instruments using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. Each level of input has different levels of subjectivity and difficulty involved in determining fair value.

Level 1 – Inputs used to measure fair value are unadjusted quoted prices that are available in active markets for the identical assets or liabilities as of the reporting date. Therefore, determining fair value for Level 1 investments generally does not require significant judgment, and the estimation is not difficult.
Level 2 – Pricing is provided by third-party sources of market information obtained through investment advisors. The Company does not adjust for or apply any additional assumptions or estimates to the pricing information received from its advisors.

5.    Fair Value Measurements, continued

Level 3 – Inputs used to measure fair value are unobservable inputs that are supported by little or no market activity and reflect the use of significant management judgment. These values are generally determined using pricing models for which the assumptions utilize management’s estimates of market participant assumptions. The determination of fair value for Level 3 instruments involves the most management judgment and subjectivity.

The Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2021 and December 31, 2020 by level within the fair value hierarchy, are as follows:

(in thousands)

June 30, 2021

Significant

Quoted prices

other

Significant

in active

  observable

  unobservable

markets

inputs

inputs

    

(Level 1)

    

(Level 2)

    

(Level 3)

Liabilities:

  

  

  

Warrant liability

$

-

$

-

$

8

(in thousands)

December 31, 2020

Significant

Quoted prices

other

Significant

in active

  observable

  unobservable

markets

inputs

inputs

    

(Level 1)

    

(Level 2)

    

(Level 3)

Liabilities:

  

  

  

Derivative liability

$

-

$

-

$

387

Warrant liability

$

-

$

-

$

8

There were no transfers between Level 1, 2 or 3 during the three and six months ended June 30, 2021 or June 30, 2020.

Warrant Liability

The following table includes a summary of changes in fair value of the Company’s warrant liability measured at fair value using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2021 and 2020:

For the three months ended

For the six months ended

(in thousands)

    

June 30, 2021

    

June 30, 2020

    

June 30, 2021

    

June 30, 2020

Beginning balance

$

8

$

5

$

8

$

24

Additions

 

-

-

 

-

-

Change in fair value

 

-

(5)

 

-

(24)

Ending balance

$

8

$

-

$

8

$

-

The changes in fair value of the warrant liability are recorded in change in fair value of warrant liability in the condensed consolidated statements of operations.

The warrant liability is not significant at June 30, 2021 and there are no material changes to the significant unobservable inputs from December 31, 2020.

5.    Fair Value Measurements, continued

Derivative Liability

As of June 30, 2021, the Company no longer has a derivative liability as the Series A Preferred Stock was exchanged for common stock and warrants during the three months ended June 30, 2021. Prior to the exchange the Company had measured the fair value of the derivative by estimating the fair value of the Series A Preferred Stock as if conversion occurred at the end of the reporting period. The Company calculated the value of the conversion feature using the Fixed Conversion Price of the Series A Preferred Stock, as adjusted to 95% of the volume weighted average price of the common stock for the previous ten trading days constrained by the specified floor price of $30.00. The fair value of the derivative liability as of June 30, 2021 and December 31, 2020 was $0 and $387,000, respectively.