Fair Value Measurements (Table)
 12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Summary of Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present information about the Company’s financial assets and liabilities measured at fair value (in thousands) on a recurring basis and indicate the level of the fair value hierarchy used to determine such fair values:

 

December 31, 2021

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds in cash and cash equivalents

 

$

135,631

 

 

$

—

 

 

$

—

 

 

$

135,631

 

 

December 31, 2020

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds in cash and cash equivalents

 

$

4,015

 

 

$

—

 

 

$

—

 

 

$

4,015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

—

 

 

$

—

 

 

$

76

 

 

$

76

 
Summary of Activities of Company's Series A Preferred Stock Warrant Liability

The following table provides a roll-forward of the activity of the Company’s Series A preferred stock warrant liability, which represents a recurring measurement that is classified within Level 3 of the fair value hierarchy wherein fair value is estimated using significant unobservable inputs (in thousands):

 

Balance at December 31, 2019

 

$

68

 

Change in fair value

 

 

8

 

Balance at December 31, 2020

 

$

76

 

Warrant exercise

 

 

(76

)

Balance at December 31, 2021

 

$

—

 

 
Summary of Fair Value of The Warrants to Purchase Shares

The fair value of the warrants to purchase shares of the Company’s Series A preferred stock at an exercise price of $5.46 per share, including subsequent remeasurements, was estimated using the Black-Scholes Option Pricing Model using the following assumptions:

 

 

 

Year Ended December 31,

 

 

 

2021

 

 

2020

 

Fair value of the underlying instrument

 

$

—

 

 

$5.87 - $6.47

 

Risk-free interest rate

 

 

—

%

 

0.57% - 0.75%

 

Expected term (in years)

 

 

—

 

 

8.1 - 8.9

 

Expected volatility

 

 

—

%

 

73.8% - 79.2%

 

Expected dividend yield

 

 

—

%

 

 

0.0

%