Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2021
Information about Company's Financial Assets and Liabilities Measured at Fair Value on Recurring Basis
The following fair value hierarchy table presents information about the Company’s financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2021 and December 31, 2020 (in thousands):
 
    
Fair Value Measurement as of March 31, 2021
 
    
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(Level 3)
 
Cash equivalents
   $ 62,516      $ —        $ —    
Current marketable securities
     20,904        —          —    
Long-term marketable securities
     1,030        —          —    
Warrant liabilities
     —          —          23,837  
    
 
 
    
 
 
    
 
 
 
Total
   $ 84,450      $ —        $ 23,837  
    
 
 
    
 
 
    
 
 
 
 
    
Fair Value Measurement as of December 31, 2020
 
    
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(Level 3)
 
Cash equivalents
   $ 12,921      $ —        $ —    
Marketable securities
     27,005                    
Warrant liabilities
     —          —          29,404  
    
 
 
    
 
 
    
 
 
 
Total
   $ 39,926      $ —        $ 29,404  
    
 
 
    
 
 
    
 
 
 
Reconciliation of Company's Financial Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)
Warrant liabilities
The following tables present a reconciliation of the Company’s financial liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2021 and 2020 (in thousands):
 
    
Three Months Ended
March 31,
 
    
2021
    
2020
 
Balance at beginning of period
   $ 29,404      $ 6,069  
Decrease in fair value (1)
     (5,567      (416
    
 
 
    
 
 
 
Balance at end of period
   $ 23,837      $ 5,653  
    
 
 
    
 
 
 
 
(1)
The change in fair values of the warrant liabilities is recorded in other income in the consolidated statement of operations.
2016 Warrants [Member]  
Assumption Used to Determine Fair Value of Warrant Liability The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:
    
As of
March 31,
2021
   
As of
December 31,
2020
 
Expected volatility
     75.5     59.7
Remaining contractual term (in years)
     0.33       0.58  
Risk-free interest rate
     0.03     0.09
Expected dividend yield
    
 
 
   
 
 
2017 Warrants [Member]  
Assumption Used to Determine Fair Value of Warrant Liability The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:
    
As of
March 31,
2021
   
As of
December 31,
2020
 
Expected volatility
     103.1     100.1
Remaining contractual term (in years)
     1.33       1.58  
Risk-free interest rate
     0.12     0.12
Expected dividend yield
    
 
 
   
 
2020 Warrants [Member]  
Assumption Used to Determine Fair Value of Warrant Liability The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:
    
As of
March 31,
2021
   
As of
December 31,
2020
 
Expected volatility
     99.8     111.9
Remaining contractual term (in years)
     2.17       2.42  
Risk-free interest rate
     0.16     0.15
Expected dividend yield