Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 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 June 30, 2021 and December 31, 2020 (in thousands):
 
                                                                            
    
Fair Value Measurement as of June 30, 2021
 
    
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(Level 3)
 
Cash equivalents
  
$
18,048
 
  
$
—  
 
  
$
—  
 
Current marketable securities
  
 
46,093
 
  
 
—  
 
  
 
—  
 
Long-term marketable securities
  
 
7,161
 
  
 
—  
 
  
 
—  
 
Warrant liabilities
  
 
—  
 
  
 
—  
 
  
 
18,552
 
    
 
 
    
 
 
    
 
 
 
Total
  
$
71,302
 
  
$
—  
 
  
$
18,552
 
    
 
 
    
 
 
    
 
 
 
 
    
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)
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 and six months ended June 30, 2021 and 2020 (in thousands):
Warrant liabilities
 
    
Three Months Ended
June 30,
    
Six Months Ended
June 30,
 
    
2021
    
2020
    
2021
    
2020
 
Balance at beginning of period
   $ 23,838      $ 5,654      $ 29,404      $ 6,070  
Issuance of 2020 Warrants
     —          31,391        —          31,391  
(Decrease) increase in fair value (1)
     (5,286      7,305        (10,852      6,889  
    
 
 
    
 
 
    
 
 
    
 
 
 
Balance at end of period
   $ 18,552      $ 44,350      $ 18,552      $ 44,350  
    
 
 
    
 
 
    
 
 
    
 
 
 
 
(1)
The change in fair values of the warrant liabilities is recorded in other income (expense) 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
June 30,
2021
   
As of
December 31,
2020
 
Expected volatility
     52.0     59.7
Remaining contractual term (in years)
     0.08       0.58  
Risk-free interest rate
     0.05     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
June 30,
2021
   
As of
December 31,
2020
 
Expected volatility
     67.7     100.1
Remaining contractual term (in years)
     1.08       1.58  
Risk-free interest rate
     0.07     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
June 30,
2021
   
As of
December 31,
2020
 
Expected volatility
     97.5     111.9
Remaining contractual term (in years)
     1.92       2.42  
Risk-free interest rate
     0.25     0.15
Expected dividend yield
     —        —