Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements
4. Fair Value Measurements
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 September 30, 2021 and December 31, 2020 (in thousands):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    
Fair Value Measurement as of September 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
   $ 14,116      $ —        $ —    
Marketable securities
     43,092        —          —    
Warrant liabilities
     —          —          12,194  
    
 
 
    
 
 
    
 
 
 
Total
   $ 57,208      $      $ 12,194  
    
 
 
    
 
 
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    
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  
    
 
 
    
 
 
    
 
 
 
The Company issued warrants to the purchasers of its July 27, 2016 offering (the “2016 Warrants”). The Company determined that these warrants should be classified as a liability and considered as a Level 3 financial instrument (see also Note
9
, “Capital Structure”). The 2016 Warrants were
re-measured
at each subsequent reporting period and changes in fair value was recognized in the consolidated statement of operations. The 2016 Warrants expired in accordance with their terms on July 27, 2021. The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:
 
 
 
 
 
 
    
As of
December 31,
2020
 
Expected volatility
     59.7
Remaining contractual term (in years)
     0.58  
Risk-free interest rate
     0.09
Expected dividend yield
     —   
The Company issued warrants to the purchasers of its July 25, 2017 offering (the “2017 Warrants”). The Company determined that these warrants should be classified as a liability and considered as a Level 3 financial instrument (see also Note
9
, “Capital Structure”). The 2017 Warrants are
re-measured
at each subsequent reporting period and changes in fair value are recognized in the consolidated statement of operations. The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:
 
 
 
 
 
 
 
 
 
 
    
As of
September 30,
2021
   
As of
December 31,
2020
 
Expected volatility
     64.1     100.1
Remaining contractual term (in years)
     0.83       1.58  
Risk-free interest rate
     0.09     0.12
Expected dividend yield
     —       —  
The Company issued warrants to the purchasers of its May 27, 2020 registered offering of securities (the “2020 Warrants”). The Company determined that these warrants should be classified as a liability and considered as a Level 3 financial instrument (see also Note
9
, “Capital Structure”). The 2020 Warrants are
re-measured
at each subsequent reporting period and changes in fair value are recognized in the consolidated statement of operations. The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:
 
 
 
 
 
 
 
 
 
 
    
As of
September 30,
2021
   
As of
December 31,
2020
 
Expected volatility
     80.3     111.9
Remaining contractual term (in years)
     1.67       2.42  
Risk-free interest rate
     0.28     0.15
Expected dividend yield
     —       —  
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 nine months ended September 30, 2021 and 2020 (in thousands):
Warrant liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    
Three Months Ended
September 30,
    
Nine Months Ended
September 30,
 
    
2021
    
2020
    
2021
    
2020
 
Balance at beginning of period
   $ 18,552      $ 44,350      $ 29,404      $ 6,069  
Issuance of 2020 Warrants
     —          —          —          31,392  
Decrease in fair value (1)
     (6,358      (10,689      (17,210      (3,800
    
 
 
    
 
 
    
 
 
    
 
 
 
Balance at end of perio
d
   $ 12,194      $ 33,661      $ 12,194      $ 33,661  
    
 
 
    
 
 
    
 
 
    
 
 
 
 
(1)
The change in fair values of the warrant liabilities is recorded in other income (expense) in the consolidated statement of operations.
The key inputs into the Black-Scholes option pricing model are the current
per-share
value and the expected volatility of the Company’s common stock. Significant changes in these inputs will directly increase or decrease the estimated fair value of the Company’s warrant liabilities.