Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 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 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  
    
 
 
    
 
 
    
 
 
 
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 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.
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
December 31,
2020
 
Expected volatility
     59.7
Remaining contractual term (in years)
     0.58  
Risk-free interest rate
     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
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
     —       —  
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
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
     —       —