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
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

Assets and liabilities measured at fair value on a recurring basis as of June 30, 2021 and December 31, 2020 were as follows (in thousands):

 

 

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

June 30, 2021

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

74,103

 

 

$

74,103

 

 

$

 

 

$

 

Money market funds

 

 

84,508

 

 

 

84,508

 

 

 

 

 

 

 

 

Corporate debt securities - cash equivalents

 

 

2,304

 

 

 

 

 

 

 

2,304

 

 

 

 

 

Corporate debt securities - due in one year or less

 

 

21,114

 

 

 

 

 

 

 

21,114

 

 

 

 

 

Corporate debt securities - due in more than one year to five years

 

 

13,264

 

 

 

 

 

 

13,264

 

 

 

 

Total

 

$

195,293

 

 

$

158,611

 

 

$

36,682

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

7,430

 

 

$

 

 

$

 

 

$

7,430

 

Total

 

$

7,430

 

 

$

 

 

$

 

 

$

7,430

 

 

 

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

December 31, 2020

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

47,579

 

 

$

47,579

 

 

$

 

 

$

 

Money market funds

 

 

126,405

 

 

 

126,405

 

 

 

 

 

 

 

Total

 

$

173,984

 

 

$

173,984

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

19,711

 

 

$

 

 

$

 

 

$

19,711

 

Total

 

$

19,711

 

 

$

 

 

$

 

 

$

19,711

 

Summary of Assumptions Used to Record Fair Value of Warrants

A summary of the Black Scholes pricing model assumptions used to record the fair value of the Warrants is as follows:

 

 

June 30, 2021

 

 

 

December 31, 2020

Risk-free interest rate

 

 

0.76

 

%

 

 

0.35

 

%

Dividend yield

 

 

 

 

 

 

 

 

Expected life (in years)

 

 

4.44

 

 

 

 

4.94

 

 

Expected volatility

 

 

82.62

 

%

 

 

82.66

 

%

Summary of Changes in Level 3 Warrant Liability Measured at Fair Value on Recurring Basis

The following table reflects the change in the Company’s Level 3 Warrant liability for the six months ended June 30, 2021 (in thousands):

 

 

 

 

 

Warrant liability

 

Fair value as of December 31, 2020

 

 

 

 

$

19,711

 

Change in fair value

 

 

 

 

 

(12,281

)

Fair value as of June 30, 2021

 

 

 

 

$

7,430