Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.20.4
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2020
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 December 31, 2020 and 2019 were as follows (in thousands):

 

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

December 31, 2020

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and money market funds

 

$

173,984

 

 

$

173,984

 

 

$

 

 

$

 

 

 

$

173,984

 

 

$

173,984

 

 

$

 

 

$

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

19,711

 

 

$

 

 

$

 

 

$

19,711

 

 

 

$

19,711

 

 

$

 

 

$

 

 

$

19,711

 

 

 

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

December 31, 2019

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and money market funds

 

$

29,441

 

 

$

29,441

 

 

$

 

 

$

 

Overnight repurchase agreements

 

 

12,000

 

 

 

 

 

 

12,000

 

 

 

 

Marketable securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. treasury obligations

 

 

49,975

 

 

 

49,975

 

 

 

 

 

 

 

 

 

$

91,416

 

 

$

79,416

 

 

$

12,000

 

 

$

 

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:

 

 

 

Issued on December 8, 2020

 

December 31, 2020

Risk-free interest rate

 

 

0.39

 

%

 

 

0.35

 

%

Dividend yield

 

 

 

 

 

 

 

 

Expected life (in years)

 

 

5.00

 

 

 

 

4.94

 

 

Expected volatility

 

 

82.08

 

%

 

 

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 year ended December 31, 2020 (in thousands):

 

 

 

 

 

 

Warrant liability

 

Fair value as of December 31, 2019

 

 

 

 

$

 

Warrants issued in connection with private placement

 

 

 

 

 

19,336

 

Change in fair value

 

 

 

 

 

375

 

Fair value as of December 31, 2020

 

 

 

 

$

19,711