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
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 September 30, 2021 and December 31, 2020 were as follows (in thousands):

 

 

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

September 30, 2021

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

80,371

 

 

$

80,371

 

 

$

 

 

$

 

Money market funds

 

 

35,049

 

 

 

35,049

 

 

 

 

 

 

 

Corporate debt securities - due in one year or less

 

 

30,164

 

 

 

 

 

 

30,164

 

 

 

 

US Treasury obligation - due in more than one year to five years

 

 

11,996

 

 

 

11,996

 

 

 

 

 

 

 

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

 

 

9,121

 

 

 

 

 

 

9,121

 

 

 

 

Total

 

$

166,701

 

 

$

127,416

 

 

$

39,285

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

5,594

 

 

$

 

 

$

 

 

$

5,594

 

Total

 

$

5,594

 

 

$

 

 

$

 

 

$

5,594

 

 

 

 

 

 

 

 

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:

 

 

September 30, 2021

 

 

 

December 31, 2020

Stock price

 

$

4.47

 

 

 

$

10.85

 

 

Risk-free interest rate

 

 

0.80

 

%

 

 

0.35

 

%

Dividend yield

 

 

 

 

 

 

 

 

Expected life (in years)

 

 

4.19

 

 

 

 

4.94

 

 

Expected volatility

 

 

85.18

 

%

 

 

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 nine months ended September 30, 2021 (in thousands):

 

 

 

 

 

Warrant liability

 

Fair value as of December 31, 2020

 

 

 

 

$

19,711

 

Change in fair value

 

 

 

 

 

(14,117

)

Fair value as of September 30, 2021

 

 

 

 

$

5,594