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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Schedule of Financial Instruments Measured At Fair Value On Recurring Basis
The Company's financial instruments measured at fair value in the accompanying Consolidated Balance Sheets on a recurring basis consist of the following:
As ofAs of
 December 31, 2020December 31, 2019
(In thousands)Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets:
Money market funds (1)
$11,928 $— $— $11,928 $24,327 $— $— $24,327 
Certificates of deposit (2)
— — — — — 1,009 — 1,009 
Total$11,928 $— $— $11,928 $24,327 $1,009 $— $25,336 
Liabilities:
Financing derivatives: no hedging designation (3)
Interest rate reset$— $— $11,300 $11,300 $— $— $18,800 $18,800 
Make-whole change of control— — — — — — 1,600 1,600 
Qualifying change of control— — — — — — 1,187 1,187 
Warrants issued: (4)
Series A— — 2,831 2,831 — — 7,508 7,508 
Series B-2— — — — — — 217 217 
Secured term note: (5)
Interest make-whole derivative— — 871 871 — — — — 
Total$— $— $15,002 $15,002 $— $— $29,312 $29,312 
(1) Level 1 cash equivalents are invested in money market funds that are intended to maintain a stable net asset value of $1.00 per share by investing in liquid, high quality U.S. Dollar-denominated money market instruments with maturities less than three months.
(2) The Company's certificates of deposit are recorded at their face value which approximates their fair value.
(3) The fair values of the financing derivatives are derived from techniques which utilize inputs, certain of which are significant and unobservable, that result in classification as Level 3 fair value measurements. The fair value of the make-whole change of control derivative was estimated as negligible as of December 31, 2020. The qualifying change of control derivative expired on August 5, 2020.
(4) The fair values of the warrant liabilities are derived from techniques which utilize inputs, certain of which are significant and unobservable, that result in classification as Level 3 fair value measurements. The fair value of the Series B-1 warrants was estimated as negligible as of December 31, 2019. The Series B-1 warrants expired without exercise on January 29, 2020. The Series B-2 Warrants expired without exercise on August 3, 2020.
(5) The fair values of embedded derivatives within the secured term note are derived from techniques which utilize inputs, certain of which are significant and unobservable, that result in classification as Level 3 fair value measurements. The interest make-whole derivative is classified within other current liabilities in the Consolidated Financial Statements as of December 31, 2020.
Schedule of Changes in Level 3 Fair Valued Instruments
The following tables present the changes in the Company's recurring Level 3 fair value measurements for the financing derivatives, warrants liability and interest make-whole derivative for the years ended December 31, 2020 and 2019:
(In thousands)Financing Derivative LiabilitiesWarrants LiabilityInterest Make-whole Derivative Liability
Balance as of December 31, 2018$26,100 $— $— 
Issuances587 10,798 — 
Settlement— (5,484)— 
Total (gain) loss included in other income (expense), net (1)
(5,100)2,411 — 
Balance as of December 31, 201921,587 7,725 — 
Total (gain) loss included in other income (expense), net (2)
(10,287)(4,894)871 
Balance as of December 31, 2020$11,300 $2,831 $871 
(1) Represents $4.5 million gain due to change in fair value of interest rate reset derivative liability and $0.6 million gain due to change in fair value of the make-whole change of control redemption derivative liability. Represents $3.6 million loss due to change in fair value of the Series A Warrants, and gains of $0.3 million, $0.2 million and $0.7 million due to change in fair value of the Series B-1 Warrants, Series B-2 Warrants and Series C Warrants, respectively. All gains and losses were recorded in other income (expense), net in the Consolidated Statements of Operations and Comprehensive Loss.
(2) Represents $7.5 million gain due to change in fair value of interest rate reset derivative liability, $1.6 million gain due to change in fair value of the make-whole change of control redemption derivative liability, and $1.2 million gain due to change in fair value of the qualifying change of control redemption derivative liability. Represents $4.7 million gain due to change in fair value of the Series A Warrants and $0.2 million gain due to change in fair value of the Series B-2 Warrants. All gains were recorded in other income (expense), net in the Consolidated Statements of Operations and Comprehensive Loss.
Schedule of Valuation Techniques And Unobservable Inputs For Level 3 Liabilities
The following table displays valuation techniques and the significant inputs, certain of which are unobservable, for the Company's Level 3 liabilities measured at fair value as of December 31, 2020 and 2019:
Fair value measurements
Significant Valuation TechniqueSignificant Valuation InputsDecember 31, 2020December 31, 2019
Interest rate reset derivative liabilityDiscounted cash flowDiscount rate20.0%25.0%
Stock price$2.49$4.94
Volatility96.9%74.1%
Term
1.04 years
2.04 years
Risk-free rate0.1%1.6%
Make-whole change of control redemption derivative liability (1)
Option pricing modelChange of control probability—%
5.0% - 10.0%
Term—
2.04 years
Risk-free rate—%1.6%
Qualifying change of control redemption derivative liability (2)
Discounted cash flowChange of control probability—%5.0%
Term—
0.60 years
Discount rate—%25.0%
Warrants liability (3)
Option pricing modelStock price$2.49$4.94
Volatility80.0%65.0%
Term
3.49 years
0.59 - 4.49 years
Change of control probability—%
5.0% - 10.0%
Risk-free rate0.2%
1.6% - 1.7%
Cost of debt—%
14.7% - 16.0%
Interest make-whole derivative liabilityDiscounted cash flowRecapitalization probability90.0%—%
Term
0.25 years
—
Risk-free rate0.10%—%
(1) The probability of a make-whole change of control, and the resulting fair value determination, was estimated to be negligible as of December 31, 2020.
(2) The qualifying change of control redemption derivative liability expired on August 5, 2020.
(3) Warrants liability includes only Series A as of December 31, 2020. Warrants liability includes Series A and Series B-2 as of December 31, 2019.