Fair Value Measurements

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Fair Value Measurements

4. Fair Value Measurements

The Company measures and reports its cash equivalents, restricted cash, warrant liabilities and securities issuance obligation at fair value. The following table sets forth the fair value of the Company’s financial assets measured on a recurring basis by level within the fair value hierarchy:

	March 31, 2020
	Level 1		Level 2		Level 3		Total
	(in thousands)
Financial Assets
Money market funds	$	132,963	$	—	$	—	$	132,963
Restricted money market funds		300		—		—		300
Total financial assets	$	133,263	$	—	$	—	$	133,263

	December 31, 2019
	Level 1		Level 2		Level 3		Total
	(in thousands)
Financial Assets
Money market funds	$	146,240	$	—	$	—	$	146,240
Restricted money market funds		300		—		—		300
Total financial assets	$	146,540	$	—	$	—	$	146,540
Financial Liabilities
Warrant liabilities	$	—	$	—	$	45,935	$	45,935
Securities issuance obligation		—		—		10,485		10,485
Total financial liabilities	$	—	$	—	$	56,420	$	56,420

Money market funds and restricted money market funds are measured at fair value on a recurring basis using quoted prices and are classified as a Level 1 input.

The Company’s warrant liabilities and securities issuance obligation contained unobservable inputs that reflected the Company’s own assumptions in which there was little, if any, market activity at the measurement date. Accordingly, the Company’s warrant liabilities were measured at fair value on a recurring basis using unobservable inputs until such time the warrants were no longer considered derivative instruments. The change in the fair value of warrant liabilities is recognized as a component of other income (expense), net in the accompanying condensed consolidated statement of operations for the three months ended March 31, 2020. The securities issuance obligation was measured at fair value on a recurring basis using unobservable inputs until the common stock and the common stock warrant were issued. The change in fair values of the securities issuance obligation is recognized as research and development expense in the accompanying condensed consolidated statement of operations for the three months ended March 31, 2020. The warrant liabilities and the securities issuance obligation were classified as Level 3 inputs.

The assumptions used in calculating the estimated fair values represented the Company’s best estimate. However, inherent uncertainties are involved. If factors or assumptions change, the estimated fair values could be materially different.

At January 22, 2020, Warrant A and Warrant B were no longer considered to be derivative instruments. The Company remeasured the fair value of the warrant liabilities at the time of reclassification to equity using the following assumptions:

	Series A Warrant			Series B Warrant
Expected term (in years)		5.0			2.1
Expected volatility		43	%		88	%
Risk-free interest rate		1.57	%		1.53	%
Expected dividend yield		—	%		—	%

At January 31, 2020, the securities issuance obligation was settled by the issuance of common stock and a common stock warrant. The Company remeasured the fair value of its common stock issuance obligation based on the value of the common stock at the time of issuance. The warrant issuance obligation was remeasured using the following assumptions:

	Warrant Issuance Obligation
Expected term (in years)		5.0
Expected volatility		43	%
Risk-free interest rate		1.57	%
Expected dividend yield		—	%

The following table provides a summary of changes in the estimated fair values of the Company’s Level 3 financial liabilities:

	Series A Warrant Liability			Series B Warrant Liability			Warrant Issuance Obligation			Common Stock Issuance Obligation			Total
	(in thousands)
Balance, December 31, 2019	$	32,616		$	13,319		$	3,036		$	7,449		$	56,420
Changes in fair value		11,597			4,643			152			1,333			17,725
Settlement of financial liabilities by securities issuance		—			—			(3,188	)		(8,782	)		(11,970	)
Reclassification to equity		(44,213	)		(17,962	)		—			—			(62,175	)
Balance, March 31, 2020	$	—		$	—		$	—		$	—		$	—

There were no transfers between Levels 1, 2 or 3 during the three months ended March 31, 2020.