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Fair Value Measurements

6 Months Ended

Jun. 30, 2021

4.	Fair Value Measurements

The Company measures and reports its cash equivalents and restricted cash 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:

	June 30, 2021
	Level 1		Level 2		Level 3		Total
	(in thousands)
Financial Assets
Money market funds	$	88,682	$	—	$	—	$	88,682
Restricted money market funds		300		—		—		300
Total financial assets	$	88,982	$	—	$	—	$	88,982

	December 31, 2020
	Level 1		Level 2		Level 3		Total
	(in thousands)
Financial Assets
Money market funds	$	101,919	$	—	$	—	$	101,919
Restricted money market funds		300		—		—		300
Total financial assets	$	102,219	$	—	$	—	$	102,219

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 cash and cash equivalents, restricted cash, other current assets, accounts payable and accrued and other liabilities approximate their fair values due to their short duration.

There were no transfers between Levels 1, 2 or 3 during the six months ended June 30, 2021.

Prior to reclassification to equity in January 2020, 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 dates. Accordingly, the warrant liabilities and securities issuance obligation were measured at fair value on a recurring basis using unobservable inputs and were classified as Level 3 inputs. The assumptions used in calculating the estimated fair values represent 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		—	%		—	%

The Company recorded a $16.2 million non-cash expense relating to the changes in fair value of warrant liabilities in other income (expense), net in the accompanying condensed consolidated statement of operations for the six months ended June 30, 2020.

At January 31, 2020, the securities issuance obligation was settled by the issuance of common stock and a common stock warrant. The fair value of the common stock issuance obligation was remeasured based on the value of the common stock at the time of issuance. The fair value of 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 Company recognized a $1.5 million non-cash research and development expense during the six months ended June 30, 2020, representing changes in fair value of the securities issuance obligation since December 31, 2019, in the condensed consolidated statement of operations.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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