Fair Value Measurements

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements

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:

	September 30, 2021
	Level 1		Level 2		Level 3		Total
	(in thousands)
Financial Assets
Money market funds	$	94,589	$	—	$	—	$	94,589
Restricted money market funds		300		—		—		300
Total financial assets	$	94,889	$	—	$	—	$	94,889

	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 nine months ended September 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, Series A warrants and Series B warrants 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 expense (income), net in the accompanying condensed consolidated statement of operations for the nine months ended September 30, 2020.

On September 8, 2021, the Company amended certain terms of Series A warrants and Series B warrants (see Note 8). The amendments did not result in changes to the fair value of these warrants.

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 nine months ended September 30, 2020, representing changes in fair value of the securities issuance obligation since December 31, 2019, in the condensed consolidated statement of operations.