Fair Value Measurement

12 Months Ended

Dec. 31, 2019

Fair Value Measurements

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurements are classified and disclosed in one of the following categories:

Level 1: Measured using unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities.

Level 2: Measured using quoted prices in active markets for similar assets or liabilities, quoted prices for identical or similar assets or liabilities in markets that are not active, or inputs, other than quoted prices in active markets, that are observable either directly or indirectly; and

Level 3: Measured based on prices or valuation models that require inputs that are both significant to the fair value measurement and less observable from objective sources (i.e., supported by little or no market activity).

Fair value measurements are classified based on the lowest level of input that is significant to the measurement. The Company’s assessment of the significance of a particular input to the fair value measurement requires judgment, which may affect the valuation of the assets and liabilities and their placement within the fair value hierarchy levels. The determination of the fair values stated below takes into account the market for its financial assets and liabilities, the associated credit risk and other factors as required. The Company considers active markets as those in which transactions for the assets or liabilities occur in sufficient frequency and volume to provide pricing information on an ongoing basis.

The following tables present the Company’s fair value hierarchy for those assets and liabilities measured at fair value as of December 31, 2019 and 2018 (in thousands):



	Total as of December 31, 2019		Level 1		Level 2		Level 3

Assets
Cash and cash equivalents:
Cash and money market funds	$	19,519	$	19,519	$	—	$	—

Investments:
U.S. government securities	32,175		32,175		—		—
Corporate securities	22,164		—		22,164		—
Commercial paper	14,922		—		14,922		—
Total investments	$	69,261	$	32,175	$	37,086	$	—

Liabilities
Warrant liabilities	$	150	$	—	$	—	$	150



	Total as of December 31, 2018		Level 1		Level 2		Level 3
Assets
Cash and cash equivalents:
Cash and money market funds	$	45,716	$	45,716	$	—	$	—

Investments:
U.S. government securities	38,737		38,737		—		—
Corporate securities	15,066		—		15,066		—
Agency securities	11,931		—		11,931		—
Commercial paper	1,183		1,183		—		—
Total investments	$	66,917	$	39,920	$	26,997	$	—

Liabilities
Warrant liabilities	$	860	$	—	$	—	$	860

The fair value of the Company’s warrant liabilities is based on a Black-Scholes valuation which considers the expected term of the warrants as well as the risk-free interest rate and expected volatility of the Company's stock.

The Company has determined that the warrant liabilities' fair values are Level 3 items within the fair value hierarchy. The following table presents the changes in the warrant liabilities (in thousands):




Balance at December 31, 2018	$	860
Exercise of warrants	(18		)
Change in fair value of warrants	(692		)
Balance at December 31, 2019	$	150

There were no transfers between any of the levels of the fair value hierarchy during the years ended December 31, 2019 and 2018.

- 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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