FAIR VALUE OF MEASUREMENTS AND INVESTMENT SECURITIES (Tables)

12 Months Ended

Dec. 31, 2019

Summary of Assets Measured at Fair Value on a Recurring Basis

The following table provides the warrant derivative and private placement option reported at fair value and measured on a recurring basis at December 31, 2019:



	Fair Value at December 31, 2019
(in thousands)	Level 1		Level 2		Level 3
Warrant derivative liability	$	—	$	—	$	52,184
Private placement option liability	—		—		12,094
Total fair value	$	—	$	—	$	64,278

The following tables present the Company’s investment securities (including, if applicable, those classified on the Company’s balance sheet as cash equivalents) that are measured at fair value on a recurring basis as of December 31, 2019 and 2018:



	Fair Value at December 31, 2019						Fair Value at December 31, 2018
(in thousands)	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Cash Equivalents:
Money market funds and treasury bills	$	77,170	$	—	$	—	$	24,953	$	—	$	—
Total Cash Equivalents	$	77,170	$	—	$	—	$	24,953	$	—	$	—

Investment Securities:
U.S. government agency-backed securities	$	—	$	—	$	—	$	—	$	7,383	$	—
Corporate debt securities	—		—		—		—		41,921		—
Total Investment Securities	$	—	$	—	$	—	$	—	$	49,304	$	—

The table below provides the Level 3 liability adjustments for any issuances of warrants and private placement options and changes in fair value that occurred during the year ended December 31, 2019:



(in thousands)	Warrant Derivative Liability		Private Placement Option Liability		Total
Balance, December 31, 2018	$	—	$	—	$	—
Issuance of warrants	32,992		—		32,992
Private placement option liability	—		12,094		12,094
Change in fair value	19,192		—		19,192
Balance, December 31, 2019	$	52,184	$	12,094	$	64,278

Schedule of Derivative Liabilities at Fair Value

The Company did not have any investment securities classified as available-for-sale as of December 31, 2019. Investment securities classified as available-for-sale as of December 31, 2018 are presented in the below table:



(in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Aggregate Estimated Fair Value
December 31, 2018
U.S. government agency-backed securities	$	7,382	$	2	$	(1	)	$	7,383
Corporate debt securities	41,968		—		(47		)	41,921
Total	$	49,350	$	2	$	(48	)	$	49,304

The fair value of the warrants has been estimated with the following weighted-average assumptions:



	December 31, 2019		September 30, 2019		August 21, 2019
Risk-free interest rate	1.83	%	1.62	%	1.54	%
Volatility	78.67	%	70.89	%	69.72	%
Expected life (years)	6.64		6.89		7.00

The following table reflects the fair value roll forward reconciliation of the warrant derivative liability for the year ended December 31, 2019:



(in thousands)	Warrant Derivative Liability
Fair value of Series 1 warrants at the date of issuance, August 21, 2019	$	32,992
Change in fair value	19,192
Fair value at December 31, 2019	$	52,184