FAIR VALUE MEASUREMENTS AND INVESTMENT SECURITIES (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

Summary of Assets Measured at Fair Value on a Recurring Basis

The following table presents 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:

	Fair Value at June 30, 2020						Fair Value at December 31, 2019
(in thousands)	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Cash equivalents:
Money market funds and treasury bills	$	55,253	$	—	$	—	$	77,170	$	—	$	—
Total cash equivalents	$	55,253	$	—	$	—	$	77,170	$	—	$	—

Schedule of Derivative Liabilities at Fair Value

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

	June 30, 2020		December 31, 2019
Risk-free interest rate	0.41	%	1.83	%
Volatility of underlying stock price	90.00	%	78.67	%
Expected term (years)	6.14		6.64

The fair value of the private placement option has been estimated with the following weighted-average assumptions:

	June 30, 2020
Risk-free interest rate	0.59	%
Volatility of underlying stock price	90.00	%
Expected term (years)	7.00

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

	Fair Value at June 30, 2020						Fair Value at December 31, 2019
(in thousands)	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Warrant derivative liability	$	—	$	—	$	28,183	$	—	$	—	$	52,184
Private placement option liability	—		—		33,970		—		—		12,094
Total fair value	$	—	$	—	$	62,153	$	—	$	—	$	64,278

The following table reflects the fair value roll forward reconciliation of the warrant derivative and private placement option liabilities for the period ended June 30, 2020:

(in thousands)	Warrant Derivative Liability		Private Placement Option Liability		Total
Balance, December 31, 2019	$	52,184	$	12,094	$	64,278
Change in fair value	(24,001)		21,876		(2,125)
Balance, June 30, 2020	$	28,183	$	33,970	$	62,153