XML 21 R8.htm IDEA: XBRL DOCUMENT

FAIR VALUE MEASUREMENTS AND INVESTMENT SECURITIES

6 Months Ended

Jun. 30, 2020

FAIR VALUE MEASUREMENTS AND INVESTMENT SECURITIES

Investment Securities

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	$	—	$	—

As of June 30, 2020, the $1.5 million of restricted cash, non-current, on the Company's balance sheet is held in a money market fund.

Money market funds, U.S. Treasury, U.S. government agency-backed securities, corporate debt securities and municipal bonds are valued based on various observable inputs such as benchmark yields, reported trades, broker/dealer quotes, benchmark securities and bids.

Warrant Derivative Liability and Private Placement Option Liability

The Company's financial liabilities recorded at fair value on a recurring basis include the fair values of the warrant derivative liability and the private placement option liability. As of June 30, 2020, the fair values of the warrant derivative liability and the private placement option liability are classified as current liabilities in the accompanying condensed consolidated balance sheets. These liabilities will be shown as current liabilities on the balance sheet when it is deemed more probable than not by management to be exercised within one year.

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 ending balance of the Level 3 financial instruments presented above represents management's best estimate of valuation and may not be substantiated by comparison to independent markets and, in many cases, could not be realized in immediate settlement of the instruments.

- 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.

+ References + Details