FAIR VALUE MEASUREMENTS AND INVESTMENT SECURITIES (Tables)

9 Months Ended

Sep. 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 September 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	$	48,259	$	—	$	—	$	77,170	$	—	$	—
Total cash equivalents	$	48,259	$	—	$	—	$	77,170	$	—	$	—

Schedule of Derivative Liabilities at Fair Value

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

	September 30, 2020	December 31, 2019
Risk-free interest rate	0.33%	1.83%
Volatility of underlying stock price	90.00%	78.67%
Expected term (years)	5.89	6.64

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

	September 30, 2020
Risk-free interest rate	0.55%
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 September 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	$	—	$	—	$	23,683	$	—	$	—	$	52,184
Private placement option liability	—		—		26,339		—		—		12,094
Total fair value	$	—	$	—	$	50,022	$	—	$	—	$	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 September 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	(28,501)		14,245		(14,256)
Balance, September 30, 2020	$	23,683	$	26,339	$	50,022