Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Table Text Blocks

Schedule of assets and liabilities measured at fair value on a recurring basis

The following tables present the assets and liabilities the Company has measured at fair value on a recurring basis (in thousands):

			Fair Value Measurements at Reporting Date Using
			Quoted Prices in		Significant Other		Significant
			Active Markets for		Observable		Unobservable
			Identical Assets		Inputs		Inputs
	June 30, 2020		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash and cash equivalents:
Money market funds	$	238,230	$	238,230	$	—	$	—
Restricted cash:
Money market funds		2,221		2,221		—		—
Convertible Note Hedges		16,131		—		—		16,131
Total assets measured at fair value	$	256,582	$	240,451	$	—	$	16,131
Liabilities:
Note Hedge Warrants	$	12,958	$	—	$	—	$	12,958
Total liabilities measured at fair value	$	12,958	$	—	$	—	$	12,958

			Fair Value Measurements at Reporting Date Using
			Quoted Prices in		Significant Other		Significant
			Active Markets for		Observable		Unobservable
			Identical Assets		Inputs		Inputs
	December 31, 2019		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash and cash equivalents:
Money market funds	$	139,190	$	139,190	$	—	$	—
Repurchase agreements		37,800		37,800		—		—
Restricted cash:
Money market funds		2,221		2,221		—		—
Convertible Note Hedges		31,366		—		—		31,366
Total assets measured at fair value	$	210,577	$	179,211	$	—	$	31,366
Liabilities:
Note Hedge Warrants	$	24,260	$	—	$	—	$	24,260
Total liabilities measured at fair value	$	24,260	$	—	$	—	$	24,260

Schedule of assumptions used in fair market valuations

The following inputs were used in the fair market valuation of the Convertible Note Hedges and Note Hedge Warrants as of June 30, 2020 and December 31, 2019:

	Six Months Ended						Year Ended
	June 30,						December 31,
	2020						2019
	Convertible			Note Hedge			Convertible			Note Hedge
	Note Hedges			Warrants			Note Hedges			Warrants
Risk-free interest rate (1)		0.2	%		0.2	%		1.6	%		1.6	%
Expected term		2.0			2.5			2.5			3.0
Stock price (2)	$	10.32		$	10.32		$	13.31		$	13.31
Strike price (3)	$	14.51		$	18.82		$	14.51		$	18.82
Common stock volatility (4)		54.4	%		52.7	%		49.1	%		46.5	%
Dividend yield (5)		—	%		—	%		—	%		—	%

(1) Based on U.S. Treasury yield curve, with terms commensurate with the expected terms of the Convertible Note Hedges and the Note Hedge Warrants.

(2) The closing price of the Company’s Class A Common Stock on the last trading days of the quarters ended June 30, 2020 and December 31, 2019, respectively.

(3) As per the respective agreements for the Convertible Note Hedges and Note Hedge Warrants.

(4) Expected volatility based on historical volatility of the Company’s Class A Common Stock.

(5) The Company has not paid and does not anticipate paying cash dividends on its shares of common stock in the foreseeable future; therefore, the expected dividend yield is assumed to be zero.

Schedule of the change in Level 3 convertible note derivatives

The following table reflects the change in the Company’s Level 3 Convertible Note Hedges and Note Hedge Warrants from December 31, 2019 through June 30, 2020 (in thousands):

	Convertible		Note Hedge
	Note Hedges		Warrants
Balance at December 31, 2019	$	31,366	$	(24,260)
Change in fair value, recorded as a component of (loss) gain on derivatives		(15,235)		11,302
Balance at June 30, 2020	$	16,131	$	(12,958)