Fair value of financial instruments (Tables)

9 Months Ended

Sep. 30, 2019

Fair value of financial instruments

Schedule of hierarchy for financial instruments measured at fair value on a recurring basis

	Fair Value as of September 30, 2019
	Level 1		Level 2		Level 3		Total
	(in thousands)
Cash and cash equivalents	$	14,291	$	8,993	$	—	$	23,284
Short-term investments		—		1,992		—		1,992
Total financial assets	$	14,291	$	10,985	$	—	$	25,276
Earnout liability	$	—	$	—	$	37	$	37
Derivative liability (see Note 8)		—		—		1,239		1,239
Total financial liabilities	$	—	$	—	$	1,276	$	1,276

	Fair Value as of December 31, 2018
	Level 1		Level 2		Level 3		Total
	(in thousands)
Cash and cash equivalents	$	27,419	$	19,059	$	—	$	46,478
Total financial assets	$	27,419	$	19,059	$	—	$	46,478
Earnout liability	$	—	$	—	$	37	$	37
Derivative liability (see Note 8)		—		—		2,017		2,017
Total financial liabilities	$	—	$	—	$	2,054	$	2,054

Schedule of cash and cash equivalents and short-term investments

	September 30, 2019
	Amortized		Unrealized		Market
	Cost		Gain / (Loss)		Value
		(in thousands)
Bank deposits and money market funds	$	14,291	$	—	$	14,291
Financial and corporate debt securities		10,985		—		10,985
	$	25,276	$	—	$	25,276

	December 31, 2018
	Amortized		Unrealized		Market
	Cost		Gain / (Loss)		Value
	(in thousands)
Bank deposits and money market funds	$	27,419	$	—	$	27,419
Financial and corporate debt securities		19,059		—		19,059
	$	46,478	$	—	$	46,478

Schedule of changes in Level 3 liabilities measured at fair value

	Level 3
	Liabilities
	(in thousands)
Balance at December 31, 2018	$	2,054
Change in fair value		(778)
Balance at September 30, 2019	$	1,276

Derivative liability

Fair value of financial instruments

Methodologies and significant inputs used in determination of fair value

	Derivative Liability
Date of Valuation		9/30/2019			12/31/2018
Valuation Method		Monte Carlo			Monte Carlo
Volatility (annual)		N/A			N/A
Time period from valuation until maturity of debt (yrs.)		2.6			3.4
Cumulative probability of a change in control prepayment implied by model		23	%		25	%
Cumulative probability of other accelerated prepayments implied by model		11	%		14	%
Discount rate		25.91	%		23.12	%
Fair value of liability at valuation date (thousands)	$	1,239		$	2,017