Fair value of financial instruments (Tables)

3 Months Ended

Mar. 31, 2020

Fair value of financial instruments

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

	Fair Value as of March 31, 2020
	Level 1		Level 2		Level 3		Total
	(in thousands)
Cash and cash equivalents	$	25,357	$	2,501	$	—	$	27,858
Short-term investments		—		3,992		—		3,992
Total financial assets	$	25,357	$	6,493	$	—	$	31,850
Earnout liability	$	—	$	—	$	30	$	30
Derivative liabilities (see Note 7)		—		—		1,231		1,231
Total financial liabilities	$	—	$	—	$	1,261	$	1,261

	Fair Value as of December 31, 2019
	Level 1		Level 2		Level 3		Total
	(in thousands)
Cash and cash equivalents	$	12,338	$	4,492	$	—	$	16,830
Short-term investments		1,261		6,803		—		8,064
Total financial assets	$	13,599	$	11,295	$	—	$	24,894
Earnout liability	$	—	$	—	$	30	$	30
Derivative liabilities (see Note 7)		—		—		1,135		1,135
Total financial liabilities	$	—	$	—	$	1,165	$	1,165

Schedule of cash and cash equivalents and short-term investments

	March 31, 2020
	Amortized		Unrealized		Market
	Cost		Gain / (Loss)		Value
		(in thousands)
Bank deposits and money market funds	$	25,357	$	—	$	25,357
Financial and corporate debt securities		6,492		1		6,493
	$	31,849	$	1	$	31,850

	December 31, 2019
	Amortized		Unrealized		Market
	Cost		Gain / (Loss)		Value
	(in thousands)
Bank deposits and money market funds	$	13,599	$	—	$	13,599
Financial and corporate debt securities		11,294		1		11,295
	$	24,893	$	1	$	24,894

Schedule of changes in Level 3 liabilities measured at fair value

	Level 3
	Liabilities
	(in thousands)
Balance at December 31, 2019	$	1,165
Change in fair value		96
Balance at March 31, 2020	$	1,261

Derivative liability

Fair value of financial instruments

Methodologies and significant inputs used in determination of fair value

	Encina Derivative Liability						Deerfield Derivative Liability
Date of Valuation		3/31/2020			12/31/2019			3/31/2020			12/31/2019
Valuation Method		Discounted Cash Flow			Discounted Cash Flow			Monte Carlo			Monte Carlo
Volatility (annual)		N/A			N/A			N/A			N/A
Time period from valuation until maturity of debt (yrs.)		2.1			2.4			2.1			2.4
Cumulative probability of a change in control prepayment implied by model		23.1	%		23.9	%		22	%		23	%
Cumulative probability of other accelerated prepayments implied by model		N/A	%		N/A	%		9	%		10	%
Discount rate		6.50	%		6.0	%		32.47	%		25.34	%
Fair value of liability at valuation date (thousands)	$	62		$	66		$	1,169		$	1,069