FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2018

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

Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The following table summarizes our liabilities measured at fair value on a recurring basis by level within the fair value hierarchy (in thousands):



	December 31, 2017
	Level 1		Level 2		Level 3		Total
Liabilities:
Preferred stock warrants	$	—	$	—	$	2,285	$	2,285
Common stock warrants	—		—		7,945		7,945
Convertible promissory notes	—		—		—		—
Total liabilities	$	—	$	—	$	10,230	$	10,230



	March 31, 2018
	Level 1		Level 2		Level 3		Total
Liabilities:
Preferred stock warrants	$	—	$	—	$	—	$	—
Common stock warrants	—		—		17,666		17,666
Convertible promissory notes	—		—		—		—
Total liabilities	$	—	$	—	$	17,666	$	17,666

Schedule of reconciliation of the redeemable convertible preferred stock warrant liability

Our redeemable convertible preferred stock warrants, common stock warrants issued in connection with the Series G Stock financing and our convertible promissory notes are measured and recorded at fair value on a recurring basis using Level 3 inputs. The table below provides a roll forward of the changes in fair value of Level 3 financial instruments (in thousands):



	Preferred Stock Warrants		Common Stock Warrants		Convertible Promissory Notes
Balance at December 31, 2016	$	2,197	$	—	$	72,332
Accrued interest on convertible promissory notes	—		—		1,246
Changes in fair value	327		—		2,606
Balance at March 31, 2017	$	2,524	$	—	$	76,184



	Preferred Stock Warrants			Common Stock Warrants		Convertible Promissory Notes
Balance at December 31, 2017	$	2,285		$	7,945	$	—
Changes in fair value	(549		)	9,721		—
Conversion of preferred stock warrants to common stock warrants	(1,736		)	—		—
Balance at March 31, 2018	$	—		$	17,666	$	—

Fair value inputs

The following table summarizes key assumptions used in the PWERM for estimating the fair value of our redeemable convertible preferred stock warrant liability and convertible promissory notes:



	March 31, 2017
Cost of debt applicable to convertible promissory notes	10%
Cost of equity applicable to convertible promissory notes	22%
Weighted-average cost of capital applicable to preferred stock warrants	23%
Discount for lack of marketability	7% to 11%
Volatility	53%
Risk-free interest rate	0.7% to 1.2%

We determined the fair value of these common warrants on the date of IPO using the Black-Scholes option pricing model, which is affected by the fair value of our common stock as well as the following significant inputs:



	Performance-based warrants (vested upon IPO)
Weighted-average grant date fair value	$3.91
Significant inputs:
Value of common stock	$13.00
Expected term	5.3 years
Volatility	50%
Risk-free interest rate	2.0%
Dividend yield	—%

Summary of our preferred stock warrants

A summary of our preferred stock warrants is as follows (in thousands, except per share amounts):



Preferred Series	Grant date	Expiration date	Exercise price		December 31, 2017	March 31, 2018
Series B-R	2/26/2010	2/25/2020	$	2.36	59	—
Series D-R	9/21/2012	9/20/2022	$	23.64	38	—
Series D-R	9/21/2012	9/20/2022	$	23.64	13	—
Total					110	—

- Definition

Tabular disclosure of warrants or rights issued. Warrants and rights outstanding are derivative securities that give the holder the right to purchase securities (usually equity) from the issuer at a specific price within a certain time frame. Warrants are often included in a new debt issue to entice investors by a higher return potential. The main difference between warrants and call options is that warrants are issued and guaranteed by the company, whereas options are exchange instruments and are not issued by the company. Also, the lifetime of a warrant is often measured in years, while the lifetime of a typical option is measured in months. Disclose the title of issue of securities called for by warrants and rights outstanding, the aggregate amount of securities called for by warrants and rights outstanding, the date from which the warrants or rights are exercisable, and the price at which the warrant or right is exercisable.

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