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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Hierarchy for Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table represents the fair value hierarchy for our financial assets (cash equivalents and marketable securities) and liabilities measured at fair value on a recurring basis (in thousands):

	Level 1				Level 2				Level 3				Total
March 31, 2021
Assets
Money market funds	$	71,374			$	-			$	-			$	71,374
U.S. treasuries		-				28,465				-				28,465
U.S. government agency securities		-				47,472				-				47,472
Corporate debt securities		-				77,682				-				77,682
Total assets	$	71,374			$	153,619			$	-			$	224,993
Liabilities
Warrant liability	$	-			$	-			$	31,737			$	31,737
	Level 1				Level 2				Level 3				Total
December 31, 2020
Assets
Money market funds	$	23,128			$	-			$	-			$	23,128
U.S. treasuries		-				32,579				-				32,579
U.S. government agency securities		-				40,321				-				40,321
Corporate debt securities		-				61,063				-				61,063
Total assets	$	23,128			$	133,963			$	-			$	157,091
Liabilities
Warrant liability	$	-			$	-			$	10,736			$	10,736

Summary of Assumptions to Estimate the Fair Value of Warrant Liability

As of March 31, 2021, we used the following key assumptions to estimate the fair value of warrant liability:

Number of shares			5,090,942
Expected term		0.9 year
Expected volatility			1.2
Risk-free interest rate			0.1	%
Dividend yield			0	%

Summary of Changes in Fair Value Warrant liability

The following table provides a summary of changes in the fair value warrant liability for the three months ended March 31, 2021 (in thousands):

Balance at December 31, 2020		$	10,736
Increase in fair value of warrants exercised			3,172
Warrants exercised			(4,551	)
Increase in the estimated fair value of warrant liability upon revaluation			22,380
Balance at March 31, 2021		$	31,737

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

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-Publisher FASB
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-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
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-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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