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Fair Value Measurements | 3 Months Ended
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Mar. 31, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measurements | FAIR VALUE MEASUREMENTS The Company records its financial assets and liabilities at fair value. The carrying amounts of certain financial instruments of the Company, including cash and cash equivalents, prepaid expenses and other current assets, accounts payable and accrued liabilities, approximate fair value due to their relatively short maturities. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (an exit price) in an orderly transaction between market participants at the reporting date. The accounting guidance establishes a three-tiered hierarchy, which prioritizes the inputs used in the valuation methodologies in measuring fair value as follows: •Level 1: Inputs that include quoted prices in active markets for identical assets and liabilities. •Level 2: Inputs other than Level 1 that are observable, either directly or indirectly, such as quoted prices for similar assets or liabilities, quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities. •Level 3: Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities. The following table sets forth the Company’s financial assets and liabilities, measured at fair value on a recurring basis, as of March 31, 2021 and December 31, 2020 (in thousands):
| March 31, 2021
| Fair Value Measured Using |  |
| (Level 1) |  | (Level 2) |  | (Level 3) |  | Total Balance
Assets |  |  |  |  |  |  |
Money market funds | $ | 280,099 |  |  | $ | — |  |  | $ | — |  |  | $ | 280,099 |
Liabilities |  |  |  |  |  |  |
Common stock warrant liability | $ | — |  |  | $ | — |  |  | $ | 420 |  |  | $ | 420 |
| December 31, 2020
| Fair Value Measured Using |  |
| (Level 1) |  | (Level 2) |  | (Level 3) |  | Total Balance
Assets |  |  |  |  |  |  |
Money market funds | $ | 85,797 |  |  | $ | — |  |  | $ | — |  |  | $ | 85,797 |
Liabilities |  |  |  |  |  |  |
Common stock warrant liability | $ | — |  |  | $ | — |  |  | $ | 447 |  |  | $ | 447 |
The following table presents the issuances, exercises, changes in fair value and reclassifications of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis (in thousands):
| (Level 3)
| Common Stock Warrant Liability
Balance as of December 31, 2020 | $ | 447 |
Exercise of warrants | — |
Change in estimated fair value | (27) |
Balance as of March 31, 2021 | $ | 420 |
As of March 31, 2021, the Company had one investment in convertible preferred shares carried at cost. See Note 7, “Goodwill and Intangible Assets”. In the event the Company had to calculate the fair value of this investment, it would be based on Level 3 inputs. This investment is not considered material to the Company's condensed consolidated financial statements. In determining fair value, the Company uses various valuation approaches within the fair value measurement framework. The valuation methodologies used for the Company’s instruments measured at fair value and their classification in the valuation hierarchy are summarized below: •Money market funds – Investments in money market funds are classified within Level 1. Money market funds are valued at the closing price reported by the fund sponsor from an actively traded exchange. At March 31, 2021 and December 31, 2020, money market funds were included as cash and cash equivalents in the condensed consolidated balance sheets. •Marketable securities—Investments in marketable securities are classified within Level 2. The securities are valued using third-party pricing sources. The pricing services utilize industry standard valuation models, including both income and market-based approaches, for which all significant inputs are observable, either directly or indirectly. •Common stock warrant liability – The Company utilizes a binomial-lattice pricing model (the “Monte Carlo Simulation Model”) that involves a market condition simulation to estimate the fair value of the warrants. The application of the Monte Carlo Simulation Model requires the use of a number of complex assumptions, including the Company’s stock price, expected life of the warrants, stock price volatility determined from the Company’s historical stock prices and stock prices of peer companies in the diagnostics industry, and risk-free rates based on the implied yield currently available in the U.S. Treasury zero-coupon issues with a remaining term equal to the expected life of the warrants. Increases (decreases) in the assumptions discussed above result in a directionally similar impact to the fair value of the common stock warrant liability. Common Stock Warrant Liability Valuation Assumptions:
| March 31, 2021 |  | December 31, 2020
Private Placement Common Stock Warrant Liability |  |  |
Stock Price | $ | 68.09 |  |  | $ | 72.45 |
Exercise Price | $ | 1.12 |  |  | $ | 1.12 |
Remaining term (in years) | 2.04 |  | 2.28
Volatility | 72.00 | % |  | 73.00 | %
Risk-free interest rate | 0.17 | % |  | 0.14 | %

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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