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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 following tables present the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2021 and December 31, 2020 (in thousands):
| March 31, 2021
| Total |  | (Level 1) |  | (Level 2) |  | (Level 3)
Assets: |  |  |  |  |  |  |
Money market funds | $ | 58,158 |  |  | $ | 58,158 |  |  | $ | — |  |  | $ | — |
Marketable securities: |  |  |  |  |  |  |
Corporate bonds | 2,031 |  |  | — |  |  | 2,031 |  |  | — |
Commercial paper | 20,374 |  |  | — |  |  | 20,374 |  |  | — |
Total assets | $ | 80,563 |  |  | $ | 58,158 |  |  | $ | 22,405 |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |
Warrant liabilities | $ | 45,455 |  |  | $ | — |  |  | $ | — |  |  | $ | 45,455 |
Total liabilities | $ | 45,455 |  |  | $ | — |  |  | $ | — |  |  | $ | 45,455 |
| December 31, 2020
| Total |  | (Level 1) |  | (Level 2) |  | (Level 3)
Assets: |  |  |  |  |  |  |
Money market funds | $ | 80,576 |  |  | $ | 80,576 |  |  | $ | — |  |  | $ | — |
Total assets | $ | 80,576 |  |  | $ | 80,576 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |
Warrant liabilities | $ | 28,708 |  |  | $ | — |  |  | $ | — |  |  | $ | 28,708 |
Total liabilities | $ | 28,708 |  |  | $ | — |  |  | $ | — |  |  | $ | 28,708 |
There were no transfers within the fair value hierarchy during the three months ended March 31, 2021 or the year ended December 31, 2020. Cash and Cash Equivalents As of March 31, 2021 and December 31, 2020, the money market funds were classified as cash and cash equivalents on the accompanying consolidated balance sheets as they mature within 90 days from the date of purchase. As of March 31, 2021, the Company had restricted cash balances relating to a secured letter of credit in connection with its lease for the Company’s headquarters (see Note 8 included elsewhere in this Quarterly Report). The Company’s consolidated statement of cash flows includes the following as of March 31, 2021 and 2020 (in thousands):
| March 31, |
| 2021 |  | 2020 |  |  |  |  |
Cash and cash equivalents | $ | 125,407 |  |  | $ | 72,606 |  |  |  |  |  |
Short-term restricted cash | — |  |  | 279 |  |  |  |  |  |
Long-term restricted cash | 1,379 |  |  | 1,379 |  |  |  |  |  |
Total cash, cash equivalents, and restricted cash shown in the consolidated statement of cash flows | $ | 126,786 |  |  | $ | 74,264 |  |  |  |  |  |
Marketable Securities As of March 31, 2021, marketable securities classified as Level 2 within the valuation hierarchy consist of corporate bonds and commercial paper. Marketable securities represent holdings of available-for-sale marketable debt securities in accordance with the Company’s investment policy. The Company estimates the fair values of these marketable securities by taking into consideration valuations that include market pricing based on real-time trade data for the same or similar securities, and other observable inputs. The amortized cost of available-for-sale debt securities is adjusted for amortization of premiums and accretion of discounts to the earliest call date for premiums or to maturity for discounts. Loans Payable At March 31, 2021, given the recent issuance of the Term A Loan under the 2020 Term Loan, the Company believes the carrying value approximates the fair value of the loan. Common Warrants In December 2019, the Company issued common warrants in connection with a private placement of common shares. Pursuant to the terms of the common warrants, the Company could be required to settle the common warrants in cash in the event of certain acquisitions of the Company and, as a result, the common warrants are required to be measured at fair value and reported as a liability on the balance sheet. The Company recorded the fair value of the common warrants upon issuance using the Black-Scholes valuation model and is required to revalue the common warrants at each reporting date with any changes in fair value recorded in the statement of operations. The valuation of the common warrants is considered under Level 3 of the fair value hierarchy due to the need to use assumptions in the valuation that are both significant to the fair value measurement and unobservable. The significant unobservable inputs used in the fair value measurement of the warrant liabilities were the volatility rate and the estimated term of the warrants. Generally, increases (decreases) in the fair value of the underlying stock and estimated term would result in a directionally similar impact to the fair value measurement. The change in the fair value of the Level 3 warrant liability is reflected in the statement of operations for the three months ended March 31, 2021 and 2020. The estimated fair value of warrants is determined using Level 3 inputs inherent in the Black-Scholes simulation valuation. Estimated fair value of the underlying stock. The Company estimates the fair value of the common stock based on the closing stock price at the end of each reporting period. Risk-free interest rate. The risk-free interest rate is based on the U.S. Treasury at the valuation date commensurate with the expected remaining life assumption. Dividend rate. The dividend rate is based on the historical rate, which the Company anticipates will remain at zero. Expected life. The expected life of the warrants is assumed to be equivalent to their remaining contractual term which expires on December 23, 2024. Volatility. The Company estimates stock price volatility based on the Company’s historical volatility and the historical volatility of peer companies for a period of time commensurate with the expected remaining life of the warrants. A summary of the Black-Scholes pricing model assumptions used to record the fair value of the warrant liability is as follows:
| March 31,
| 2021
Risk-free interest rate | 0.35 | %
Dividend yield | — |
Expected life (in years) | 3.73
Expected volatility | 101.13 | %
Changes in Level 3 Liabilities Measured at Fair Value on a Recurring Basis The following table reflects a roll-forward of fair value for the Company’s Level 3 warrant liabilities (see Note 10), for the three months ended March 31, 2021 (in thousands):
| Warrant liabilities
Fair value as of December 31, 2020 | $ | 28,708 |
Change in fair value | 16,747 |
Fair value as of March 31, 2021 | $ | 45,455 |

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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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