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Fair Value Measurement of Assets and Liabilities
 9 Months Ended
Sep. 30, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurement of Assets and Liabilities Fair Value Measurement of Assets and Liabilities
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (exit price). A fair value measurement reflects the assumptions market participants would use in pricing an asset or liability based on the best available information. These assumptions include the risk inherent in a particular valuation technique (such as a pricing model) and the risks inherent in the inputs to the model.
The Company classifies inputs to measure fair value using a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The categorization of financial instruments within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The hierarchy is prioritized into three levels (with Level 3 being the lowest) and is defined as follows:
Level 1:    Pricing inputs are based on quoted market prices for identical assets or liabilities in active markets (e.g., NYSE or NASDAQ). Active markets are those in which transactions for the asset or liability occur in sufficient frequency and volume to provide pricing information on an ongoing basis.
Level 2:    Pricing inputs include benchmark yields, trade data, reported trades and broker dealer quotes, two-sided markets and industry and economic events, yield to maturity, Municipal Securities Rule Making Board reported trades and vendor trading platform data. Level 2 includes those financial instruments that are valued using various pricing services and broker pricing information including Electronic Communication Networks and broker feeds.
Level 3:    Pricing inputs include significant inputs that are generally less observable from objective sources, including the Company’s own assumptions. The fair market value for level 3 securities may be highly sensitive to the use of unobservable inputs and subjective assumptions. Generally, changes in significant unobservable inputs may result in significantly lower or higher fair value measurements.
The Company reviews the fair value hierarchy classification on a quarterly basis. Changes in the observability of valuation inputs may result in a reclassification of levels for certain securities within the fair value hierarchy. There have been no transfers of assets or liabilities between fair value measurement classifications during the nine months ended September 30, 2020.
The following tables summarize the Company’s financial instruments measured at fair value on a recurring basis in accordance with the authoritative guidance for fair value measurements as of September 30, 2020 (in thousands):
Balance as of
September 30, 2020		Level 1
Assets:
Cash equivalents
Money market funds$126 $126 
Total cash equivalents$126 $126 
Balance as of
September 30, 2020		Level 3
Liabilities:
2025 Notes
Interest make-whole payment$2,929 $2,929 
Total embedded derivatives$2,929 $2,929 

The fair value of the interest make-whole payment derivative liability was determined using a Monte Carlo model with the following key assumptions:
May 12, 2020September 30, 2020
Volatility60 %50 %
Stock price$10.62 per share$10.32 per share
Credit spread14.97 %21.50 %
Term4.97 years4.59 years
Dividend yield— %— %
Risk-free rate0.34 %0.26 %

The following table sets forth a summary of changes in the fair value of Level 3 liabilities for the nine months ended September 30, 2020 (in thousands):
Balance as of
December 31, 2019		AdditionsConversionsChange in fair valueBalance as of
September 30, 2020
Liabilities:
Interest make-whole payment$— $4,582 $(281)$(1,372)$2,929 

The following table summarizes the Company’s financial instruments measured at fair value on a recurring basis in accordance with the authoritative guidance for fair value measurements as of December 31, 2019 (in thousands):
Balance as of
December 31, 2019		Level 1
Assets:
Cash equivalents
Money market funds$126 $126 
Total cash equivalents$126 $126 
As of December 31, 2019 the Company had no Level 3 financial instruments.
Other Financial Instruments
The Company’s financial assets and liabilities are carried at fair value or at amounts that, because of their short-term nature, approximate current fair value, with the exception of the 2025 Notes.

On May 12, 2020, the Company issued $180.4 million in aggregate principal amount of 2025 Notes, and restructured its outstanding debt as described further in Note 4, Debt. The Company carries its 2025 Notes at amortized cost adjusted for changes in fair value of the embedded derivative. It is not practicable to determine the fair value of the 2025 Notes due to the lack of information available to calculate the fair value of such notes.

The Company evaluated the 2025 Notes under ASC 815 and identified an embedded derivative that required bifurcation. The embedded derivative is an interest make-whole payment that was valued at $4.6 million on May 12, 2020.

Changes in the fair value of the interest make-whole payment are included in the Company’s condensed consolidated statement of operations for the current quarter within other income (expense), net. During the quarter ended September 30, 2020, certain holders of the 2025 Notes converted an aggregate of approximately $13.5 million in principal amount of the 2025 Notes into shares of the Company’s common stock in accordance with the terms of such notes and a portion of the embedded derivative was settled in shares of the Company’s common stock resulting in $0.3 million of the derivative liability being extinguished upon conversion. As of September 30, 2020, the embedded derivative had a fair value of $2.9 million and a $1.4 million gain on the change in fair value was recorded to other income (expense), net, on the consolidated statement of operations.