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Fair Value Measurement of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

Schedule of Financial Instruments Measured at Fair Value on Recurring Basis

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, 2020 (in thousands):

			Balance as of December 31, 2020						Level 1
Assets:
Cash equivalents
Money market funds			$	126					$	126
Total cash equivalents			$	126					$	126

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

			Balance as of December 31, 2020						Level 3
Liabilities:
2025 Notes
Interest make-whole payment			$	4,898					$	4,898
Total embedded derivatives			$	4,898					$	4,898

Schedule of Fair Value Valuation Model and Assumptions

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, 2020						December 31, 2020
Volatility			60		%				50		%
Stock price			$10.62 per share						$15.47 per share
Credit spread			14.97		%				19.25		%
Term			4.97 years						4.34 years
Dividend yield			—		%				—		%
Risk-free rate			0.34		%				0.30		%

Summary of Changes in Fair Value of Level 3 Liabilities

The following table sets forth a summary of changes in the fair value of Level 3 liabilities for the twelve months ended December 31, 2020 (in thousands):

			Balance as of December 31, 2019						Additions						Conversions						Change in fair value						Balance as of December 31, 2020
Liabilities:
Interest make-whole payment			$	—					$	4,582					$	(281)					$	597					$	4,898

X

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References

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-Topic 820
-SubTopic 10
-Section 50
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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.

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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.

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