Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of Financial Instruments Measured at Fair Value

The Company's financial instruments measured at fair value in the accompanying Condensed Consolidated Balance Sheets on a recurring and non-recurring basis consist of the following:



	As of								As of
	March 31, 2020								December 31, 2019
(In thousands)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Recurring fair value measurements
Assets:
Money market funds ⁽¹⁾	$	15,906	$	—	$	—	$	15,906	$	24,327	$	—	$	—	$	24,327
Certificates of deposits ⁽²⁾	—		—		—		—		—		1,009		—		1,009
Total assets	$	15,906	$	—	$	—	$	15,906	$	24,327	$	1,009	$	—	$	25,336

Liabilities:
Financing derivatives: no hedging designation ⁽³⁾
Interest rate reset	$	—	$	—	$	16,900	$	16,900	$	—	$	—	$	18,800	$	18,800
Make-whole change of control	—		—		1,600		1,600		—		—		1,600		1,600
Qualifying change of control	—		—		700		700		—		—		1,187		1,187
Warrants issued: ⁽⁴⁾
Series A	—		—		3,074		3,074		—		—		7,508		7,508
Series B-2 ⁽⁵⁾	—		—		—		—		—		—		217		217
Total liabilities	$	—	$	—	$	22,274	$	22,274	$	—	$	—	$	29,312	$	29,312

Non-recurring fair value measurements ⁽⁶⁾
Operating ROU assets	$	—	$	—	$	2,033	$	2,033	$	—	$	—	$	—	$	—
Leasehold improvements and other	—		—		468		468		—		—		—		—
Total assets	$	—	$	—	$	2,501	$	2,501	$	—	$	—	$	—	$	—

⁽¹⁾ Level 1 cash equivalents are invested in money market funds that are intended to maintain a stable net asset value of $1.00 per share by investing in liquid, high quality U.S. dollar-denominated money market instruments with maturities less than three months.

⁽²⁾ The Company's certificates of deposit are recorded at their face value which approximates their fair value.

⁽³⁾ The fair values of the financing derivatives are derived from techniques which utilize inputs, certain of which are significant and unobservable, that result in classification as Level 3 fair value measurements.

⁽⁴⁾ The fair values of the warrants are derived from techniques which utilize inputs, certain of which are significant and unobservable, that result in classification as Level 3 fair value measurements. The Series B-1 Warrants expired without exercise in January 2020.

⁽⁵⁾The fair value of the Series B-2 Warrants was estimated as negligible as of March 31, 2020.

Schedule of Changes in Level 3 Fair Valued Instruments

The following tables present the changes in the Company's recurring Level 3 fair valued financing derivative liabilities for the three months ended March 31, 2020 and 2019, respectively:



(In thousands)	Financing Derivative Liabilities
Balance as of December 31, 2019	$	21,587
Total gains included in other income, net ⁽¹⁾	(2,387		)
Balance as of March 31, 2020	$	19,200

⁽¹⁾ Represents $1.9 million gain due to change in fair value of interest rate reset derivative liability and $0.5 million gain due to change in fair value of qualifying change of control redemption derivative liability. All gains were recorded in other income, net in the Condensed Consolidated Statements of Operations and Comprehensive Loss.



(In thousands)	Financing Derivative Liabilities
Balance as of December 31, 2018	$	26,100
Total gains included in other income, net ⁽¹⁾	(4,100		)
Balance as of March 31, 2019	$	22,000

⁽¹⁾ Represents $4.8 million gain due to change in fair value of interest rate reset derivative liability, offset by $0.7 million loss due to change in fair value of the make-whole change of control redemption derivative liability. All gains and losses were recorded in other income, net in the Condensed Consolidated Statements of Operations and Comprehensive Loss.

The following table presents the changes in the Company's recurring Level 3 fair valued warrants liability for the three months ended March 31, 2020:



(In thousands)	Warrants Liability
Balance as of December 31, 2019	$	7,725
Total gains included in other income, net ⁽¹⁾	(4,651		)
Balance as of March 31, 2020	$	3,074

⁽¹⁾ Represents $4.4 million gain due to change in fair value of the Series A Warrant and $0.2 million gain due to change in fair value of the Series B-2 Warrant. All gains were recorded in other income, net in the Condensed Consolidated Statements of Operations and Comprehensive Loss.

Schedule of Valuation Techniques and Significant Unobservable Inputs For Level 3 Liabilities

The following table displays valuation techniques and the significant inputs, certain of which are unobservable, for the Company's Level 3 liabilities, which are measured at fair value on a recurring basis:



	Fair value measurements
	Significant valuation technique	Significant valuation inputs	March 31, 2020	December 31, 2019
Interest rate reset derivative liability	Discounted cash flow	Discount rate	30.0%	25.0%
		Stock price	$2.82	$4.94
		Volatility	85.6%	74.1%
		Term	1.79 years	2.04 years
		Risk-free rate	0.2%	1.6%

Make-whole change of control redemption derivative liability	Option pricing model	Change of control probability	5.0 - 10.0%	5.0 - 10.0 %
		Term	1.79 years	2.04 years
		Risk-free rate	0.2%	1.6%

Qualifying change of control redemption derivative liability	Discounted cash flow	Change of control probability	5.0%	5.0%
		Term	0.35 years	0.60 years
		Discount rate	30.0%	25.0%

Warrants liability ⁽¹⁾	Option pricing model	Stock price	$2.82	$4.94
		Volatility	72.0%	65.0%
		Term	4.24 years	0.59 - 4.49 years
		Change of control probability	5.0% - 10.0%	5.0 - 10.0%
		Risk-free rate	0.3%	1.6 - 1.7%
		Cost of debt	19.5% - 22.3%	14.7 - 16.0%

⁽¹⁾ Warrants liability includes only Series A as of March 31, 2020. Warrants liability includes Series A and Series B-2 as of December 31, 2019.