Quarterly report pursuant to Section 13 or 15(d)

Fair Value Considerations (Tables)

v3.20.2
Fair Value Considerations (Tables)
6 Months Ended
Jun. 30, 2020
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Summary of fair value financial assets measured on a recurring basis

(Level 1)

(Level 2)

(Level 3)

Total

June 30, 2020

Assets:

Money market funds

$

32,512

$

$

$

32,512

U.S. government securities

4,548

4,548

Corporate bonds

8,136

8,136

Commercial paper

9,386

9,386

Asset-backed securities

3,605

3,605

Total assets

$

37,060

$

21,127

$

$

58,187

Liabilities

Debt derivative liability

$

$

$

2,387

$

2,387

Common stock derivative option liability

176

176

Total liabilities

$

$

$

2,563

$

2,563

(Level 1)

(Level 2)

(Level 3)

Total

December 31, 2019

Assets:

Money market funds

$

26,812

$

$

$

26,812

U.S. government securities

4,544

4,544

Corporate bonds

17,754

17,754

Commercial paper

24,679

24,679

Asset-backed securities

13,808

13,808

Total assets

$

31,356

$

56,241

$

$

87,597

Schedule of the fair value of instruments classified as Level 3 measurements

Year Ending December 31, 2020

Beginning Balance

$

Option to purchase shares

176

Fair Value of Derivative Feature

2,387

Ending Balance, June 30, 2020

$

2,563

Debt derivative liability  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Schedule of valuation of the debt derivative liability

June 30, 2020

Input

Remaining term (years)

7.0 years

Maturity date

June 30, 2027

Coupon rate

9.50%

Revenue participation payments

Maximum each year

Discount rate

10.83%

(1)

Probability of mandatory prepayment before 2024

5.0%

(1)

Estimated timing of mandatory prepayment event before 2024

December 31, 2023

(1)

Probability of mandatory prepayment 2024 or after

15.0%

(1)

Estimated timing of mandatory prepayment event 2024 or after

March 31, 2026

(1)

Probability of optional prepayment event

5.0%

(1)

Estimated timing of optional prepayment event

December 31, 2025

(1)

June 30, 2020

Input

Option term

7.0 years

Company stock price

$

9.24

Risk free rate

0.49%

Equity volatility

60%

(1)

Simulation trials

100,000