Quarterly report pursuant to Section 13 or 15(d)

Fair Value Considerations (Tables)

v3.20.2
Fair Value Considerations (Tables)
9 Months Ended
Sep. 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

September 30, 2020

Assets:

Money market funds

$

39,112

$

$

$

39,112

U.S. government securities

4,520

4,520

Corporate bonds

6,441

6,441

Commercial paper

28,165

28,165

Asset-backed securities

Total assets

$

43,632

$

34,606

$

$

78,238

Liabilities

Debt derivative liability

$

$

$

2,450

$

2,450

Common stock derivative option liability

183

183

Total liabilities

$

$

$

2,633

$

2,633

(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

Quarter Ending September 30, 2020

Beginning Balance, July 1, 2020

$

2,562

Change in fair value of option derivative

11

Change in fair value of debt derivative

60

Ending Balance, September 30, 2020

$

2,633

Year Ending December 31, 2020

Beginning Balance

$

Option to purchase shares

183

Fair Value of Derivative Feature

2,450

Ending Balance, September 30, 2020

$

2,633

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

September 30, 2020

Input

Remaining term (years)

6.75 years

Maturity date

June 30, 2027

Coupon rate

9.50%

Revenue participation payments

Maximum each year

Discount rate

10.03%

(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)

September 30, 2020

Input

Option term

6.75 years

Company stock price

$

11.63

Risk free rate

0.45%

Equity volatility

60%

(1)

Simulation trials

100,000