Fair Value Measurement of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of Financial Instruments Measured at Fair Value on Recurring Basis

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 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

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		September 30, 2020
Volatility	60	%	50	%
Stock price	$10.62 per share		$10.32 per share
Credit spread	14.97	%	21.50	%
Term	4.97 years		4.59 years
Dividend yield	—	%	—	%
Risk-free rate	0.34	%	0.26	%

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 nine months ended September 30, 2020 (in thousands):

	Balance as of December 31, 2019		Additions		Conversions		Change in fair value		Balance as of September 30, 2020
Liabilities:
Interest make-whole payment	$	—	$	4,582	$	(281)	$	(1,372)	$	2,929