Fair Value Measurements

6 Months Ended

Jun. 30, 2020

Fair Value Measurements

Fair Value Measurements

15. Fair Value Measurements

During 2020, the Company had no financial instruments measured at fair value on a recurring basis.

The following table summarizes the amounts recorded on the unaudited interim condensed consolidated statement of operations for financial instruments measured at fair value on a recurring basis for the three and six months ended June 30, 2019 (in thousands):

			Quoted Prices		Significant		Significant
			in Active		Other		Other
			Markets for		Observable		Unobservable
			Identical Items		Inputs		Inputs
	Total		(Level 1)		(Level 2)		(Level 3)
Common stock warrant liability	$	(420)	$	—	$	—	$	(420)

The Company’s common stock warrant liability represents the only asset or liability classified financial instrument measured at fair value on a recurring basis in the unaudited interim condensed consolidated balance sheets.  The fair value measurement is determined by using Level 3 inputs due to the lack of active and observable markets that can be used to price identical assets.  Level 3 inputs are unobservable inputs and should be used to determine fair value only when observable inputs are not available.  Unobservable inputs should be developed based on the best information available in the circumstances, which might include internally generated data and assumptions being used to price the asset or liability.

Fair value of the common stock warrant liability is based on the Black-Scholes pricing model which is based, in part, upon unobservable inputs for which there is little or no market data, requiring the Company to develop its own assumptions.

The Company used the following assumptions to measure the fair value of its liability-classified common stock warrants:

	Six months ended
	June 30, 2019
Risk-free interest rate	2.22% - 2.51%
Volatility	49.98% - 74.93%
Expected average term	0.28 - 0.53

There was no expected dividend yield for the warrants granted.