Fair Value Measurements

6 Months Ended

Jun. 30, 2019

Fair Value Disclosures [Abstract]

Fair Value Measurements

4. Fair Value Measurements

The following table sets forth the fair value of financial assets and liabilities that were measured at fair value on a recurring basis (in thousands):

	June 30, 2019
	Level 1		Level 2		Level 3		Total
	(unaudited)
Financial assets
Money market funds	$	35,695	$	—	$	—	$	35,695
Commercial paper		—		88,161		—		88,161
U.S. government debt and agency securities		—		273,713		—		273,713
Corporate bonds		—		22,661		—		22,661
Total financial assets	$	35,695	$	384,535	$	—	$	420,230
Financial liabilities
Convertible preferred stock warrant liability	$	—	$	—	$	2,602	$	2,602
Total financial liabilities	$	—	$	—	$	2,602	$	2,602

	December 31, 2018
	Level 1		Level 2		Level 3		Total
Financial assets
Money market funds	$	45,998	$	—	$	—	$	45,998
Commercial paper		—		16,887		—		16,887
U.S. government debt and agency securities		—		85,623		—		85,623
Corporate bonds		—		7,478		—		7,478
Total financial assets	$	45,998	$	109,988	$	—	$	155,986
Financial liabilities
Convertible preferred stock warrant liability	$	—	$	—	$	336	$	336
Total financial liabilities	$	—	$	—	$	336	$	336

Level 1 securities include highly liquid money market funds, which we measure the fair value based on quoted prices in active markets for identical assets or liabilities. Level 2 securities consist of U.S. government debt securities, U.S. government agency bonds, commercial paper and corporate bonds, and are valued based on recent trades of securities in inactive markets or based on quoted market prices of similar instruments and other significant inputs derived from or corroborated by observable market data. Of the Level 2 commercial paper and U.S. government debt and agency securities balances, $6.0 million and $4.0 million, respectively, is recorded as cash and cash equivalents. Level 3 liabilities that are measured at fair value on a recurring basis consist of a convertible preferred stock warrant liability. During the six months ended June 30, 2019, we recognized $2.3 million of expense related to the revaluation of the convertible preferred stock warrant liability in interest and other income, net.

The fair value of the convertible preferred stock warrant liability is estimated using the Black-Scholes option-pricing model. Certain inputs were utilized in the option-pricing model as follows:

	June 30, 2019			December 31, 2018
	(unaudited)
Fair value estimate	$	48.30		$	8.27
Expected term (in years)		1.81			2.31
Risk-free interest rate		1.8	%		2.5	%
Expected volatility		61.1	%		55.3	%
Expected dividend yield		—			—