FAIR VALUE MEASUREMENT (Tables)

3 Months Ended

Mar. 31, 2020

FAIR VALUE MEASUREMENT

Schedule of assets and liabilities that are measured at fair value

	March 31, 2020
	Level 1		Level 2		Level 3		Total
Marketable securities(1)	$	1,024	$	23,187	$	—	$	24,211
CSR(2)	$	—	$	—	$	(19,636)	$	(19,636)
Derivative liability(3)	$	—	$	—	$	(1,190)	$	(1,190)

	December 31, 2019
	Level 1		Level 2		Level 3		Total
Marketable securities(1)	$	1,020	$	15,660	$	—	$	16,680

(1) The Company’s debt securities are traded in markets that are not considered to be active, but are valued based on quoted market prices, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Accordingly, these assets are categorized as Level 2.

(2) See “Note 3 - Business combination” for more information regarding the measurement of the CSR

(3) The Company’s derivative liability consists of equity awards reclassified from additional paid-in capital to derivatives due to the modification of awards as described in Note 9 - Share capital. On the Effective Date the Company reclassified $1,632 from and recognized financial income of $442 during the period. The Company used the Black Scholes valuation model to determine the fair value of the options. The derivative was classified as level 3 since the volatility input was determined based on the historical Menlo volatility combined with volatility of comparable companies.