Fair Value of Financial Instruments

12 Months Ended

Dec. 31, 2020

Note 5. Fair Value of Financial Instruments

The following tables summarize the Company’s financial instruments measured at fair value on a recurring basis (in thousands):

			Fair Value Measurements At Reporting Date Using
	Total		Quoted Prices in Active Markets For Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
As of December 31, 2020
Assets:
Commercial paper	$	27,136	$	—	$	27,136	$	—
Corporate debt securities		26,506		—		26,506		—
U.S. government and agency securities		18,141		—		18,141		—
Total assets measured at fair value	$	71,783	$	—	$	71,783	$	—
As of December 31, 2019
Assets:
Commercial paper	$	9,694	$	—	$	9,694	$	—
Corporate debt securities		24,781		—		24,781		—
Asset backed securities		5,508		—		5,508		—
Total assets measured at fair value	$	39,983	$	—	$	39,983	$	—
Liabilities:
Preferred stock warrant liability	$	184	$	—	$	—	$	184

Upon completion of the Company’s IPO in September 2020, the Series C convertible preferred stock warrant was automatically converted into a warrant to purchase 23,122 shares of common stock. The Company adjusted the carrying value of the Series C convertible preferred stock warrant to reflect its estimated fair value on the IPO date and ceased recognizing any fair value adjustments subsequent to its conversion to a common stock warrant.

The assumptions used in the Black-Scholes option pricing model to determine the fair value of the warrant liability were as follows:

	September 15, 2020 (Conversion Date)			December 31, 2019
Fair value of underlying preferred stock	$	13.00		$	9.79
Exercise price	$	10.812		$	10.812
Risk-free interest rate		0.7	%		1.9	%
Expected volatility		93.3	%		80.0	%
Expected term (in years)		9.0			9.7
Expected dividend yield		—			—

The following table provides a reconciliation of the warrant liability measured at fair value using Level 3 significant unobservable inputs (in thousands):

	Warrant Liability
Balance at December 31, 2019	$	184
Change in fair value of warrant liability		75
Conversion to common stock warrant upon completion of IPO		(259	)
Balance at December 31, 2020	$	—

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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