Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.20.2
Fair Value Measurements
6 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
 
Fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. Valuation techniques used to measure fair value must maximize the use of observable inputs and minimize the use of unobservable inputs. Three levels of inputs, of which the first two are considered observable and the last unobservable, may be used to measure fair value which are the following:
 
Level 1—Quoted prices in active markets for identical assets or liabilities. The Company considers a market to be active when transactions for the asset occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
Level 2—Inputs other than Level 1 that are observable, either directly or indirectly, such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3—Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities. The valuation of Level 3 investments requires the use of significant management judgments or estimation.

The Company’s fair value hierarchies for its financial assets and liabilities, which require fair value measurement, are as follows:
  Total Level 1 Level 2 Level 3
June 30, 2020        
Liabilities        
Warrant liabilities $ 12,361    $ —    $ —    $ 12,361   
Contingent success fee liability $ —    $ —    $ —    $ —   
December 31, 2019
Liabilities
Warrant liabilities $ 4,307    $ —    $ —    $ 4,307   
Contingent success fee liability $   $ —    $ —    $  
 
The following table sets forth a summary of the changes in the fair value of the Company’s Level 3 financial liabilities for the period ended June 30, 2020, which were measured at fair value on a recurring basis:
  Warrant Liability Contingent Success
Fee Liability
Balance at December 31, 2019 $ 4,307    $  
Initial valuation of warrants in connection with June 2020 financing 2,650    —   
Loss on revaluation of warrants issued in connection with the June 2020, December 2019, May 2019, and December 2015 equity financings 6,055    —   
Gain on revaluation of contingent liability —    (6)  
Reclassification of warrant liability to equity upon exercise of warrants (651)   —   
Balance at June 30, 2020 $ 12,361    $ —   
 
Refer to Note 12. Capitalization and Equity Structure – Warrants for additional information regarding the valuation of warrants.