Fair Value of Financial Instruments
 3 Months Ended
Mar. 31, 2018
Disclosure Text Block  
Fair Value of Financial Instruments

3. Fair Value of Financial Instruments

The following tables present information about the Company's financial assets and liabilities measured at fair value on a recurring basis and indicate the level of the fair value hierarchy utilized to determine such fair values:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements as of

 

 

March 31, 2018 Using:

 

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets:

 

 

  

 

 

  

 

 

  

 

 

  

Cash equivalents

 

$

21,941

 

$

 —

 

$

 —

 

$

21,941

 

 

$

21,941

 

$

 —

 

$

 —

 

$

21,941

Liabilities:

 

 

  

 

 

  

 

 

  

 

 

  

Series D preferred stock warrant liability

 

$

 —

 

$

 —

 

$

1,320

 

$

1,320

Common stock warrant liability

 

 

 —

 

 

 —

 

 

4,327

 

 

4,327

 

 

$

 —

 

$

 —

 

$

5,647

 

$

5,647

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements as of

 

 

December 31, 2017 Using:

 

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets:

 

 

  

 

 

  

 

 

  

 

 

  

Cash equivalents

 

$

21,597

 

$

 —

 

$

 —

 

$

21,597

 

 

$

21,597

 

$

 —

 

$

 —

 

$

21,597

Liabilities:

 

 

  

 

 

  

 

 

  

 

 

  

Series D preferred stock warrant liability

 

$

 —

 

$

 —

 

$

992

 

$

992

Common stock warrant liability

 

 

 —

 

 

 —

 

 

1,774

 

 

1,774

 

 

$

 —

 

$

 —

 

$

2,766

 

$

2,766

 

As of March 31, 2018 and December 31, 2017, the Company's cash equivalents, which were invested in money market funds, were valued based on Level 1 inputs. During the three months ended March 31, 2018 and 2017, there were no transfers between Level 1,  Level 2 and Level 3.

The warrant liabilities in the tables above consisted of the fair values of warrants for the purchase of preferred stock and common stock and are based on significant inputs not observable in the market, which represents a Level 3 measurement within the fair value hierarchy. The Company's valuation of the liabilities for preferred stock warrants and the common stock warrant utilized the Black‑Scholes option‑pricing model, which incorporates assumptions and estimates to value the preferred stock warrants and the common stock warrant. The Company assesses these assumptions and estimates on a quarterly basis as additional information impacting the assumptions is obtained. Changes in the fair value of the preferred stock warrants and the common stock warrant are recognized in the unaudited consolidated statements of operations and comprehensive loss.

Changes in the fair values of the Company's preferred stock warrant liabilities and common stock warrant liability for the three months ended March 31, 2018 were as follows:

 

 

 

 

 

 

 

 

 

Series D

 

 

 

 

 

Preferred Stock

 

Common Stock

 

    

Warrant Liability

    

Warrant Liability

Fair value at December 31, 2017

 

$

992

 

$

1,774

Change in fair value

 

 

328

 

 

2,553

Fair value at March 31, 2018

 

$

1,320

 

$

4,327

 

Valuation Assumptions

Inputs used in the Black‑Scholes option‑pricing model to estimate the fair value of the Company’s common stock and Series D preferred stock warrant liabilities include unobservable inputs and assumptions, such as expected volatility, expected term, and the value of the underlying common or preferred stock.

The following tables summarize the Company’s valuation assumptions used in determining the fair value of the common and preferred stock warrants at March 31, 2018 and December 31, 2017:

 

 

 

 

 

 

 

 

 

March 31, 2018

 

 

 

Series D

 

 

 

 

 

Preferred Stock

 

Common Stock

 

 

 

Warrants

 

Warrants

 

Risk-free interest rate

    

2.57

%  

0.19

%

Expected term (in years)

 

5.39

 

0.09

 

Expected volatility

 

40.00

%  

28.30

%

Expected dividend yield

 

0.0

%  

0.0

%

 

 

 

 

 

 

 

 

 

December 31, 2017

 

 

 

Series D

 

 

 

 

 

Preferred Stock

 

Common Stock

 

 

 

Warrants

 

Warrants

 

Risk-free interest rate

    

2.23

%  

1.03

%

Expected term (in years)

 

5.64

 

0.58

 

Expected volatility

 

40.00

%  

29.24

%

Expected dividend yield

 

0.0

%  

0.0

%