| Summary of fair value financial assets measured on a recurring basis |
The following table represents the Company’s fair value hierarchy for its financial assets measured at fair value on a recurring basis as of December 31, 2020:
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|
(Level 1) |
|
(Level 2) |
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(Level 3) |
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Total |
| December 31, 2020 |
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| Assets: |
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|
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| Money market funds |
$ |
23,044 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
23,044 |
|
| U.S. government securities |
12,123 |
|
|
— |
|
|
— |
|
|
12,123 |
|
| Corporate bonds |
— |
|
|
6,408 |
|
|
— |
|
|
6,408 |
|
| Commercial paper |
— |
|
|
36,668 |
|
|
— |
|
|
36,668 |
|
| Total assets |
$ |
35,167 |
|
|
$ |
43,076 |
|
|
$ |
— |
|
|
$ |
78,243 |
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| Liabilities: |
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|
|
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| Oberland facility |
$ |
— |
|
|
$ |
— |
|
|
$ |
36,855 |
|
|
$ |
36,855 |
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| Debt derivative liability |
— |
|
|
— |
|
|
2,497 |
|
|
2,497 |
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| Total liabilities |
$ |
— |
|
|
$ |
— |
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|
$ |
39,352 |
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|
$ |
39,352 |
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|
(Level 1) |
|
(Level 2) |
|
(Level 3) |
|
Total |
| December 31, 2019 |
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|
|
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| Assets: |
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|
|
|
|
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| Money market funds |
$ |
26,812 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
26,812 |
|
| U.S. government securities |
4,544 |
|
|
— |
|
|
— |
|
|
4,544 |
|
| Corporate bonds |
— |
|
|
17,754 |
|
|
— |
|
|
17,754 |
|
| Commercial paper |
— |
|
|
24,679 |
|
|
— |
|
|
24,679 |
|
| Asset-backed securities |
— |
|
|
13,808 |
|
|
— |
|
|
13,808 |
|
| Total assets |
$ |
31,356 |
|
|
$ |
56,241 |
|
|
$ |
— |
|
|
$ |
87,597 |
|
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|
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| Summary of significant inputs in liability valuation |
The significant inputs that are included in the valuation of the debt derivative liability include:
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|
December 31, 2020 |
| Input |
|
|
| Remaining term (years) |
6.5 |
|
| Maturity date |
June 30, 2027 |
|
| Coupon rate |
9.50% |
|
| Revenue participation payments |
Maximum each year |
|
| Discount rate |
8.70 |
% |
1 |
| Probability of mandatory prepayment before 2024 |
5.0% |
1 |
| Estimated timing of mandatory prepayment event before 2024 |
December 31, 2023 |
1 |
| Probability of mandatory prepayment 2024 or after |
15.0% |
1 |
| Estimated timing of mandatory prepayment event 2024 or after |
March 31, 2026 |
1 |
| Probability of optional prepayment event |
5.0% |
1 |
| Estimated timing of optional prepayment event |
December 31, 2025 |
1 |
1 Represents a significant unobservable input
|
| Schedule of fair value instruments classified Level 3 |
The following represents the rollforward of the fair value of instruments classified as Level 3 measurements for the year ended December 31, 2020:
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| Year ended December 31, 2020 |
|
| Beginning Balance |
$ |
— |
|
| Fair Value of Oberland Facility |
36,855 |
|
| Fair Value of Derivative Feature |
2,387 |
|
| Fair Value of Oberland Option |
176 |
|
| Gains (losses) included in earnings |
117 |
|
| Settlement of Oberland Option |
(182) |
|
| Ending Balance, December 31, 2020 |
$ |
39,352 |
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