| 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 and liabilities measured at fair value on a recurring basis as of March 31, 2021:
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Total |
| March 31, 2021 |
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| Assets: |
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| Money market funds |
$ |
27,243 |
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$ |
— |
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$ |
— |
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$ |
27,243 |
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| U.S. government securities |
12,093 |
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— |
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— |
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12,093 |
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| Commercial paper |
— |
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38,969 |
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— |
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|
38,969 |
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| Total assets |
$ |
39,336 |
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$ |
38,969 |
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$ |
— |
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|
$ |
78,305 |
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| Liabilities |
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| Oberland facility |
$ |
— |
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— |
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$ |
36,686 |
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$ |
36,686 |
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| Debt derivative liability |
— |
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— |
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2,519 |
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|
2,519 |
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| Total liabilities |
$ |
— |
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$ |
— |
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$ |
39,205 |
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$ |
39,205 |
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(Level 1) |
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(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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| Money market funds |
$ |
23,044 |
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$ |
— |
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$ |
— |
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$ |
23,044 |
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| U.S. government securities |
12,123 |
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— |
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— |
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12,123 |
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| Corporate bonds |
— |
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6,408 |
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— |
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|
6,408 |
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| Commercial paper |
— |
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36,668 |
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— |
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36,668 |
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| Total assets |
$ |
35,167 |
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|
$ |
43,076 |
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|
$ |
— |
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$ |
78,243 |
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| Liabilities |
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| Oberland facility |
$ |
— |
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— |
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$ |
36,855 |
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$ |
36,855 |
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| Debt derivative liability |
— |
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— |
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2,497 |
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|
2,497 |
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| Total liabilities |
$ |
— |
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$ |
— |
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$ |
39,352 |
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$ |
39,352 |
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| Schedule of valuation of the debt derivative liability |
The significant inputs that are included in the valuation of the Debt Derivative Liability include:
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March 31, 2021 |
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December 31, 2020 |
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| Input |
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| Remaining term (years) |
6.25 |
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6.50 |
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| Maturity date |
June 30, 2027 |
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June 30, 2027 |
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| Coupon rate |
9.50 |
% |
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9.50 |
% |
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| Revenue participation payments |
Maximum each year |
|
Maximum each year |
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| Discount rate |
8.87 |
% |
(1) |
8.70 |
% |
(1) |
| Probability of mandatory prepayment before 2024 |
5.0 |
% |
(1) |
5.0 |
% |
(1) |
| Estimated timing of mandatory prepayment event before 2024 |
December 31, 2023 |
(1) |
December 31, 2023 |
(1) |
| Probability of mandatory prepayment 2024 or after |
15.0 |
% |
(1) |
15.0 |
% |
(1) |
| Estimated timing of mandatory prepayment event 2024 or after |
March 31, 2026 |
(1) |
March 31, 2026 |
(1) |
| Probability of optional prepayment event |
5.0 |
% |
(1) |
5.0 |
% |
(1) |
| Estimated timing of optional prepayment event |
December 31, 2025 |
(1) |
December 31, 2025 |
(1) |
(1)Represents a significant unobservable input
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| Schedule of the fair value of instruments classified as Level 3 measurements |
The following represents the rollforward of the fair value of instruments classified as Level 3 measurements for the three months ended March 31, 2021:
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| Quarter Ending March 31, 2021 |
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| Beginning Balance, January 1, 2021 |
$ |
39,352 |
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| Change in fair value of Oberland Facility |
(169) |
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| Change in fair value of debt derivative |
22 |
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| Ending Balance, March 31, 2021 |
$ |
39,205 |
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