Fair Value Considerations (Tables)
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6 Months Ended |
Jun. 30, 2021 |
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| Fair Value Disclosures [Abstract] |
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| 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 June 30, 2021:
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Total |
| June 30, 2021 |
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| Assets: |
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| Money market funds |
$ |
31,496 |
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$ |
— |
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$ |
— |
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$ |
31,496 |
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| U.S. government securities |
12,059 |
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— |
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— |
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12,059 |
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| Commercial paper |
— |
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34,780 |
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— |
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34,780 |
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| Total assets |
$ |
43,555 |
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$ |
34,780 |
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$ |
— |
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$ |
78,335 |
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| Liabilities |
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| Oberland facility |
$ |
— |
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— |
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$ |
50,663 |
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$ |
50,663 |
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| Debt derivative liabilities |
— |
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— |
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3,776 |
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3,776 |
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| Total liabilities |
$ |
— |
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$ |
— |
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$ |
54,439 |
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$ |
54,439 |
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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 liabilities |
— |
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— |
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2,497 |
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2,497 |
| 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 - first tranche include:
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June 30, 2021 |
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December 31, 2020 |
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| Input |
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| Remaining term (years) |
6 |
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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 |
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Maximum each year |
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| Discount rate |
8.65 |
% |
(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
The significant inputs that are included in the valuation of the Debt Derivative Liability - second tranche include:
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June 30, 2021 |
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| Input |
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| Remaining term (years) |
7 |
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| Maturity date |
June 30, 2028 |
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| Coupon rate |
9.50 |
% |
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| Revenue participation payments |
Maximum each year |
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| Discount rate |
11.21 |
% |
(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
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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 and six months ended June 30, 2021:
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| Quarter Ending June 30, 2021 |
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| Beginning Balance, April 1, 2021 |
$ |
39,205 |
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| Addition of Oberland Facility - second tranche |
13,827 |
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| Addition of debt derivative - second tranche |
1,173 |
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| Change in fair value of Oberland Facility |
150 |
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| Change in fair value of debt derivative |
84 |
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| Ending Balance, June 30, 2021 |
$ |
54,439 |
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| Six Months Ending June 30, 2021 |
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| Beginning Balance, January 1, 2021 |
$ |
39,352 |
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| Addition of Oberland Facility - second tranche |
13,827 |
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| Addition of debt derivative - second tranche |
1,173 |
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| Change in fair value of Oberland Facility |
(18) |
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| Change in fair value of debt derivative |
105 |
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| Ending Balance, June 30, 2021 |
$ |
54,439 |
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