Fair Value Considerations (Tables)
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9 Months Ended |
Sep. 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 September 30, 2021 and December 31, 2020:
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| (In thousands) |
(Level 1) |
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(Level 2) |
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(Level 3) |
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Total |
| September 30, 2021 |
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| Assets: |
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| Money market funds |
$ |
33,334 |
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$ |
— |
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$ |
— |
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$ |
33,334 |
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| U.S. government securities |
8,021 |
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— |
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— |
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8,021 |
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| Commercial paper |
— |
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36,968 |
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— |
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36,968 |
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| Total assets |
$ |
41,355 |
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$ |
36,968 |
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$ |
— |
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$ |
78,323 |
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| Liabilities |
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| Oberland facility |
$ |
— |
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$ |
— |
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$ |
49,837 |
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$ |
49,837 |
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| Debt derivative liabilities |
— |
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— |
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3,822 |
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3,822 |
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| Total liabilities |
$ |
— |
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$ |
— |
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$ |
53,659 |
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$ |
53,659 |
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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 |
| 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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September 30, 2021 |
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December 31, 2020 |
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| Input |
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| Remaining term (years) |
5.75 |
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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 |
8.78 |
% |
(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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September 30, 2021 |
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| Input |
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| Remaining term (years) |
6.75 |
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| Maturity date |
June 30, 2028 |
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| Coupon rate |
9.5% |
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| Revenue participation payments |
Maximum each year |
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| Discount rate |
11.3 |
% |
(1) |
| Probability of mandatory prepayment before 2024 |
5.0% |
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(1) |
| Estimated timing of mandatory prepayment event before 2024 |
December 31, 2023 |
(1) |
| Probability of mandatory prepayment 2024 or after |
15.0% |
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(1) |
| Estimated timing of mandatory prepayment event 2024 or after |
March 31, 2026 |
(1) |
| Probability of optional prepayment event |
5.0% |
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(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 nine months ended September 30, 2021 (in thousands):
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| Quarter Ending September 30, 2021 |
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| Beginning Balance, July 1, 2021 |
$ |
54,439 |
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| Change in fair value of Oberland Facility |
(826) |
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| Change in fair value of debt derivatives |
46 |
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| Ending Balance, September 30, 2021 |
$ |
53,659 |
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| Nine Months Ending September 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 |
(845) |
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| Change in fair value of debt derivatives |
152 |
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| Ending Balance, September 30, 2021 |
$ |
53,659 |
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