Annual report pursuant to Section 13 and 15(d)

Fair Value Measurement (Tables)

v3.22.0.1
Fair Value Measurement (Tables)
 12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Summary of significant inputs in liability valuation
The significant inputs that are included in the valuation of the Debt Derivative Liability - first tranche include:
December 31, 2021 December 31, 2020
Input
Remaining term (years) 5.5 6.5
Maturity date June 30, 2027 June 30, 2027
Coupon rate 9.50%  9.50% 
Revenue participation payments Maximum each year Maximum each year
Discount rate 10.72%  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:
December 31, 2021
Input
Remaining term (years) 6.5
Maturity date June 30, 2028
Coupon rate 9.50% 
Revenue participation payments Maximum each year
Discount rate 13.21  % (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.
Summary of fair value financial assets measured on a recurring basis
The following tables represent the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of December 31, 2021 and 2020:
(in thousands) Level 1 Level 2 Level 3 Total
December 31, 2021
Assets:
Money market funds $ 22,012  $ —  $ —  $ 22,012 
U.S. government securities 12,081  —  —  12,081 
Commercial paper —  39,249  —  39,249 
Total assets $ 34,093  $ 39,249  $ —  $ 73,342 
Liabilities:
Debt derivative liabilities $ —  $ —  $ 5,562  $ 5,562 
Total liabilities $ —  $ —  $ 5,562  $ 5,562 
December 31, 2020 Level 1 Level 2 Level 3 Total
Assets:
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 
Liabilities:
Debt derivative liability $ —  $ —  $ 2,497  $ 2,497 
Total liabilities $ —  $ —  $ 2,497  $ 2,497 
Schedule of fair value instruments classified Level 3
The changes in Level 3 liabilities measured at fair value on a recurring basis were as follows:

(in thousands)  Common Stock Derivative Option Liability Debt Derivative Liabilities
Balance, December 31, 2019 $ —  $ — 
Acquired 175 2,387 
Change in fair value included in net loss 7 110 
Settlement (182) — 
Balance, December 31, 2020 — 2,497 
Acquired — 3,037 
Change in fair value included in net loss — 28 
Balance, December 31, 2021 $ — $ 5,562