Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.22.2
Fair Value Measurement (Tables)
6 Months Ended
Jun. 30, 2022
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:
June 30, 2022 December 31, 2021
Input
Remaining term (years) 5 5.5
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 14.4%  (1) 10.72%  (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:
June 30, 2022 December 31, 2021
Input
Remaining term (years) 6 6.5
Maturity date June 30, 2028 June 30, 2028
Coupon rate 9.5%  9.5% 
Revenue participation payments Maximum each year Maximum each year
Discount rate 17.6  % (1) 13.21  % (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
Summary of fair value financial assets measured on a recurring basis
The following table presents the financial assets and liabilities that the Company measured at fair value on a recurring basis as of June 30, 2022, classified in accordance with the fair value hierarchy (in thousands):
Fair Value Measurements Using
(Level 1) (Level 2) (Level 3) Total
Assets:
Money market funds $ 6,057  $ —  $ —  $ 6,057 
U.S. government securities 17,920  —  —  17,920 
Commercial paper —  28,289  —  28,289 
Total assets $ 23,977  $ 28,289  $ —  $ 52,266 
Liabilities
Debt derivative liabilities —  —  4,876  4,876 
Total liabilities $ —  $ —  $ 4,876  $ 4,876 
The following table presents the financial assets and liabilities that the Company measured at fair value on a recurring basis as of December 31, 2021, classified in accordance with the fair value hierarchy (in thousands):
Fair Value Measurements Using
(Level 1) (Level 2) (Level 3) Total
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 
Schedule of fair value instruments classified Level 3
The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and six months ended June 30, 2022, were as follows (in thousands):
Three Months Ended June 30, 2022
Beginning Balance, April 1, 2022 $ 5,310 
Change in fair value included in net loss (434)
Ending Balance, June 30, 2022 $ 4,876 
Six Months Ended June 30, 2022
Beginning Balance, January 1, 2022 $ 5,562 
Change in fair value included in net loss (686)
Ending Balance, June 30, 2022 $ 4,876 
The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and six months ended June 30, 2021, were as follows (in thousands):
Three Months Ended June 30, 2021
Beginning Balance, April 1, 2021 39,205 
Addition of Oberland Facility - second tranche 13,827 
Addition of debt derivative - second tranche 1,173 
Change in fair value of Oberland Facility 150 
Change in fair value of debt derivative 84 
Ending Balance, June 30, 2021 $ 54,439 
Six Months Ended June 30, 2021
Beginning Balance, January 1, 2021 $ 39,352 
Addition of Oberland Facility - second tranche 13,827 
Addition of debt derivative - second tranche 1,173 
Change in fair value of Oberland Facility (18)
Change in fair value of debt derivative 105 
Ending Balance June 30, 2021 $ 54,439