Fair Value Measurement (Tables)
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9 Months Ended |
Sep. 30, 2022 |
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| Fair Value Disclosures [Abstract] |
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| Summary of significant inputs in liability valuation |
The significant inputs that are included in the valuation of the Debt derivative liability - first tranche include:
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September 30, 2022 |
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December 31, 2021 |
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| Input |
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| Remaining term (years) |
4.75 years |
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5.5 years |
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| Maturity date |
June 30, 2027 |
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June 30, 2027 |
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| Coupon rate |
9.5% - 12.3% |
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9.5 |
% |
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| Revenue participation payments |
Maximum each year |
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Maximum each year |
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| Discount rate |
14.7% |
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(1) |
10.72% |
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(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, 2022 |
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December 31, 2021 |
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| Input |
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| Remaining term (years) |
5.75 years |
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6.5 |
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| Maturity date |
June 30, 2028 |
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June 30, 2028 |
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| Coupon rate |
9.5% - 12.3% |
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9.5% |
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| Revenue participation payments |
Maximum each year |
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Maximum each year |
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| Discount rate |
18.3 |
% |
(1) |
13.21 |
% |
(1) |
| Probability of mandatory prepayment before 2024 |
5.0% |
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(1) |
5.0% |
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(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% |
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(1) |
15.0% |
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(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% |
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(1) |
5.0% |
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(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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| 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 September 30, 2022, classified in accordance with the fair value hierarchy (in thousands):
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Fair Value Measurements Using |
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Total |
| Assets: |
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| Money market funds |
$ |
7,610 |
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$ |
— |
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$ |
— |
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$ |
7,610 |
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| U.S. government securities |
22,874 |
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— |
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— |
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22,874 |
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| Commercial paper |
— |
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15,918 |
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— |
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15,918 |
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| Total assets |
$ |
30,484 |
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$ |
15,918 |
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$ |
— |
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$ |
46,402 |
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| Liabilities |
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| Debt derivative liabilities |
— |
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— |
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4,407 |
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4,407 |
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| Total liabilities |
$ |
— |
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$ |
— |
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$ |
4,407 |
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$ |
4,407 |
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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):
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Fair Value Measurements Using |
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Total |
| Assets: |
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| Money market funds |
$ |
22,012 |
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$ |
— |
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$ |
— |
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$ |
22,012 |
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| U.S. government securities |
12,081 |
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— |
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— |
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12,081 |
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| Commercial paper |
— |
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39,249 |
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— |
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39,249 |
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| Total assets |
$ |
34,093 |
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$ |
39,249 |
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$ |
— |
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$ |
73,342 |
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| Liabilities |
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| Debt derivative liabilities |
$ |
— |
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— |
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$ |
5,562 |
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$ |
5,562 |
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| Total liabilities |
$ |
— |
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$ |
— |
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$ |
5,562 |
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$ |
5,562 |
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| 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 nine months ended September 30, 2022, were as follows (in thousands):
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| Three Months Ended September 30, 2022 |
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| Beginning Balance, July 1, 2022 |
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$ |
4,876 |
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| Change in fair value included in net loss |
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(469) |
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| Ending Balance, September 30, 2022 |
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$ |
4,407 |
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| Nine Months Ended September 30, 2022 |
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| Beginning Balance, January 1, 2022 |
$ |
5,562 |
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| Change in fair value included in net loss |
(1,155) |
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| Ending Balance, September 30, 2022 |
$ |
4,407 |
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The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and nine months ended September 30, 2021, were as follows (in thousands):
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| Three Months Ended 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 derivative |
46 |
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| Ending Balance, September 30, 2021 |
$ |
53,659 |
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| Nine Months Ended 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 derivative |
152 |
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| Ending Balance September 30, 2021 |
$ |
53,659 |
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