Fair Value Measurement (Tables)
|
12 Months Ended |
Dec. 31, 2022 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Schedule 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, 2022, and 2021:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| December 31, 2022 |
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
| Money market funds |
$ |
10,354 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
10,354 |
|
| U.S. government securities |
12,316 |
|
|
— |
|
|
— |
|
|
12,316 |
|
|
|
|
|
|
|
|
|
| Commercial paper |
— |
|
|
21,189 |
|
|
— |
|
|
21,189 |
|
| Total assets |
$ |
22,669 |
|
|
$ |
21,189 |
|
|
$ |
— |
|
|
$ |
43,859 |
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt derivative liabilities |
$ |
— |
|
|
$ |
— |
|
|
$ |
4,518 |
|
|
$ |
4,518 |
|
| Total liabilities |
$ |
— |
|
|
$ |
— |
|
|
$ |
4,518 |
|
|
$ |
4,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| December 31, 2021 |
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 liability |
$ |
— |
|
|
$ |
— |
|
|
$ |
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 were as follows:
|
|
|
|
|
|
|
|
|
| (in thousands) |
|
Debt Derivative Liabilities |
| Balance, December 31, 2020 |
|
$ |
2,497 |
|
| Acquired |
|
3,037 |
|
| Change in fair value included in net loss |
|
28 |
|
|
|
|
| Balance, December 31, 2021 |
|
5,562 |
|
|
|
|
| Change in fair value included in net loss |
|
(1,044) |
|
| Balance, December 31, 2022 |
|
$ |
4,518 |
|
|
| Schedule 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, 2022 |
|
December 31, 2021 |
| Input |
|
|
|
|
| Remaining term (years) |
4.5 |
|
5.5 |
|
| Maturity date |
June 30, 2027 |
|
June 30, 2027 |
|
| Coupon rate |
9.5% - 12.7% |
|
9.50% |
|
|
| Revenue participation payments |
Maximum each year |
|
Maximum each year |
|
| Discount rate |
13.90% |
|
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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2022 |
|
December 31, 2021 |
|
| Input |
|
|
|
|
| Remaining term (years) |
5.5 |
|
6.5 |
|
| Maturity date |
June 30, 2028 |
|
June 30, 2028 |
|
| Coupon rate |
9.5% - 12.7% |
|
9.50% |
|
|
| Revenue participation payments |
Maximum each year |
|
Maximum each year |
|
| Discount rate |
17.56 |
% |
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.
|