| Fair Value Measurement |
Fair Value Measurement The following tables present the Company's fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2023, and December 31, 2022:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2023 |
| (in thousands) |
(Level 1) |
|
(Level 2) |
|
(Level 3) |
|
Total |
| Assets: |
|
|
|
|
|
|
|
| Money market funds |
$ |
1,507 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,507 |
|
| U.S. government securities |
13,806 |
|
|
— |
|
|
— |
|
|
13,806 |
|
| Commercial paper |
— |
|
|
16,354 |
|
|
— |
|
|
16,354 |
|
| Total assets |
$ |
15,313 |
|
|
$ |
16,354 |
|
|
$ |
— |
|
|
$ |
31,667 |
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt derivative liabilities |
$ |
— |
|
|
$ |
— |
|
|
$ |
4,703 |
|
|
$ |
4,703 |
|
| Total liabilities |
$ |
— |
|
|
$ |
— |
|
|
$ |
4,703 |
|
|
$ |
4,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2022 |
| (in thousands) |
(Level 1) |
|
(Level 2) |
|
(Level 3) |
|
Total |
| 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 |
|
The changes in Level 3 liabilities measured at fair value on a recurring basis are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
| Three Months Ended March 31, 2023 |
|
|
|
| Balance, December 31, 2022 |
|
|
$ |
4,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in fair value included in net loss |
|
|
185 |
|
| Balance, March 31, 2023 |
|
|
$ |
4,703 |
|
|
|
|
|
|
|
| Three Months Ended March 31, 2022 |
|
| Balance, December 31, 2021 |
$ |
5,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in fair value included in net loss |
(252) |
|
| Balance, March 31, 2022 |
$ |
5,310 |
|
The fair value of cash, restricted cash, accounts receivable, accounts payable and accrued expenses approximates the carrying values because of the short-term nature of these instruments. The carrying value and fair value of the Credit Facility were $45,931 and $50,898 at March 31, 2023, and $45,712 and $50,293 at December 31, 2022, respectively. See Note 8 - Long-Term Debt, Net of Debt Discount and Financing Fees.
The debt derivative liabilities are measured using a ‘with and without’ valuation model to compare the fair value of each tranche of the Credit Facility including the identified embedded derivative features and the fair value of a plain vanilla note with the same terms. The fair value of the Credit Facility including the identified embedded derivative features was determined using a probability-weighted expected return model based on four potential settlement scenarios for the financing agreement as disclosed in the table below. The estimated settlement value of each scenario, which would include any required make-whole
payment, (see Note 8 - Long-Term Debt, Net of Debt Discount and Financing Fees), is then discounted to present value using a discount rate that is derived based on the initial terms of the financing agreement at issuance and corroborated utilizing a synthetic credit rating analysis.
The significant inputs that are included in the valuation of the debt derivative liability - first tranche include:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2023 |
|
December 31, 2022 |
|
| Input |
|
|
|
|
| Remaining term (years) |
4.25 years |
|
4.5 years |
|
| Maturity date |
June 30, 2027 |
|
June 30, 2027 |
|
| Coupon rate |
9.5% - 12.7% |
|
9.5% -12.7% |
|
| Revenue participation payments |
Maximum each year |
|
Maximum each year |
|
| Discount rate |
13.4% |
|
(1) |
13.9% |
|
(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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2023 |
|
December 31, 2022 |
|
| Input |
|
|
|
|
| Remaining term (years) |
5.25 years |
|
5.5 years |
|
| Maturity date |
June 30, 2028 |
|
June 30, 2028 |
|
| Coupon rate |
9.5% - 12.7% |
|
9.5% -12.7% |
|
| Revenue participation payments |
Maximum each year |
|
Maximum each year |
|
| Discount rate |
17.0 |
% |
(1) |
17.56 |
% |
(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
|