Fair Value Measurement (Tables)
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9 Months Ended |
Sep. 30, 2023 |
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| Fair Value Disclosures [Abstract] |
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| Schedule of Fair Value Financial Assets Measured on a Recurring Basis |
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 September 30, 2023, and December 31, 2022:
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September 30, 2023 |
| (in thousands) |
(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 |
$ |
24,752 |
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$ |
— |
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$ |
— |
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$ |
24,752 |
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| U.S. government securities |
1,494 |
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— |
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— |
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1,494 |
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| Total assets |
$ |
26,246 |
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$ |
— |
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$ |
— |
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$ |
26,246 |
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| Liabilities: |
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| Debt derivative liabilities |
$ |
— |
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$ |
— |
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$ |
3,869 |
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$ |
3,869 |
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| Total liabilities |
$ |
— |
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$ |
— |
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$ |
3,869 |
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$ |
3,869 |
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December 31, 2022 |
| (in thousands) |
(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 |
$ |
10,354 |
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$ |
— |
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$ |
— |
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$ |
10,354 |
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| U.S. government securities |
12,316 |
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— |
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— |
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12,316 |
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| Commercial paper |
— |
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21,189 |
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— |
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21,189 |
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| Total assets |
$ |
22,669 |
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$ |
21,189 |
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$ |
— |
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$ |
43,859 |
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| Liabilities: |
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| Debt derivative liabilities |
$ |
— |
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$ |
— |
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$ |
4,518 |
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$ |
4,518 |
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| Total liabilities |
$ |
— |
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$ |
— |
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$ |
4,518 |
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$ |
4,518 |
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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, 2023, were as follows (in thousands):
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| Three Months Ended September 30, 2023 |
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| Balance, July 1, 2023 |
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$ |
4,271 |
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| Change in fair value included in net loss |
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(402) |
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| Balance, September 30, 2023 |
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$ |
3,869 |
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| Nine Months Ended September 30, 2023 |
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| Beginning Balance, January 1, 2023 |
$ |
4,518 |
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| Change in fair value included in net loss |
(649) |
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| Ending Balance, September 30, 2023 |
$ |
3,869 |
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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, 2022, were as follows (in thousands):
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| Three Months Ended September 30, 2022 |
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| Balance July 1, 2022 |
$ |
4,876 |
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| Change in fair value included in net loss |
(469) |
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| Balance, September 30, 2022 |
$ |
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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| Schedule 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, 2023 |
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December 31, 2022 |
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| Input |
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| Remaining term (years) |
3.75 years |
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4.5 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% - 13.3% |
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9.5% - 12.7% |
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| Revenue participation payments |
Maximum each year |
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Maximum each year |
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| Discount rate |
13.9% |
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(1) |
13.9% |
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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, 2023 |
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December 31, 2022 |
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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, 2028 |
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June 30, 2028 |
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| Coupon rate |
9.5% - 13.3% |
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9.5% - 12.7% |
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| Revenue participation payments |
Maximum each year |
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Maximum each year |
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| Discount rate |
17.18 |
% |
(1) |
17.56 |
% |
(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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