Annual report pursuant to Section 13 and 15(d)

Fair Value Measurement (Tables)

v3.24.0.1
Fair Value Measurement (Tables)
12 Months Ended
Dec. 31, 2023
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, 2023, and 2022:
(in thousands) Level 1 Level 2 Level 3 Total
December 31, 2023
Assets:
Money market funds $ 24,977  $ —  $ —  $ 24,977 
Total assets $ 24,977  $ —  $ —  $ 24,977 
Liabilities:
Debt derivative liabilities $ —  $ —  $ 2,987  $ 2,987 
Total liabilities $ —  $ —  $ 2,987  $ 2,987 
December 31, 2022 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 liability $ —  $ —  $ 4,518  $ 4,518 
Total liabilities $ —  $ —  $ 4,518  $ 4,518 
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, 2021 $ 5,562 
Change in fair value included in net loss (1,044)
Balance, December 31, 2022 4,518 
Change in fair value included in net loss (1,531)
Balance, December 31, 2023 $ 2,987 
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, 2023 December 31, 2022
Input
Remaining term (years) 3.5 years 4.5 years
Maturity date June 30, 2027 June 30, 2027
Coupon rate
9.5% - 13.2%
9.5% - 12.7%
Revenue participation payments Maximum each year Maximum each year
Discount rate 12.06%  1 13.90  % 1
Probability of mandatory prepayment before 2024 N/A 2 5.0%  1
Estimated timing of mandatory prepayment event before 2024 N/A 2 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
Probability of note held-to-maturity 3
80  % 1 75  % 1
1 Represents a significant unobservable input.
2 Scenario ended on December 31, 2023.
3 See Maturity date in table.
The significant inputs that are included in the valuation of the debt derivative liability - second tranche include:
December 31, 2023 December 31, 2022
Input
Remaining term (years) 4.5 years 5.5 years
Maturity date June 30, 2028 June 30, 2028
Coupon rate
9.5% - 13.2%
9.5% - 12.7%
Revenue participation payments Maximum each year Maximum each year
Discount rate 15.60  % 1 17.56  % 1
Probability of mandatory prepayment before 2024 N/A 2 5.0%  1
Estimated timing of mandatory prepayment event before 2024 N/A 2 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
Probability of note held-to-maturity3
80  % 1 75  % 1
1 Represents a significant unobservable input.
2 Scenario ended on December 31, 2023.
3 See Maturity date in table