Fair Value Measurement (Tables)
|
3 Months Ended |
Mar. 31, 2022 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Summary of significant inputs in liability valuation |
The significant inputs that are included in the valuation of the Debt Derivative Liability - first tranche include:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2022 |
|
December 31, 2021 |
|
| Input |
|
|
|
|
| Remaining term (years) |
5.25 |
|
5.5 |
|
| Maturity date |
June 30, 2027 |
|
June 30, 2027 |
|
| Coupon rate |
9.50 |
% |
|
9.50 |
% |
|
| Revenue participation payments |
Maximum each year |
|
Maximum each year |
|
| Discount rate |
11.2% |
|
(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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2022 |
|
December 31, 2021 |
|
| Input |
|
|
|
|
| Remaining term (years) |
6.25 |
|
6.5 |
|
| Maturity date |
June 30, 2028 |
|
June 30, 2028 |
|
| Coupon rate |
9.5% |
|
|
9.5% |
|
|
| Revenue participation payments |
Maximum each year |
|
Maximum each year |
|
| Discount rate |
14.4 |
% |
(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
|
| Summary of fair value financial assets measured on a recurring basis |
The following table represents the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 (in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| March 31, 2022 |
(Level 1) |
|
(Level 2) |
|
(Level 3) |
|
Total |
| Assets: |
|
|
|
|
|
|
|
| Money market funds |
$ |
7,358 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,358 |
|
| U.S. government securities |
17,988 |
|
|
— |
|
|
— |
|
|
17,988 |
|
| Commercial paper |
— |
|
|
34,870 |
|
|
— |
|
|
34,870 |
|
| Total assets |
$ |
25,346 |
|
|
$ |
34,870 |
|
|
$ |
— |
|
|
$ |
60,216 |
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Debt derivative liabilities |
— |
|
|
— |
|
|
5,310 |
|
|
5,310 |
|
| Total liabilities |
$ |
— |
|
|
$ |
— |
|
|
$ |
5,310 |
|
|
$ |
5,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 liabilities |
$ |
— |
|
|
— |
|
$ |
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):
|
|
|
|
|
|
|
|
|
|
|
|
| Three Months Ended March 31, 2022 |
|
|
|
| Balance at December 31, 2021 |
|
|
$ |
5,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in fair value included in net loss |
|
|
(252) |
|
| Balance at March 31, 2022 |
|
|
$ |
5,310 |
|
|
|
|
|
|
|
| Three Months Ended March 31, 2021 |
|
| Balance at December 31, 2020 |
$ |
2,497 |
|
|
|
|
|
|
|
| Change in fair value included in net loss |
22 |
|
| Balance at March 31, 2021 |
$ |
2,519 |
|
|