Fair Value Measurements

3 Months Ended

Mar. 31, 2022

3. Fair Value Measurements

The following tables represent the Company’s fair value hierarchy for financial assets and financial liabilities measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 (in thousands):


	Basis for Fair Value Measurements						Fair Value as of
	Level 1		Level 2		Level 3		March 31, 2022
Assets
Money market funds	$	54,437	$	—	$	—	$	54,437
Commercial paper		—		42,557		—		42,557
Corporate bonds		—		95,383		—		95,383
US Treasuries		—		70,605		—		70,605
Total	$	54,437	$	208,545	$	—	$	262,982
Liabilities
Derivative liability	$	—	$	—	$	221	$	221
Total	$	—	$	—	$	221	$	221


	Basis for Fair Value Measurements						Fair Value as of
	Level 1		Level 2		Level 3		December 31, 2021
Assets
Money market funds	$	36,556	$	—	$	—	$	36,556
Commercial paper		—		37,535		—		37,535
Corporate bonds		—		94,864		—		94,864
US Treasuries		—		30,029		—		30,029
Total	$	36,556	$	162,428	$	—	$	198,984
Liabilities
Derivative liability	$	—	$	—	$	214	$	214
Total	$	—	$	—	$	214	$	214

Level 3 Inputs

The fair value of the derivative liability is based on significant inputs not observable in the market, which represents a Level 3 measurement within the fair value hierarchy. The fair value of the derivative liability was determined using a present value analysis with multiple scenarios. In determining the fair value of the derivative liability, the inputs impacting fair value include the change of control payment to CFF, the probability of a change of control event, the product status at time of a change of control event and the discount rate. See Note 14 for further discussion on the embedded derivative.

There were no transfers between Level 1, 2 and 3 during the periods presented.

The following tables set forth a summary of the changes in the fair value of the Company’s Level 3 financial instrument during the three-month periods ended March 31, 2022 and 2021 (in thousands):


	Derivative Liability
Balance as of December 31, 2021	$	214
Change in fair value included in other income (expense), net		7
Balance as of March 31, 2022	$	221


	Derivative Liability
Balance as of December 31, 2020	$	122
Change in fair value included in other income (expense), net		92
Balance as of March 31, 2021	$	214

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details