Fair Value Measurements

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Fair Value Measurements

6. Fair Value Measurements

The tables below present information about our assets and liabilities that are measured and carried at fair value on a recurring basis and indicate the level within the fair value hierarchy we utilized to determine such fair values:

As of June 30, 2022 (In thousands)	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Assets:
Cash equivalents
Money market funds	$	133,202	$	—	$	—	$	133,202
Commercial paper		—		4,999		—		4,999
Marketable securities (current)
U.S. government treasuries		211,135		—		—		211,135
Corporate debt securities		—		8,958		—		8,958
Commercial paper		—		172,897		—		172,897
Restricted cash
Money market funds		1,867		—		—		1,867
Total assets	$	346,204	$	186,854	$	—	$	533,058
Liabilities:
Financing liability, related party		—		—		27,205		27,205
Financing liability		—		—		27,205		27,205
Total liabilities	$	—	$	—	$	54,410	$	54,410

As of December 31, 2021 (In thousands)	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Assets:
Cash equivalents
Money market funds	$	153,589	$	—	$	—	$	153,589
Corporate debt securities		—		1,431		—		1,431
Commercial paper		—		37,998		—		37,998
Marketable securities (current)
U.S. government treasuries		171,063		—		—		171,063
Corporate debt securities		—		20,452		—		20,452
Commercial paper		—		181,155		—		181,155
Marketable securities (non-current)
U.S. government treasuries		52,269		—		—		52,269
Restricted cash
Money market funds		4,200		—		—		4,200
Total assets	$	381,121	$	241,036	$	—	$	622,157
Liabilities:
Financing liability, related party		—		—		16,770		16,770
Financing liability		—		—		16,770		16,770
Total liabilities	$	—	$	—	$	33,540	$	33,540

There have been no impairments of our assets measured and carried at fair value during the six months ended June 30, 2022. There have been no changes in valuation techniques, inputs utilized or transfers between fair measurement levels in the periods presented.

The fair value of our Level 2 instruments were determined using third-party pricing sources. The pricing services utilize industry standard valuation models, including both income and market-based approaches, for which all significant inputs are observable, either directly or indirectly. We validate the prices provided by our third-party pricing services by understanding the models used, obtaining market values from other pricing sources and analyzing pricing data in certain instances. After completing our validation procedures, we did not adjust or override any fair value measurements provided by our pricing services as of June 30, 2022 and December 31, 2021.

As of June 30, 2022, our financing liabilities represented our only Level 3 assets or liabilities carried at fair market value. Changes in the fair value remeasurement of our financing liabilities can result from changes in one or multiple inputs, including adjustments to discount rates, changes in the expected achievement or timing of any sales-based, development or regulatory milestones, changes in the amount or timing of expected net cash flows, changes in the probability of certain clinical events and changes in the assumed probability associated with regulatory approval. These fair value measurements represent Level 3 measurements as they are based on significant inputs not observable in the market.

The carrying amounts reflected in our condensed consolidated balance sheets for our cash and cash equivalents, prepaid expenses and other current assets, accounts payable, accrued expenses and other current liabilities approximate fair value due to the short-term nature of these assets and liabilities.

Marketable Securities

The estimated fair value and amortized cost of our available-for-sale marketable debt securities, by contractual maturity and security type, are summarized as follows:

As of June 30, 2022 (In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
Due in one year or less
U.S. government treasuries	$	212,366	$	17	$	(1,248	)	$	211,135
Corporate debt securities		9,004		—		(46	)		8,958
Commercial paper		173,675		12		(790	)		172,897
Total marketable securities	$	395,045	$	29	$	(2,084	)	$	392,990

As of December 31, 2021 (In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
Due in one year or less
U.S. government treasuries	$	171,111	$	—	$	(48	)	$	171,063
Corporate debt securities		20,464		—		(12	)		20,452
Commercial paper		181,176		11		(32	)		181,155
Due after one year through two years
U.S. government treasuries		52,387		—		(118	)		52,269
Total marketable securities	$	425,138	$	11	$	(210	)	$	424,939

We had no realized gains or losses recognized on the sale or maturity of marketable securities during the six months ended June 30, 2022 and 2021. To date, we have not recognized any allowances for credit losses or impairments in relation to our available-for-sale marketable securities as these marketable securities are comprised of high credit quality, investment grade securities that we do not intend or expect to be required to sell prior to their anticipated recovery, and the decline in fair value of these securities is attributable to factors other than credit losses. None of the marketable securities presented in the previous tables have been in a continuous unrealized loss position for 12 months or longer. Based on our evaluation, we determined credit losses related to marketable securities were immaterial for the three and six months ended June 30, 2022.

The weighted average maturity of our marketable securities as of June 30, 2022 and December 31, 2021, was approximately five months and nine months, respectively.

Financing Liabilities

Upon execution of the Funding Agreements, we determined that the agreements qualified for election under the fair value option and initially measured the financial instruments at their issue-date estimated fair value. We revalue the related financial liabilities on a recurring basis at each reporting period.

As of June 30, 2022, the financing liability, related party and financing liability totaled $27.2 million and $27.2 million, respectively. We determined their respective estimated fair values using a Monte Carlo simulation model under the income approach determined by using probability assessments of the expected future cash receipts and expected future cash payments and a discount rate of approximately 11.0%. As of December 31, 2021, we used a discount rate of approximately 9.0%.

The following table provides a rollforward of the liability associated with our financing liabilities:

	For the Six Months Ended June 30,
(In thousands)	2022
Beginning liability balance	$	33,540
Funding commitment received		37,500
Change in fair value recognized in other expense (income), net		(5,800	)
Change in fair value attributable to instrument-specific credit risk recognized in other comprehensive (income) loss		(10,830	)
Ending liability balance	$	54,410

For additional information related to the fair value of our financing liability and financing liability, related party, please read Note 5, Financing Liabilities, to these unaudited condensed consolidated financial statements.