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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, 2022December 31, 2021
Input
Remaining term (years)5.255.5
Maturity dateJune 30, 2027June 30, 2027
Coupon rate9.50 %9.50 %
Revenue participation paymentsMaximum each yearMaximum each year
Discount rate11.2% (1)10.72% (1)
Probability of mandatory prepayment before 20245.0 %(1)5.0 %(1)
Estimated timing of mandatory prepayment event before 2024December 31, 2023(1)December 31, 2023(1)
Probability of mandatory prepayment 2024 or after15.0 %(1)15.0 %(1)
Estimated timing of mandatory prepayment event 2024 or afterMarch 31, 2026(1)March 31, 2026(1)
Probability of optional prepayment event5.0 %(1)5.0 %(1)
Estimated timing of optional prepayment eventDecember 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, 2022December 31, 2021
Input
Remaining term (years)6.256.5
Maturity dateJune 30, 2028June 30, 2028
Coupon rate9.5% 9.5% 
Revenue participation paymentsMaximum each yearMaximum each year
Discount rate14.4 %(1)13.21 %(1)
Probability of mandatory prepayment before 20245.0% (1)5.0% (1)
Estimated timing of mandatory prepayment event before 2024December 31, 2023(1)December 31, 2023(1)
Probability of mandatory prepayment 2024 or after15.0% (1)15.0% (1)
Estimated timing of mandatory prepayment event 2024 or afterMarch 31, 2026(1)March 31, 2026(1)
Probability of optional prepayment event5.0% (1)5.0% (1)
Estimated timing of optional prepayment eventDecember 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 securities17,988 — — 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 securities12,081 — — 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 loss22 
Balance at March 31, 2021$2,519