Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 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:

	September 30, 2022			December 31, 2021
Input
Remaining term (years)	4.75 years			5.5 years
Maturity date	June 30, 2027			June 30, 2027
Coupon rate	9.5% - 12.3%			9.5	%
Revenue participation payments	Maximum each year			Maximum each year
Discount rate	14.7%		(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:

	September 30, 2022			December 31, 2021
Input
Remaining term (years)	5.75 years			6.5
Maturity date	June 30, 2028			June 30, 2028
Coupon rate	9.5% - 12.3%			9.5%
Revenue participation payments	Maximum each year			Maximum each year
Discount rate	18.3	%	(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 presents the financial assets and liabilities that the Company measured at fair value on a recurring basis as of September 30, 2022, classified in accordance with the fair value hierarchy (in thousands):

	Fair Value Measurements Using
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds	$	7,610	$	—	$	—	$	7,610
U.S. government securities	22,874		—		—		22,874
Commercial paper	—		15,918		—		15,918
Total assets	$	30,484	$	15,918	$	—	$	46,402
Liabilities
Debt derivative liabilities	—		—		4,407		4,407
Total liabilities	$	—	$	—	$	4,407	$	4,407

The following table presents the financial assets and liabilities that the Company measured at fair value on a recurring basis as of December 31, 2021, classified in accordance with the fair value hierarchy (in thousands):

	Fair Value Measurements Using
	(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 for the three and nine months ended September 30, 2022, were as follows (in thousands):

Three Months Ended September 30, 2022
Beginning Balance, July 1, 2022	$	4,876
Change in fair value included in net loss	(469)
Ending Balance, September 30, 2022	$	4,407

Nine Months Ended September 30, 2022
Beginning Balance, January 1, 2022	$	5,562
Change in fair value included in net loss	(1,155)
Ending Balance, September 30, 2022	$	4,407

The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and nine months ended September 30, 2021, were as follows (in thousands):

Three Months Ended September 30, 2021
Beginning Balance, July 1, 2021	54,439
Change in fair value of Oberland Facility	(826)
Change in fair value of debt derivative	46
Ending Balance, September 30, 2021	$	53,659

Nine Months Ended September 30, 2021
Beginning Balance, January 1, 2021	$	39,352
Addition of Oberland Facility - second tranche	13,827
Addition of debt derivative - second tranche	1,173
Change in fair value of Oberland Facility	(845)
Change in fair value of debt derivative	152
Ending Balance September 30, 2021	$	53,659