Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Schedule of Fair Value Financial Assets Measured on a Recurring Basis

The following tables present the Company's fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of September 30, 2023, and December 31, 2022:

	September 30, 2023
(in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds	$	24,752	$	—	$	—	$	24,752
U.S. government securities	1,494		—		—		1,494
Total assets	$	26,246	$	—	$	—	$	26,246
Liabilities:
Debt derivative liabilities	$	—	$	—	$	3,869	$	3,869
Total liabilities	$	—	$	—	$	3,869	$	3,869

	December 31, 2022
(in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds	$	10,354	$	—	$	—	$	10,354
U.S. government securities	12,316		—		—		12,316
Commercial paper	—		21,189		—		21,189
Total assets	$	22,669	$	21,189	$	—	$	43,859
Liabilities:
Debt derivative liabilities	$	—	$	—	$	4,518	$	4,518
Total liabilities	$	—	$	—	$	4,518	$	4,518

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, 2023, were as follows (in thousands):

Three Months Ended September 30, 2023
Balance, July 1, 2023	$	4,271
Change in fair value included in net loss	(402)
Balance, September 30, 2023	$	3,869

Nine Months Ended September 30, 2023
Beginning Balance, January 1, 2023	$	4,518
Change in fair value included in net loss	(649)
Ending Balance, September 30, 2023	$	3,869

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
Balance July 1, 2022	$	4,876
Change in fair value included in net loss	(469)
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

Schedule 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, 2023			December 31, 2022
Input
Remaining term (years)	3.75 years			4.5 years
Maturity date	June 30, 2027			June 30, 2027
Coupon rate	9.5% - 13.3%			9.5% - 12.7%
Revenue participation payments	Maximum each year			Maximum each year
Discount rate	13.9%		(1)	13.9%		(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, 2023			December 31, 2022
Input
Remaining term (years)	4.75 years			5.5 years
Maturity date	June 30, 2028			June 30, 2028
Coupon rate	9.5% - 13.3%			9.5% - 12.7%
Revenue participation payments	Maximum each year			Maximum each year
Discount rate	17.18	%	(1)	17.56	%	(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