| Financial instruments at fair value on a recurring basis |
The following tables set forth the fair value of our financial instruments that were measured at fair value on a recurring basis (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2023 | | | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Estimated Fair Value | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Financial assets: | | | | | | | | | | | | | | | Money market funds | $ | 163,424 | | | $ | — | | | $ | — | | | $ | 163,424 | | | $ | 163,424 | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | U.S. Treasury notes | 18,848 | | | — | | | (1) | | | 18,847 | | | 18,847 | | | — | | | — | | | U.S. government agency securities | 77,707 | | | 19 | | | (7) | | | 77,719 | | | — | | | 77,719 | | | — | | | Total financial assets | $ | 259,979 | | | $ | 19 | | | $ | (8) | | | $ | 259,990 | | | $ | 182,271 | | | $ | 77,719 | | | $ | — | | | | | | | | | | | | | | | | | Financial liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Convertible senior secured notes | | | | | | | $ | 196,244 | | | $ | — | | | $ | — | | | $ | 196,244 | | Contingent consideration | | | | | | | 25 | | | — | | | — | | | 25 | | | Total financial liabilities | | | | | | | $ | 196,269 | | | $ | — | | | $ | — | | | $ | 196,269 | |
| | | | | | | | September 30, 2023 | | Reported as: | | | Cash equivalents | $ | 153,324 | | | Restricted cash | 10,100 | | | Marketable securities | 96,566 | | | Total cash equivalents, restricted cash, and marketable securities | $ | 259,990 | | | | | | | | | Convertible senior secured notes | $ | 196,244 | | | Other long-term liabilities | 25 | | | Total liabilities | $ | 196,269 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Estimated Fair Value | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Financial assets: | | | | | | | | | | | | | | | Money market funds | $ | 158,931 | | | $ | — | | | $ | — | | | $ | 158,931 | | | $ | 158,931 | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | U.S. Treasury notes | 193,685 | | | 1 | | | (123) | | | 193,563 | | | 193,563 | | | — | | | — | | | U.S. government agency securities | 96,006 | | | 55 | | | (13) | | | 96,048 | | | — | | | 96,048 | | | — | | | Total financial assets | $ | 448,622 | | | $ | 56 | | | $ | (136) | | | $ | 448,542 | | | $ | 352,494 | | | $ | 96,048 | | | $ | — | | | | | | | | | | | | | | | | | Financial liabilities: | | | | | | | | | | | | | | | Stock payable liability | | | | | | | $ | 744 | | | $ | — | | | $ | — | | | $ | 744 | | | Contingent consideration | | | | | | | 25 | | | — | | | — | | | 25 | | | Total financial liabilities | | | | | | | $ | 769 | | | $ | — | | | $ | — | | | $ | 769 | |
| | | | | | | | December 31, 2022 | | Reported as: | | | Cash equivalents | $ | 148,901 | | | Restricted cash | 10,030 | | | Marketable securities | 289,611 | | | Total cash equivalents, restricted cash, and marketable securities | $ | 448,542 | | | | | | | Other long-term liabilities | $ | 769 | | | |
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| Rollforward of stock payable liability and contingent consideration |
The following tables include a rollforward of the stock payable liability, contingent consideration, and Senior Secured 2028 Notes classified within Level 3 of the fair value hierarchy (in thousands): | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, 2023 | | | Stock Payable Liability | | Contingent Consideration | | Convertible Senior Secured Notes | | Fair value at June 30, 2023 | $ | 251 | | | $ | 25 | | | $ | 249,571 | | | Issuance of convertible senior secured notes at fair value | — | | | — | | | 100 | | | Changes in fair value | (70) | | | — | | | (33,463) | | | Changes in fair value related to instrument-specific credit risk | — | | | — | | | (16,529) | | | Settlements | (181) | | | — | | | — | | | Cash payments for interest | — | | | — | | | (3,435) | | Fair value at September 30, 2023 | $ | — | | | $ | 25 | | | $ | 196,244 | |
| | | | | | | | | | | | | | | | | | | Nine Months Ended September 30, 2023 | | | Stock Payable Liability | | Contingent Consideration | | Convertible Senior Secured Notes | | Fair value at December 31, 2022 | $ | 744 | | | $ | 25 | | | $ | — | | | Issuance of convertible senior secured notes at fair value | — | | | — | | | 301,171 | | | Changes in fair value | (337) | | | — | | | (72,386) | | | Changes in fair value related to instrument-specific credit risk | — | | | — | | | (25,366) | | | Settlements | (407) | | | — | | | — | | | Cash payments for interest | — | | | — | | | (7,175) | | Fair value at September 30, 2023 | $ | — | | | $ | 25 | | | $ | 196,244 | |
| | | | | | | | | | | | | Three Months Ended
September 30, 2022 | | | Stock Payable Liability | | Contingent Consideration | | Fair value at June 30, 2022 | $ | 2,782 | | | $ | 25 | | | | | | | Change in fair value | 527 | | | — | | | Settlements | (2,324) | | | — | | Fair value at September 30, 2022 | $ | 985 | | | $ | 25 | |
| | | | | | | | | | | | | Nine Months Ended
September 30, 2022 | | | Stock Payable Liability | | Contingent Consideration | | Fair value at December 31, 2021 | $ | 20,925 | | | $ | 1,875 | | | | | | | Change in fair value | (15,666) | | | (1,850) | | | Settlements | (4,274) | | | — | | Fair value at September 30, 2022 | $ | 985 | | | $ | 25 | |
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| Summary of significant inputs in the binomial lattice model |
Significant inputs into the binomial lattice model as of September 30, 2023 and March 7, 2023 were as follows: | | | | | | | | | | | | | September 30, 2023 | | March 7, 2023 | | Stock price | $0.61 | | $1.65 | | Conversion price | $2.58 | | $2.58 | | Volatility | 110.0 | % | | 107.5 | % | | Risk-free interest rate | 4.71 | % | | 4.35 | % | | Credit spread | 17.92 | % | | 13.76 | % | | Cost of debt | 22.6 | % | | 18.1 | % | | Term (years) | 4.46 | | 5.02 |
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