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Fair Value Measurements
12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements

3. Fair Value Measurements

The following table presents the Company’s fair value hierarchy for its assets and liabilities items that are measured at fair value on a recurring basis as of December 31, 2022 and December 31, 2021, by level within the fair value hierarchy (in thousands):

 

 

 

Fair Value Measurement at December 31, 2022 Using:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents (money market)

 

$

156,219

 

 

$

 

 

$

 

 

$

156,219

 

Restricted cash non-current

 

 

927

 

 

 

 

 

 

 

 

 

927

 

 

 

$

157,146

 

 

$

 

 

$

 

 

$

157,146

 

 

 

 

Fair Value Measurement at December 31, 2021 Using:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents (money market)

 

$

67,942

 

 

$

 

 

$

 

 

$

67,942

 

Restricted cash non-current

 

 

927

 

 

 

 

 

 

 

 

 

927

 

 

 

$

68,869

 

 

$

 

 

$

 

 

$

68,869

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Company evaluates transfers between levels at the end of each reporting period. There were no transfers between Level 1, Level 2 or Level 3 for the years ended December 31, 2022 and December 31, 2021.

Related Party Antidilution Obligation

The Company was obligated to issue Series A convertible preferred stock with an antidilution provision as part of a license agreement with Amgen (see Note 12). The Related Party Antidilution Obligation was included within the Level 3 fair value hierarchy. The Related Party Antidilution Obligation was valued using a probability-weighted expected return method. The valuation model requires a variety of inputs, including the probability of occurrence of events that would trigger the issuance of additional shares, the expected timing of such events, the expected value of the contingently issuable equity upon occurrence of a triggering event and a discount rate. The Related Party Antidilution Obligation was remeasured on each reporting period until settlement on May 1, 2021, with changes in fair value recognized within changes in fair value of the Related Party Antidilution Obligation in the consolidated statements of operations and comprehensive loss.

The significant unobservable inputs used in the valuation model to measure the Related Party Antidilution Obligation that are categorized within Level 3 of the fair value hierarchy, as of March 31, 2021 and December 31, 2020 are as follows:

 

 

 

March 31,
2021

 

 

December 31,
2020

 

Expected term (years)

 

 

0.59

 

 

 

0.83

 

Risk-free rate

 

 

0.05

%

 

 

0.15

%

Probability of finance event occurring

 

 

90

%

 

 

85

%

 

At December 31, 2020, the Company had a $4.2 million liability related to the Related Party Antidilution Obligation. During the four months prior to settlement on May 1, 2021, the Company recorded a $0.8 million increase in fair value of the Related Party Antidilution Obligation. On May 28, 2021, the Company completed the second closing pursuant to the Series A Convertible Preferred Stock Purchase Agreement which resulted in the Company raising net cash proceeds from financing activities in excess of the $45.0 million Related Party Antidilution Obligation cap. The second closing triggered the settlement of the remaining Related Party Antidilution Obligation, resulting in the issuance of 1,963,093 shares of Series A convertible preferred stock to Amgen with a fair value of $5.1 million.

Series A Preferred Stock Tranche Obligation

The Series A Preferred Stock Tranche Obligation was valued using a probability-weighted present value model. The valuation model considered the probability of closing the tranche, the estimated future value of the Series A convertible preferred stock to be issued at each closing and the investment required at each closing. Future values were converted to present value using a discount rate appropriate for probability-adjusted cash flows.

The Related Party Antidilution Obligation and Series A Preferred Stock Tranche Obligation were settled in May 2021 (see Note 7).

The following table sets forth a rollforward of changes in the fair value of financial liabilities classified as Level 3 in the fair valued hierarchy (in thousands):

 

 

 

Related Party
Antidilution
Obligation

 

 

Series A
Preferred Stock
Tranche
Obligation

 

 

Total

 

Ending balance at December 31, 2020

 

$

4,247

 

 

$

303

 

 

$

4,550

 

Change in fair value

 

 

836

 

 

 

28

 

 

 

864

 

Reclassification of Series A preferred stock tranche obligation and related
   party antidilution obligation upon settlement

 

 

(5,083

)

 

 

(331

)

 

 

(5,414

)

Ending balance at May 1, 2021

 

$

 

 

$

 

 

$