Fair Value Considerations (Tables)
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9 Months Ended |
Sep. 30, 2021 |
Fair Value Disclosures [Abstract] |
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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 September 30, 2021 and December 31, 2020: | | | | | | | | | | | | | | | | | | | | | | | | (In thousands) | (Level 1) | | (Level 2) | | (Level 3) | | Total | September 30, 2021 | | | | | | | | Assets: | | | | | | | | Money market funds | $ | 33,334 | | | $ | — | | | $ | — | | | $ | 33,334 | | U.S. government securities | 8,021 | | | — | | | — | | | 8,021 | | Commercial paper | — | | | 36,968 | | | — | | | 36,968 | | Total assets | $ | 41,355 | | | $ | 36,968 | | | $ | — | | | $ | 78,323 | | | | | | | | | | Liabilities | | | | | | | | Oberland facility | $ | — | | | $ | — | | | $ | 49,837 | | | $ | 49,837 | | Debt derivative liabilities | — | | | — | | 3,822 | | | 3,822 | | Total liabilities | $ | — | | | $ | — | | | $ | 53,659 | | | $ | 53,659 | |
| | | | | | | | | | | | | | | | | | | | | | | | | (Level 1) | | (Level 2) | | (Level 3) | | Total | December 31, 2020 | | | | | | | | Assets: | | | | | | | | Money market funds | $ | 23,044 | | | $ | — | | | $ | — | | | $ | 23,044 | | U.S. government securities | 12,123 | | | — | | | — | | | 12,123 | | Corporate bonds | — | | | 6,408 | | | — | | | 6,408 | | Commercial paper | — | | | 36,668 | | | — | | | 36,668 | | | | | | | | | | Total assets | $ | 35,167 | | | $ | 43,076 | | | $ | — | | | $ | 78,243 | | | | | | | | | | Liabilities | | | | | | | | Oberland facility | $ | — | | | $ | — | | | $ | 36,855 | | | $ | 36,855 | | Debt derivative liability | — | | | — | | 2,497 | | 2,497 | Total liabilities | $ | — | | | $ | — | | | $ | 39,352 | | | $ | 39,352 | |
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Schedule of valuation of the debt derivative liability |
The significant inputs that are included in the valuation of the Debt Derivative Liability - first tranche include: | | | | | | | | | | | | | | | | September 30, 2021 | | December 31, 2020 | | Input | | | | | Remaining term (years) | 5.75 | | 6.50 | | Maturity date | June 30, 2027 | | June 30, 2027 | | Coupon rate | 9.50 | % | | 9.50 | % | | Revenue participation payments | Maximum each year | | Maximum each year | | Discount rate | 8.78 | % | (1) | 8.70 | % | (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, 2021 | | Input | | | Remaining term (years) | 6.75 | | Maturity date | June 30, 2028 | | Coupon rate | 9.5% | | | Revenue participation payments | Maximum each year | | Discount rate | 11.3 | % | (1) | Probability of mandatory prepayment before 2024 | 5.0% | | (1) | Estimated timing of mandatory prepayment event before 2024 | December 31, 2023 | (1) | Probability of mandatory prepayment 2024 or after | 15.0% | | (1) | Estimated timing of mandatory prepayment event 2024 or after | March 31, 2026 | (1) | Probability of optional prepayment event | 5.0% | | (1) | Estimated timing of optional prepayment event | December 31, 2025 | (1) |
(1)Represents a significant unobservable input
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Schedule of the fair value of instruments classified as Level 3 measurements |
The following represents the rollforward of the fair value of instruments classified as Level 3 measurements for the three and nine months ended September 30, 2021 (in thousands): | | | | | | Quarter Ending September 30, 2021 | | Beginning Balance, July 1, 2021 | $ | 54,439 | | | | | | Change in fair value of Oberland Facility | (826) | | Change in fair value of debt derivatives | 46 | | Ending Balance, September 30, 2021 | $ | 53,659 | | | | Nine Months Ending 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 derivatives | 152 | | Ending Balance, September 30, 2021 | $ | 53,659 | |
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