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Fair Value Considerations (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
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 securities8,021 — — 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 securities12,123 — — 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 $36,855 
Debt derivative liability— 2,4972,497
Total liabilities$— $— $39,352 $39,352 
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, 2021December 31, 2020
Input
Remaining term (years)5.756.50
Maturity dateJune 30, 2027June 30, 2027
Coupon rate9.50 %9.50 %
Revenue participation paymentsMaximum each yearMaximum each year
Discount rate8.78 %(1)8.70 %(1)
Probability of mandatory prepayment before 20245.0 %(1)5.0 %(1)
Estimated timing of mandatory prepayment event before 2024December 31, 2023(1)December 31, 2023(1)
Probability of mandatory prepayment 2024 or after15.0 %(1)15.0 %(1)
Estimated timing of mandatory prepayment event 2024 or afterMarch 31, 2026(1)March 31, 2026(1)
Probability of optional prepayment event5.0 %(1)5.0 %(1)
Estimated timing of optional prepayment eventDecember 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 dateJune 30, 2028
Coupon rate9.5% 
Revenue participation paymentsMaximum each year
Discount rate11.3 %(1)
Probability of mandatory prepayment before 20245.0% (1)
Estimated timing of mandatory prepayment event before 2024December 31, 2023(1)
Probability of mandatory prepayment 2024 or after15.0% (1)
Estimated timing of mandatory prepayment event 2024 or afterMarch 31, 2026(1)
Probability of optional prepayment event5.0% (1)
Estimated timing of optional prepayment eventDecember 31, 2025(1)
(1)Represents a significant unobservable input
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 derivatives46 
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 tranche13,827 
Addition of debt derivative - second tranche1,173 
Change in fair value of Oberland Facility(845)
Change in fair value of debt derivatives152 
Ending Balance, September 30, 2021$53,659