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Fair Value Measurement
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurement Fair Value Measurement
The following tables represent the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of December 31, 2022, and 2021:
(in thousands)Level 1Level 2Level 3Total
December 31, 2022
Assets:
Money market funds$10,354 $— $— $10,354 
U.S. government securities12,316 — — 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 
December 31, 2021Level 1Level 2Level 3Total
Assets:
Money market funds$22,012 $— $— $22,012 
U.S. government securities12,081 — — 12,081 
Commercial paper— 39,249 — 39,249 
Total assets$34,093 $39,249 $— $73,342 
Liabilities:
Debt derivative liability$— $— $5,562 $5,562 
Total liabilities$— $— $5,562 $5,562 
The changes in Level 3 liabilities measured at fair value on a recurring basis were as follows:
(in thousands)Debt Derivative Liabilities
Balance, December 31, 2020$2,497 
Acquired3,037 
Change in fair value included in net loss28 
Balance, December 31, 20215,562 
Change in fair value included in net loss(1,044)
Balance, December 31, 2022$4,518 
There were no changes in the levels or methodology of the measurement of financial assets or liabilities during the years ended December 31, 2022, and 2021.
The fair value of cash, restricted cash, accounts receivable, accounts payable and accrued expenses approximates the carrying values because of the short-term nature of these instruments. The carrying value and fair value of the Credit Facility were $45,712 and $50,293 at December 31, 2022, respectively, $45,325 and $52,605 at December 31, 2021, respectively. See Note 9 - Long-Term Debt, Net of Debt Discount and Financing Fees .
The debt derivative liabilities are measured using a ‘with and without’ valuation model to compare the fair value of each tranche of the Credit Facility including the identified embedded derivative feature and the fair value of a plain vanilla note with the same terms. The fair value of the Credit Facility including the embedded derivative features was determined using a probability-weighted expected return model based on four potential settlement scenarios for the Credit Facility included in the table below. The estimated settlement value of each scenario, which would include any required make-whole payment (see
Note 9 - Long-Term Debt, Net of Debt Discount and Financing Fees ), is then discounted to present value using a discount rate that is derived based on the initial terms of the Credit Facility at issuance and corroborated utilizing a synthetic credit rating analysis.
The significant inputs that are included in the valuation of the debt derivative liability - first tranche include:
December 31, 2022December 31, 2021
Input
Remaining term (years)4.55.5
Maturity dateJune 30, 2027June 30, 2027
Coupon rate
9.5% - 12.7%
9.50% 
Revenue participation paymentsMaximum each yearMaximum each year
Discount rate13.90% 110.72 %1
Probability of mandatory prepayment before 20245.0% 15.0% 1
Estimated timing of mandatory prepayment event before 2024December 31, 20231December 31, 20231
Probability of mandatory prepayment 2024 or after15.0% 115.0% 1
Estimated timing of mandatory prepayment event 2024 or afterMarch 31, 20261March 31, 20261
Probability of optional prepayment event5.0% 15.0% 1
Estimated timing of optional prepayment eventDecember 31, 20251December 31, 20251
1 Represents a significant unobservable input.
The significant inputs that are included in the valuation of the debt derivative liability - second tranche include:
December 31, 2022December 31, 2021
Input
Remaining term (years)5.56.5
Maturity dateJune 30, 2028June 30, 2028
Coupon rate
9.5% - 12.7%
9.50% 
Revenue participation paymentsMaximum each yearMaximum each year
Discount rate17.56 %113.21 %1
Probability of mandatory prepayment before 20245.0% 15.0% 1
Estimated timing of mandatory prepayment event before 2024December 31, 20231December 31, 20231
Probability of mandatory prepayment 2024 or after15.0% 115.0% 1
Estimated timing of mandatory prepayment event 2024 or afterMarch 31, 20261March 31, 20261
Probability of optional prepayment event5.0% 15.0% 1
Estimated timing of optional prepayment eventDecember 31, 20251December 31, 20251
1 Represents a significant unobservable input.