Fair Value Measurement

6 Months Ended

Jun. 30, 2023

Available-for-sale marketable securities consisted of the following (in thousands):


	June 30, 2023
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
Asset-backed securities	$	5,675	$	1	$	(25)	$	5,651
Corporate debt securities	5,930		—		(28)		5,902
U.S. treasury securities	77,969		4		(59)		77,914

Agency bonds	18,896		—		(79)		18,817
Commercial paper	18,828		—		(2)		18,826
Total marketable securities, available-for-sale	$	127,298	$	5	$	(193)	$	127,110


	December 31, 2022
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
Asset-backed securities	$	1,146	$	—	$	—	$	1,146
Corporate debt securities	7,139		—		(9)		7,130
U.S. treasury securities	111,469		—		(934)		110,535
Agency bonds	2,783		2		(1)		2,784

Commercial paper	7,004		—		—		7,004
Total marketable securities, available-for-sale	$	129,541	$	2	$	(944)	$	128,599

As of June 30, 2023, forty available-for-sale marketable securities with a fair market value of $98.7 million were in a gross unrealized loss position of $0.2 million. Based on our review of these marketable securities, we believe none of the unrealized loss is as a result of a credit loss as of June 30, 2023 because we do not intend to sell these securities and it is not more-likely-than-not that we will be required to sell these securities before the recovery of their amortized cost basis.

The estimated fair value of our contractual maturities of available-for-sale debt securities were as follows (in thousands):


	June 30, 2023		December 31, 2022

Due within one year	$	111,620	$	114,353
Due after one year but within five years	15,490		14,246
Total estimated fair value of contractual maturities, available-for-sale	$	127,110	$	128,599

The following table summarizes, by major security type, our cash equivalents and available-for-sale marketable securities measured at fair value on a recurring basis and are categorized using the fair value hierarchy (in thousands):


	June 30, 2023						December 31, 2022
	Level 1		Level 2		Total estimated fair value		Level 1		Level 2		Total estimated fair value
Assets
Cash equivalents
Money market funds	$	124,548	$	—	$	124,548	$	191,704	$	—	$	191,704


Available-for-sale marketable securities
Asset-backed securities	—		5,651		5,651		—		1,146		1,146
Corporate debt securities	—		5,902		5,902		—		7,130		7,130
U.S. treasury securities	77,914		—		77,914		110,535		—		110,535
Agency bonds	18,817		—		18,817		2,784		—		2,784

Commercial paper	—		18,826		18,826		—		7,004		7,004
Derivative instruments
Currency hedging contracts (1)	—		114		114		—		—		—
Total assets	$	221,279	$	30,493	$	251,772	$	305,023	$	15,280	$	320,303

Liabilities
Derivative instruments
Currency hedging contracts1	$	—	$	1,998	1,998		$	—	$	—	—

(1) Based on observable market transactions of spot currency rates, forward currency rates or equivalently-termed instruments. Carrying amounts of the financial assets and liabilities are equal to the fair value. As of June 30, 2023, the derivative assets and liabilities recorded within prepaid expenses and other assets, accrued expenses and other long-term liabilities were $0.1 million, $0.1 million and $1.9 million, respectively.

We had no available for sale securities that were classified within Level 3 as of June 30, 2023 and December 31, 2022.

A contingent liability with a value of $15.7 million, of which $1.6 million is reported as a current liability in accrued expenses in our condensed consolidated balance sheets, was assumed as part of the Antares acquisition related to TLANDO. The acquisition date fair value was measured using the income approach, specifically the probability weighted expected return method for the development milestone payments and the option pricing methodology using the Monte Carlo simulation for commercial milestone payments and royalty payments. The fair value of the contingent liability will be remeasured on a quarterly basis. Estimates and assumptions used in the Monte Carlo simulation include forecasted revenues, cost of debt, risk free rate, weighted average cost of capital, revenue market price risk and revenue volatility. Estimates and assumptions used in the income approach include the probability of achieving certain milestones and a discount rate. These unobservable inputs represent a Level 3 measurement because they are supported by little or no market activity and reflect our own assumptions in measuring fair value. Changes in the fair value subsequent to the acquisition date will be recognized in our condensed consolidated statements of income.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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