XML 21 R11.htm IDEA: XBRL DOCUMENT
v3.21.2

Fair Value Considerations | 9 Months Ended
--- | ---
Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value Considerations | Fair Value Considerations Fair value is defined as the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. Valuation techniques used to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs. The fair value hierarchy defines a three-level valuation hierarchy for classification and disclosure of fair value measurements as follows: Level 1 – Quoted prices in active markets for identical assets or liabilities. Level 2 – Inputs other than Level 1 that are observable, either directly or indirectly, such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities. Level 3 – Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities. The Company classifies cash equivalents and investments according to the hierarchy of techniques used to determine fair value based on the types of inputs. The Company has elected the Fair Value Option for all investments in debt securities. On June 30, 2020, the Company entered into a seven-year financing agreement with Oberland Capital (the “Oberland Facility” - See Note - 10 Long-Term Debt), and concluded that the term debt instrument included certain embedded features that required separate accounting (the “Debt Derivative Liability”) and that the equity contract entered into concurrently was required to be classified as a liability and recorded at its fair value. These instruments were determined to be financial liabilities requiring Level 3 fair value measurements. 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 |
Oberland Facility The Company estimates the fair value of long-term debt under the Oberland Facility using a discounted cash flow analysis and rates being offered for similar loans to borrowers with similar credit ratings. The discounted cash flow model uses unobservable inputs, including estimates of discount rates and loan prepayments. Both tranches of the Oberland Facility are classified as Level 3. The estimated fair value of the Company’s long-term debt under the Oberland Facility was $49,837 and $36,855 at September 30, 2021 and December 31, 2020, respectively (See Note 10 - Long-Term Debt). Debt Derivative Liabilities The Debt Derivative Liabilities are measured using a ‘with and without’ valuation model to compare the fair value of the Oberland Facility including the identified embedded derivative features and the fair value of a plain vanilla note with the same terms. The fair value of the Oberland Facility including the embedded derivative features was determined using a probability-weighted expected return model based on four potential settlement scenarios for the Oberland Facility due to (a) a mandatory prepayment event between January 1, 2024 and the respective maturity dates of June 30, 2027 and June 30, 2028 for the first and second tranche, respectively; (b) the prepayment of the Oberland Facility at the Company’s option; and (c) the repayment of the Oberland Facility at its maturity in accordance with the terms of the debt agreement. The estimated settlement value of each scenario, which would include any required make-whole payment (See Note 10 - Long-Term Debt) is then discounted to present value using a discount rate that is derived based on the initial terms of the Oberland 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:
| 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 There were no changes in the levels or methodology of the measurement of financial assets or liabilities during the three and nine months ended September 30, 2021. The maturity dates of the Company’s investments are less than one year. 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 |

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration