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Fair Value Measurement (Tables) | 6 Months Ended
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Jun. 30, 2022
Fair Value Disclosures [Abstract] |
Summary of significant inputs in liability valuation | The significant inputs that are included in the valuation of the Debt derivative liability - first tranche include:
| June 30, 2022 |  | December 31, 2021 |
Input |  |  |  |
Remaining term (years) | 5 |  | 5.5 |
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 | 14.4% |  | (1) | 10.72% |  | (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:
| June 30, 2022 |  | December 31, 2021 |
Input |  |  |  |
Remaining term (years) | 6 |  | 6.5 |
Maturity date | June 30, 2028 |  | June 30, 2028 |
Coupon rate | 9.5% |  |  | 9.5% |  |
Revenue participation payments | Maximum each year |  | Maximum each year |
Discount rate | 17.6 | % | (1) | 13.21 | % | (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
Summary of fair value financial assets measured on a recurring basis | The following table presents the financial assets and liabilities that the Company measured at fair value on a recurring basis as of June 30, 2022, classified in accordance with the fair value hierarchy (in thousands):
| Fair Value Measurements Using
| (Level 1) |  | (Level 2) |  | (Level 3) |  | Total
Assets: |  |  |  |  |  |  |
Money market funds | $ | 6,057 |  |  | $ | — |  |  | $ | — |  |  | $ | 6,057 |
U.S. government securities | 17,920 |  |  | — |  |  | — |  |  | 17,920 |
Commercial paper | — |  |  | 28,289 |  |  | — |  |  | 28,289 |
Total assets | $ | 23,977 |  |  | $ | 28,289 |  |  | $ | — |  |  | $ | 52,266 |
Liabilities |  |  |  |  |  |  |
Debt derivative liabilities | — |  |  | — |  |  | 4,876 |  |  | 4,876 |
Total liabilities | $ | — |  |  | $ | — |  |  | $ | 4,876 |  |  | $ | 4,876 |
The following table presents the financial assets and liabilities that the Company measured at fair value on a recurring basis as of December 31, 2021, classified in accordance with the fair value hierarchy (in thousands):
| Fair Value Measurements Using
| (Level 1) |  | (Level 2) |  | (Level 3) |  | Total
Assets: |  |  |  |  |  |  |
Money market funds | $ | 22,012 |  |  | $ | — |  |  | $ | — |  |  | $ | 22,012 |
U.S. government securities | 12,081 |  |  | — |  |  | — |  |  | 12,081 |
Commercial paper | — |  |  | 39,249 |  |  | — |  |  | 39,249 |
Total assets | $ | 34,093 |  |  | $ | 39,249 |  |  | $ | — |  |  | $ | 73,342 |
Liabilities |  |  |  |  |  |  |
Debt derivative liabilities | $ | — |  |  | — |  | $ | 5,562 |  |  | $ | 5,562 |
Total liabilities | $ | — |  |  | $ | — |  |  | $ | 5,562 |  |  | $ | 5,562 |
Schedule of fair value instruments classified Level 3 | The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and six months ended June 30, 2022, were as follows (in thousands):
Three Months Ended June 30, 2022 |  |  |
Beginning Balance, April 1, 2022 |  |  | $ | 5,310 |
Change in fair value included in net loss |  |  | (434) |
Ending Balance, June 30, 2022 |  |  | $ | 4,876 |
Six Months Ended June 30, 2022 |
Beginning Balance, January 1, 2022 | $ | 5,562 |
Change in fair value included in net loss | (686) |
Ending Balance, June 30, 2022 | $ | 4,876 |
The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and six months ended June 30, 2021, were as follows (in thousands):
Three Months Ended June 30, 2021 |
Beginning Balance, April 1, 2021 | 39,205 |
Addition of Oberland Facility - second tranche | 13,827 |
Addition of debt derivative - second tranche | 1,173 |
Change in fair value of Oberland Facility | 150 |
Change in fair value of debt derivative | 84 |
Ending Balance, June 30, 2021 | $ | 54,439 |
Six Months Ended June 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 | (18) |
Change in fair value of debt derivative | 105 |
Ending Balance June 30, 2021 | $ | 54,439 |

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 + Details
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