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Fair Value Measurement | 3 Months Ended
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Mar. 31, 2024
Fair Value Disclosures [Abstract] |
Fair Value Measurement | Fair Value Measurement The following tables present the Company's fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2024, and December 31, 2023:
| March 31, 2024
(in thousands) | (Level 1) |  | (Level 2) |  | (Level 3) |  | Total
Assets: |  |  |  |  |  |  |
Money market funds | $ | 8,835 |  |  | $ | — |  |  | $ | — |  |  | $ | 8,835 |
U.S. government securities | 1,921 |  |  | — |  |  | — |  |  | 1,921 |
Total assets | $ | 10,756 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,756 |
Liabilities: |  |  |  |  |  |  |
Debt derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 2,922 |  |  | $ | 2,922 |
Total liabilities | $ | — |  |  | $ | — |  |  | $ | 2,922 |  |  | $ | 2,922 |
| December 31, 2023
(in thousands) | (Level 1) |  | (Level 2) |  | (Level 3) |  | Total
Assets: |  |  |  |  |  |  |
Money market funds | $ | 24,977 |  |  | $ | — |  |  | $ | — |  |  | $ | 24,977 |
Total assets | $ | 24,977 |  |  | $ | — |  |  | $ | — |  |  | $ | 24,977 |
Liabilities: |  |  |  |  |  |  |
Debt derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 2,987 |  |  | $ | 2,987 |
Total liabilities | $ | — |  |  | $ | — |  |  | $ | 2,987 |  |  | $ | 2,987 |
The changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended March 31, 2024 were as follows (in thousands):
Three Months Ended March 31, 2024 |  |
Balance, December 31, 2023 |  | $ | 2,987 |
Change in fair value included in net loss |  | (65) |
Balance, March 31, 2024 |  | $ | 2,922 |
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 $46,825 and $52,049 at March 31, 2024, and $46,603 and $51,486 at December 31, 2023, respectively. See Note 8 - 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 features and the fair value of a plain vanilla note with the same terms. The fair value of the Credit Facility including the identified embedded derivative features was determined using a probability-weighted expected return model based on four potential settlement scenarios, one of which ended December 31, 2023, for the financing agreement as disclosed in the table below. The estimated settlement value of each scenario, which would include any required make-whole payment, (see Note 8 - 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 financing agreement 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:
| March 31, 2024 |  | December 31, 2023 |
Input |  |  |  |
Remaining term (years) | 3.25 years |  | 3.5 years |
Maturity date | June 30, 2027 |  | June 30, 2027 |
Coupon rate | 9.5% - 13.16% |  | 9.5% - 13.2% |
Revenue participation payments | Maximum each year |  | Maximum each year |
Discount rate | 12.24% |  | (1) | 12.06% |  | (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)
Probability of note held-to-maturity(2) | 80.0% |  | (1) | 80.0% |  | (1)
(1)Represents a significant unobservable input (2) See Maturity date in table. The significant inputs that are included in the valuation of the debt derivative liability - second tranche include:
| March 31, 2024 |  | December 31, 2023 |
Input |  |  |  |
Remaining term (years) | 4.25 years |  | 4.5 years |
Maturity date | June 30, 2028 |  | June 30, 2028 |
Coupon rate | 9.5% - 13.16% |  | 9.5% - 13.2% |
Revenue participation payments | Maximum each year |  | Maximum each year |
Discount rate | 15.49 | % | (1) | 15.60 | % | (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)
Probability of held-to-maturity(2) | 80.0% |  |  | 80.0% |  |
(1)Represents a significant unobservable input (2)See Maturity date in table.

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- 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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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