Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

Fair Value Measurements

9 Months Ended

Sep. 30, 2023

6. Fair Value Measurements

Assets and liabilities measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 were as follows (in thousands):


			Active		Observable		Unobservable
			Markets		Inputs		Inputs
Description	September 30, 2023		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash and cash equivalents:
Cash and money market funds	$	112,219	$	112,219	$	—	$	—
Total:	$	112,219	$	112,219	$	—	$	—
Liabilities:
Warrant liabilities	$	24,549	$	—	$	—	$	24,549
Total	$	24,549	$	—	$	—	$	24,549


			Active		Observable		Unobservable
			Markets		Inputs		Inputs
Description	December 31, 2022		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash and cash equivalents:
Cash and money market funds	$	167,467	$	167,467	$	—	$	—
Marketable securities:
Corporate debt securities - due in one year or less		22,320		—		22,320		—
Commercial paper		2,491		—		2,491		—
Municipal bonds		6,038		—		6,038		—
US Treasury obligation - due in one year or less		3,988		3,988		—		—
Total	$	202,304	$	171,455	$	30,849	$	—
Liabilities:
Warrant liabilities	$	24,472	$	—	$	—	$	24,472
Total	$	24,472	$	—	$	—	$	24,472

Assumptions Used in Determining Fair Value of Warrants

The Company issued the 2022 Warrants to purchase an aggregate of up to 13,813,912 shares of common stock in connection with the 2022 Private Placement (see Note 11) and warrants to purchase an aggregate of up to 282,809 shares of common stock in connection with a private placement on December 8, 2020 (the “2020 Warrants”) (see Note 11). The Company accounted for the 2022 Warrants and 2020 Warrants as liabilities. The Company recorded the fair value of these warrants upon issuance using the Black-Scholes valuation model and is required to revalue these warrants at each reporting date with any changes in fair value recorded on the Company's statement of operations. The valuation of the 2022 Warrants and 2020 Warrants is considered under Level 3 of the fair value hierarchy and influenced by the fair value of the underlying common stock of the Company.

A summary of the Black Scholes pricing model assumptions used to record the fair value of the Warrants is as follows:


	September 30, 2023			December 31, 2022
Stock price	$	3.95		$	3.59
Average risk-free interest rate		4.71	%		4.02	%
Average expected life (in years)		3.92			4.67
Average expected volatility		85.96	%		86.79	%

Changes in Level 3 Liabilities Measured at Fair Value on a Recurring Basis

The following table reflects the change in the Company’s Level 3 warrant liability for the nine months ended September 30, 2023 and the year ended December 31, 2022 (in thousands):


	September 30, 2023		December 31, 2022
Fair value of warrant liabilities as of beginning of year	$	24,472	$	3,029
Warrants issued in connection with 2022 Private Placement		—		64,664
Change in fair value		77		(43,221	)
Fair value of warrant liabilities as of end of period	$	24,549	$	24,472