Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.24.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

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

 

 

 

 

 

Active

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

Markets

 

 

Inputs

 

 

Inputs

 

Description

 

December 31, 2023

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and money market funds

 

$

139,526

 

 

$

139,526

 

 

$

 

 

$

 

Total

 

$

139,526

 

 

$

139,526

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

61,747

 

 

$

 

 

$

 

 

$

61,747

 

Total

 

$

61,747

 

 

$

 

 

$

 

 

$

61,747

 

 

 

 

 

 

 

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

 

 

$

 

 

$

 

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

 

 

 

Summary of Assumptions Used to Record Fair Value of Warrants

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

 

 

December 31, 2023

 

 

 

December 31, 2022

Stock price

 

$

7.79

 

 

 

$

3.59

 

 

Average risk-free interest rate

 

 

3.96

 

%

 

 

4.02

 

%

Average expected life (in years)

 

 

3.67

 

 

 

 

4.67

 

 

Average expected volatility

 

 

87.63

 

%

 

 

86.79

 

%

Summary of Changes in Level 3 Warrant Liabilities Measured at Fair Value on Recurring Basis

The following table reflects the change in the Company’s Level 3 Warrant liabilities for the years ended December 31, 2023 and 2022 (in thousands):

 

 

 

December 31, 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

 

 

37,275

 

 

 

 

(43,221

)

Fair value of warrant liabilities as of end of year

 

$

61,747

 

 

 

$

24,472