Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

Fair Value Measurements

3 Months Ended

Mar. 31, 2024

5. Fair Value Measurements

Assets and liabilities measured at fair value on a recurring basis as of March 31, 2024 and December 31, 2023 were as follows (in thousands):


			Active		Observable		Unobservable
			Markets		Inputs		Inputs
Description	March 31, 2024		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash and cash equivalents:
Cash and money market funds	$	83,523	$	83,523	$	—	$	—
Marketable securities:
US Treasury obligation - due in one year or less		24,781		24,781		—		—
Total	$	108,304	$	108,304	$	—	$	—
Liabilities:
Warrant liabilities	$	34,773	$	—	$	—	$	34,773
Total	$	34,773	$	—	$	—	$	34,773


			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

Assumptions Used in Determining Fair Value of Warrants

The Company issued warrants to purchase an aggregate of up to 13,813,912 shares of common stock in connection with a private placement in September 2022 (the “2022 Warrants”) and warrants to purchase an aggregate of up to 282,809 shares of common stock in connection with a private placement in December 2020 (the “2020 Warrants”). 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:


	March 31, 2024			December 31, 2023
Stock price	$	5.35		$	7.79
Average risk-free interest rate		4.36	%		3.96	%
Average expected life (in years)		3.42			3.67
Average expected volatility		86.64	%		87.63	%

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 liabilities for the three months ended March 31, 2024 and the year ended December 31, 2023 (in thousands):


	March 31, 2024			December 31, 2023
Fair value of warrant liabilities as of beginning of period	$	61,747		$	24,472
Change in fair value		(26,974	)		37,275
Fair value of warrant liabilities as of end of period	$	34,773		$	61,747