Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

Fair Value Measurements

9 Months Ended

Sep. 30, 2024

5. Fair Value Measurements

Assets and liabilities measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023 were as follows (in thousands):


			Active		Observable		Unobservable
			Markets		Inputs		Inputs
Description	September 30, 2024		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash and cash equivalents:
Cash and money market funds	$	58,275	$	58,275	$	—	$	—
Total	$	58,275	$	58,275	$	—	$	—
Liabilities:
Warrant liabilities	$	10,084	$	—	$	—	$	10,084
Total	$	10,084	$	—	$	—	$	10,084


			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:


	September 30, 2024			December 31, 2023
Stock price	$	2.15		$	7.79
Average risk-free interest rate		3.59	%		3.96	%
Dividend yield		0.00	%		0.00	%
Average expected life (in years)		2.92			3.67
Average expected volatility		103.93	%		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 nine months ended September 30, 2024 and the year ended December 31, 2023 (in thousands):


	September 30, 2024			December 31, 2023
Fair value of warrant liabilities as of beginning of period	$	61,747		$	24,472
Change in fair value		(51,663	)		37,275
Fair value of warrant liabilities as of end of period	$	10,084		$	61,747