Fair Value Measurements

3 Months Ended

Mar. 31, 2024

Fair Value Measurements:

Fair Value Measurements

8.            Fair Value Measurements

In accordance with ASC 820, the Company uses various inputs to measure the Warrants on a recurring basis to determine the fair value of the liability. ASC 820 also establishes a hierarchy categorizing inputs into three levels used to measure and disclose fair value. The hierarchy gives the highest priority to quoted prices available in active markets and the lowest priority to unobservable inputs. An explanation of each level in the hierarchy is described below:

Level 1 – Unadjusted quoted prices in active markets for identical instruments that are accessible by the Company on the measurement date

Level 2 – Quoted prices in markets that are not active or inputs which are either directly or indirectly observable

Level 3 – Unobservable inputs for the instrument requiring the development of assumptions by the Company

The following table summarizes the Company’s Warrants measured at fair value within the hierarchy on a recurring basis as of March 31, 2024:

	Fair Value Measurements at
	March 31, 2024
	(in thousands)
		Level 1		Level 2		Level 3		Total
Liabilities:
Warrant liability	$	—	$	—	$	578	$	578

The following table summarizes the Company’s 2023 Warrants measured at fair value within the hierarchy on a recurring basis as of December 31, 2023:

	Fair Value Measurements at
	December 31, 2023
	(in thousands)
		Level 1		Level 2		Level 3		Total
Liabilities:
Warrant liability	$	—	$	—	$	863	$	863

The following table summarizes changes to the fair value of the Level 3 Warrants for the three months ended March 31, 2024:

	Fair Value of
	Warrant
	Liability
	(in thousands)
Balance at December 31, 2023	$	863
Issuance		253
Change in fair value		(538)
Balance at March 31, 2024	$	578

The Company utilized the Black-Scholes valuation model for estimating the fair value of the Warrants using the following assumptions as of March 31, 2024:

	As of
	March 31,
	2024
Risk-free interest rate		4.20	%
Expected volatility		104	%
Expected term in years		4.6
Dividend yield		—	%