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Warrant Liabilities (Tables)
 6 Months Ended
Jun. 30, 2023
Warrants and Rights Note Disclosure [Abstract]  
Summary of Change in Fair Value of Warrant Liabilities

The change in fair value of warrant liabilities measured on a recurring basis using unobservable Level 3 inputs for the quarter ended June 30, 2023 is set forth below:

 

 

Fair Value at May 18, 2023

 

 

Change in Fair Value

 

 

Fair Value at June 30, 2023

 

Series A Warrant

 

$

2,971

 

 

$

3,085

 

 

$

6,056

 

Series B Warrant

 

 

2,634

 

 

 

2,912

 

 

 

5,546

 

Total warrant liabilities

 

$

5,605

 

 

$

5,997

 

 

$

11,602

 
Summary of Estimated Fair Value Assumptions of Warrant Liabilities The fair value of the warrant liabilities was estimated using the following assumptions for the three and six months ended June 30, 2023 and 2022:

 

 

June 30, 2023

 

May 18, 2023
(date issued)

 

Risk-free interest rate

 

4.1%

 

3.7%

 

Expected term (years)

 

4.9

 

 

5.0

 

Expected volatility

 

55%

 

55%

 

Dividends

 

0.0%

 

0.0%