Fair Value Measurements

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurements

3.Fair Value Measurements

The carrying amounts of the Company’s financial instruments, including cash, restricted cash, and accounts payable, approximate fair value due to the short-term nature of those instruments.

Rights from Private Placement

The Company determined that the rights from Private Placement was a derivative asset, which required the asset to be accounted for at fair value. As of March 31, 2024, the Company did not expect the second closing of the Private Placement to occur and as a result, the Company deemed the fair value of the rights from Private Placement to be zero. The Company recorded a loss in the fair value of Private Placement of zero for the three months ended June 30, 2024 and $3.8 million for the six months ended June 30, 2024, which is recorded in other income (expense) in the Statement of Operations.

The fair value as of June 30, 2023 was determined using a Monte Carlo simulation based on the contractual funding date of July 25, 2023, minimum contractual purchase price of $3.18 and historical stock prices. The significant unobservable inputs used in the fair value measurement as of June 30, 2023 were as follows: volatility of 73%, risk-free interest rate of 5.11% and funding probability of 75%, which resulted in a change in fair value of $1.2 million for the three and six months ended June 30, 2023, which is recorded in other income (expense) in the Statement of Operations. The fair value measurement as of June 30, 2023 was approximately $3.5 million.

The following table provides a summary of the changes in the fair value of the rights from Private Placement measured using Level 3 inputs:

	Six Months Ended June 30,
	2024			2023
	(in thousands)
Balance at beginning of period	$	3,832		$	2,250
Change in fair value of rights from Private Placement		(3,832	)		1,221
Balance at end of period	$	—		$	3,471

2020 Notes

The Company elected the fair value option to account for the 2020 notes (as defined below) (see Note 5).

During 2024, the Company did not obtain an independent valuation of the 2020 notes as they matured on July 31, 2024 and the fair value approximates the principal amount.

The 2020 notes were valued using a discounted cash flow model based on the contractual payment dates, a discount rate and the contractual maturity date. The significant unobservable inputs used in the fair value measurement of the 2020 notes as of June 30, 2023 were as follows: discount rate of 14.0% and contractual payment date of 1.0 year, which resulted in a fair value for the 2020 notes of $232,000.

The following table provides a summary of the changes in the fair value of the 2020 notes payable measured using Level 3 inputs:

	Six Months Ended June 30,
	2024		2023
	(in thousands)
Balance at beginning of period	$	241	$	219
Change in fair value of 2020 notes		9		13
Balance at end of period	$	250	$	232