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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of Financial Assets and Liabilities at Fair value on a Recurring Basis

The Company measures the following financial assets at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during any of the periods presented. The following tables set forth the Company’s financial assets and liabilities carried at fair value categorized using the lowest level of input applicable to each financial instrument as of September 30, 2023 and December 31, 2022 (in thousands):

 

 

 

Balance at
September 30,
2023

 

 

Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)

 

 

Significant
Other
Observable
Inputs
(Level 2)

 

 

Significant
Unobservable
Inputs
(Level 3)

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

1,168

 

 

$

—

 

 

$

1,168

 

 

$

—

 

Derivative liability related to Term Loan

 

 

652

 

 

 

—

 

 

 

—

 

 

 

652

 

 

 

$

1,820

 

 

$

—

 

 

$

1,168

 

 

$

652

 

 

 

 

Balance at
December 31,
2022

 

 

Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)

 

 

Significant
Other
Observable
Inputs
(Level 2)

 

 

Significant
Unobservable
Inputs
(Level 3)

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

39

 

 

$

—

 

 

$

39

 

 

$

—

 

Derivative liability related to Term Loan

 

 

1,088

 

 

 

—

 

 

 

—

 

 

 

1,088

 

 

$

1,127

 

 

$

—

 

 

$

39

 

 

$

1,088

 

 
Schedule of Estimated Fair Value of the Warrant Liability

The estimated fair value of the Series A Warrant on September 30, 2023 was determined using the following assumptions:

 

Risk-free interest rate

 

 

4.66

%

Expected dividend yield

 

 

0.00

%

Expected volatility

 

 

146.00

%

Expected term

 

4.38

 

 
Schedule of Roll-forward of Fair Value of Common Stock Warrants

The following table provides a roll-forward of the fair value of the Common Stock Warrants (in thousands):

 

Balance on December 31, 2022

 

$

—

 

Issuance of Common Stock Warrant

 

 

7,568

 

Settlement due to cashless exercise

 

 

(938

)

Change in fair value

 

 

1,326

 

Balance on March 31, 2023

 

$

7,956

 

Issuance of Common Stock Warrant

 

 

—

 

Settlement due to cashless exercise

 

 

(510

)

Change in fair value

 

 

(7,178

)

Balance on June 30, 2023

 

$

268

 

Issuance of Common Stock Warrant

 

 

—

 

Settlement due to cashless exercise

 

 

(32

)

Change in fair value

 

 

924

 

Balance on September 30, 2023

 

$

1,160

 

 
Summary of Contingent Interest Payments

The estimated fair value of the derivative on September 30, 2023 was determined using a probability-weighted discounted cash flow model that includes contingent interest payments under the following scenarios:

 

 

 

Probability

 

4% contingent interest beginning in Q2 2024

 

 

50

%
Roll-Forward of Fair Value of Derivative Liability related to Term Loan

The following table provides a roll-forward of the fair value of the derivative liability related to the Term Loan (in thousands):

 

Balance on December 31, 2022

 

$

1,088

 

Change in fair value of derivative related to Term Loan

 

 

770

 

Balance on March 31, 2023

 

$

1,858

 

Change in fair value of derivative related to Term Loan

 

 

(1,022

)

Balance on June 30, 2023

 

$

836

 

Change in fair value of derivative related to Term Loan

 

 

(184

)

Balance on September 30, 2023

 

$

652