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Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024 and December 31, 2023 (in thousands):

 

 

 

Balance at
March 31,
2024

 

 

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

 

 

Significant
Other
Observable
Inputs
(Level 2)

 

 

Significant
Unobservable
Inputs
(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

3,750

 

 

$

3,750

 

 

$

—

 

 

$

—

 

 

 

$

3,750

 

 

$

3,750

 

 

$

—

 

 

$

—

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

207

 

 

$

—

 

 

$

207

 

 

$

—

 

Derivative liability related to Term Loan with related party

 

 

1,662

 

 

 

—

 

 

 

—

 

 

 

1,662

 

 

 

$

1,869

 

 

$

—

 

 

$

207

 

 

$

1,662

 

 

 

 

Balance at
December 31,
2023

 

 

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

 

 

Significant
Other
Observable
Inputs
(Level 2)

 

 

Significant
Unobservable
Inputs
(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

8,500

 

 

$

8,500

 

 

$

—

 

 

$

—

 

 

$

8,500

 

 

$

8,500

 

 

$

—

 

 

$

—

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

235

 

 

$

—

 

 

$

235

 

 

$

—

 

Derivative liability related to Term Loan with related party

 

 

1,554

 

 

 

—

 

 

 

—

 

 

 

1,554

 

 

$

1,789

 

 

$

—

 

 

$

235

 

 

$

1,554

 

 

The Company’s cash equivalents are comprised of money market funds and money market accounts as of March 31, 2024 and December 31, 2023.
Schedule of Estimated Fair Value of the Warrant Liability

The estimated fair value of the Series A Warrant on March 31, 2024 was determined using the following assumptions:

 

Risk-free interest rate

 

 

4.32

%

Expected dividend yield

 

 

0.00

%

Expected volatility

 

 

144.00

%

Expected term

 

3.88

 

 
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, 2023

 

$

233

 

Change in fair value

 

 

(27

)

Balance on March 31, 2024

 

$

206

 

 
Summary of Contingent Interest Payments

The estimated fair value of the derivative on March 31, 2024 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 (in thousands):

 

Balance on December 31, 2023

 

$

1,554

 

Change in fair value of derivative related to Term Loan with related party

 

 

108

 

Balance on March 31, 2024

 

$

1,662