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Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Summary of Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value (in thousands):

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

June 30, 2023

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

 

 

$

 

 

$

10,835

 

 

 

 

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

 

 

Money market funds (1)

 

$

5

 

 

$

 

 

$

 

Warrant liabilities

 

$

 

 

$

 

 

$

3,538

 

 

(1) Included in cash, cash equivalents and restricted cash in the accompanying condensed consolidated balance sheets.

Summary of Inputs and Assumptions used to Determine Fair Value of Warrant Liability At June 30, 2023 and December 31, 2022, the fair value of the warrant liabilities were estimated using the Black-Scholes Model with the following inputs and assumptions:

 

 

 

June 30,
2023

 

 

December 31,
2022

 

Risk-free interest rate

 

4.1% - 4.5%

 

 

4.0%

 

Expected volatility

 

98.9% - 101.8%

 

 

106.2% - 107.1%

 

Stock price

 

$

3.85

 

 

$

3.30

 

Expected life (years)

 

3.0 - 4.9

 

 

3.6 - 5.4

 

Summary of Changes in Warrant Liabilities

A summary of the changes in the warrant liabilities is presented below (in thousands):

 

Balance at December 31, 2022

 

$

3,538

 

Recognition of new warrant liabilities

 

 

9,380

 

Change in fair value of warrant liabilities

 

 

(2,083

)

Balance at June 30, 2023

 

$

10,835