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Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2023
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
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

 

December 31, 2023

 

 

 

 

 

 

 

 

 

Derivative liabilities

 

$

 

 

$

 

 

$

22,899

 

Warrant liabilities

 

$

 

 

$

 

 

$

40,834

 

 

 

 

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

 

 

Money market funds (1)

 

$

5

 

 

$

 

 

$

 

Warrant liabilities

 

$

 

 

$

 

 

$

3,538

 

 

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

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

 

 

 

As of December 31,

 

 

2023

 

2022

Risk-free interest rate

 

3.8% - 4.1%

 

4.0%

Expected volatility

 

95.6% - 101.8%

 

106.2% - 107.1%

Stock price

 

$1.35

 

$3.30

Expected life (years)

 

2.5 - 5.0

 

3.6 - 5.4

Summary of Changes in Level 3 Liabilities

A summary of the changes in the Level 3 classified liabilities is presented below (in thousands):

 

 

 

Warrant Liabilities

 

 

Derivative Liabilities

 

Balance at December 31, 2021

 

$

18,731

 

 

$

 

Recognition of new warrant liabilities

 

 

2,990

 

 

 

 

Change in fair value

 

 

(18,183

)

 

 

 

Balance at December 31, 2022

 

$

3,538

 

 

$

 

Recognition of new warrant liabilities

 

 

63,393

 

 

 

 

Recognition of derivative liabilities

 

 

 

 

 

18,984

 

Change in fair value

 

 

(26,097

)

 

 

3,915

 

Balance at December 31, 2023

 

$

40,834

 

 

$

22,899

 

Derivative Liabilities  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Summary of Inputs and Assumptions used to Determine Fair Value of Warrant Liabilities The fair value of the embedded derivatives as of December 31, 2023 was estimated using a binomial pricing model with the following inputs and assumptions:

 

 

 

As of December 31,

 

 

2023

Risk-free interest rate

 

3.8% - 4.3%

Expected volatility

 

84.3% - 95.7%

Stock price

 

$1.35

Discount Rate

 

28.7% - 28.9%