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Fair Value Measurements
9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The following tables present the Company's financial assets and liabilities measured at fair value on a recurring basis and their assigned levels within the fair value hierarchy (in thousands):
September 30, 2023
Level 1Level 2Level 3Total
Money market funds(1)
$16,302 $— $— $16,302 
Total assets
$16,302 $— $— $16,302 
Warrant liabilities$— $— $26 $26 
Total liabilities
$— $— $26 $26 
December 31, 2022
Level 1 Level 2Level 3Total
Money market funds(1)
$5,340 $— $— $5,340 
Total assets
$5,340 $— $— $5,340 
_________________
(1) Included in cash, cash equivalents, and restricted cash on the condensed consolidated balance sheets. This balance includes cash requirements settled on a nightly basis.
There were no transfers made among the three levels in the fair value hierarchy during periods presented.
As part of the Merger transaction, Former Elicio adopted Angion’s warrant liabilities. The following table presents a summary of changes in Level 3 in the fair value of the Company’s common stock warrant liability (in thousands):
September 30,
2023
December 31,
2022
Balance, beginning of the period$— $— 
Existing Angion Warrant Liability— 
Change in fair value17 — 
Balance, end of the period$26 $— 
Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with assets and liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long-dated volatilities) inputs.
The fair value of the warrants issued by the Company has been estimated using a variant of Black-Scholes. The underlying equity included in Black-Scholes was valued based on the equity value implied from sales of preferred and common stock at each measurement date. The fair value of the warrants was impacted by the model selected as well as assumptions surrounding unobservable inputs including the underlying equity value, expected volatility of the underlying equity, risk free interest rate, and the expected term.
The Company records the change in the fair value of common stock warrants in change in fair value of warrant liability in the condensed consolidated statements of operations.
The fair value of the common stock warrant liability was estimated using the following assumptions:
September 30,
2023
June 1,
2023
Weighted average strike price
$76.00$76.00
Contractual term (years)
4.95.2
Volatility (annual)
153.2%100.0%
Risk-free rate
4.6%3.9%
Dividend yield (per share)
0.0%0.0%