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Fair Value Measurements
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements

2. Fair Value Measurements

Assets and liabilities measured at fair value on a recurring basis include the following as of March 31, 2025, and December 31, 2024 (in thousands):

 

 

March 31, 2025

 

Assets:

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

Money market funds

$

9,345

 

 

 

—

 

 

 

—

 

 

$

9,345

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

Derivative liability

$

—

 

 

 

—

 

 

 

106,662

 

 

$

106,662

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2024

 

Assets:

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

Money market funds

$

57,006

 

 

 

—

 

 

 

—

 

 

$

57,006

 

 

The Company did not have any transfers of assets and liabilities between the levels of the fair value measurement hierarchy during the periods presented.

Fair Value of Derivative Liability

The fair value of the conversion option derivative liability is estimated using a Monte Carlo simulation. The use of this approach requires the use of Level 3 unobservable inputs. The main inputs when determining the fair value of the conversion option derivative liability are the risk-free rate, expected volatility, expected term, and the Company's stock price. The estimated fair value presented is not necessarily indicative of an amount that could be realized in a current market exchange. The use of alternative inputs and estimation methodologies could have a material effect on these estimates of fair value.

 

The following table presents the assumptions used to value the conversion option derivative liability as of March 31, 2025:

 

 

 

 

 

 

 

March 31,

 

 

 

2025

 

Company's stock price

 

$

10.14

 

Risk-free interest rate

 

 

3.88

%

Expected term (years)

 

 

4.96

 

Volatility

 

 

63.25

%

Fair Value of Long-term Debt

 

The fair value, based on a quoted market price (Level 1), of the Company’s outstanding Senior Convertible Notes due 2026 (the "2026 Notes") was approximately $62.6 million at March 31, 2025, and approximately $299.6 million at December 31, 2024.

 

The fair value, based on a quoted market price (Level 1), of the Company’s outstanding Senior Convertible Notes due 2030 (the "2030 Notes") was approximately $386.1 million at March 31, 2025.