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Fair Value Measurement (Tables) | 3 Months Ended
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Mar. 31, 2024
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Financial Assets Measured on a Recurring Basis | The following tables present the Company's fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2024, and December 31, 2023:
| March 31, 2024
(in thousands) | (Level 1) |  | (Level 2) |  | (Level 3) |  | Total
Assets: |  |  |  |  |  |  |
Money market funds | $ | 8,835 |  |  | $ | — |  |  | $ | — |  |  | $ | 8,835 |
U.S. government securities | 1,921 |  |  | — |  |  | — |  |  | 1,921 |
Total assets | $ | 10,756 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,756 |
Liabilities: |  |  |  |  |  |  |
Debt derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 2,922 |  |  | $ | 2,922 |
Total liabilities | $ | — |  |  | $ | — |  |  | $ | 2,922 |  |  | $ | 2,922 |
| December 31, 2023
(in thousands) | (Level 1) |  | (Level 2) |  | (Level 3) |  | Total
Assets: |  |  |  |  |  |  |
Money market funds | $ | 24,977 |  |  | $ | — |  |  | $ | — |  |  | $ | 24,977 |
Total assets | $ | 24,977 |  |  | $ | — |  |  | $ | — |  |  | $ | 24,977 |
Liabilities: |  |  |  |  |  |  |
Debt derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 2,987 |  |  | $ | 2,987 |
Total liabilities | $ | — |  |  | $ | — |  |  | $ | 2,987 |  |  | $ | 2,987 |
Schedule of Fair Value Instruments Classified Level 3 | The changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended March 31, 2024 were as follows (in thousands):
Three Months Ended March 31, 2024 |  |
Balance, December 31, 2023 |  | $ | 2,987 |
Change in fair value included in net loss |  | (65) |
Balance, March 31, 2024 |  | $ | 2,922 |
Schedule of Significant Inputs in Liability Valuation | The significant inputs that are included in the valuation of the debt derivative liability - first tranche include:
| March 31, 2024 |  | December 31, 2023 |
Input |  |  |  |
Remaining term (years) | 3.25 years |  | 3.5 years |
Maturity date | June 30, 2027 |  | June 30, 2027 |
Coupon rate | 9.5% - 13.16% |  | 9.5% - 13.2% |
Revenue participation payments | Maximum each year |  | Maximum each year |
Discount rate | 12.24% |  | (1) | 12.06% |  | (1)
Probability of mandatory prepayment 2024 or after | 15.0 | % | (1) | 15.0 | % | (1)
Estimated timing of mandatory prepayment event 2024 or after | March 31, 2026 | (1) | March 31, 2026 | (1)
Probability of optional prepayment event | 5.0 | % | (1) | 5.0 | % | (1)
Estimated timing of optional prepayment event | December 31, 2025 | (1) | December 31, 2025 | (1)
Probability of note held-to-maturity(2) | 80.0% |  | (1) | 80.0% |  | (1)
(1)Represents a significant unobservable input (2) See Maturity date in table. The significant inputs that are included in the valuation of the debt derivative liability - second tranche include:
| March 31, 2024 |  | December 31, 2023 |
Input |  |  |  |
Remaining term (years) | 4.25 years |  | 4.5 years |
Maturity date | June 30, 2028 |  | June 30, 2028 |
Coupon rate | 9.5% - 13.16% |  | 9.5% - 13.2% |
Revenue participation payments | Maximum each year |  | Maximum each year |
Discount rate | 15.49 | % | (1) | 15.60 | % | (1)
Probability of mandatory prepayment 2024 or after | 15.0% |  | (1) | 15.0% |  | (1)
Estimated timing of mandatory prepayment event 2024 or after | March 31, 2026 | (1) | March 31, 2026 | (1)
Probability of optional prepayment event | 5.0% |  | (1) | 5.0% |  | (1)
Estimated timing of optional prepayment event | December 31, 2025 | (1) | December 31, 2025 | (1)
Probability of held-to-maturity(2) | 80.0% |  |  | 80.0% |  |
(1)Represents a significant unobservable input (2)See Maturity date in table.

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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- Definition Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-3 + Details
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