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Fair Value Measurements
 9 Months Ended
Sep. 30, 2024
Fair Value Measurements  
Fair Value Measurements

Note 6 – Fair Value Measurements

The Company considers all highly liquid instruments with original maturities of less than 90 days to be cash equivalents. The carrying amounts of certain financial instruments, such as cash equivalents, short-term investments, accounts receivable, accounts payable, and accrued liabilities, approximate fair value due to their relatively short maturities.

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that a reporting entity can access at the measurement date. Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Level 3 inputs are unobservable inputs for assets or liabilities.

Assets and Liabilities Measured and Recorded at Fair Value on a Recurring Basis

As of September 30, 2024 and December 31, 2023, the Company’s financial assets and liabilities measured and recorded at fair value on a recurring basis were classified within the fair value hierarchy as follows:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

September 30, 2024

​

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets

​

​

​

​

​

​

​

​

​

​

​

​

Commercial Paper

​

$

44,464

​

$

—

​

$

—

​

$

44,464

Corporate Bonds

​

$

216,075

​

$

—

​

$

—

​

$

216,075

Government Bonds

​

$

32,618

​

$

—

​

$

—

​

$

32,618

U.S. Treasuries

 

$

16,946

​

$

—

​

$

—

 

$

16,946

​

​

​

​

​

​

​

​

​

​

​

​

​

Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

Public Warrants

​

$

1,450

​

$

—

​

$

—

​

$

1,450

Private Placement Warrants

​

$

—

​

$

984

​

$

—

​

$

984

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2023

​

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets

​

​

​

​

​

​

​

​

​

​

​

​

Commercial Paper

​

$

84,909

​

$

—

​

$

—

​

$

84,909

Corporate Bonds

​

$

239,473

​

$

—

​

$

—

​

$

239,473

Government Bonds

​

$

56,689

​

$

—

​

$

—

​

$

56,689

​

​

​

​

​

​

​

​

​

​

​

​

​

Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

Public Warrants

​

$

2,505

​

$

—

​

$

—

​

$

2,505

Private Placement Warrants

​

$

—

​

$

1,722

​

$

—

​

$

1,722

​

The change in fair value of the Company’s marketable securities and investments are included in other comprehensive income (loss). There were no transfers in and out of Level 3 fair value hierarchy during the three or nine months ended September 30, 2024 or year ended December 31, 2023. During the nine months ended September 30, 2024, the Company purchased $174,040 of marketable securities and investments.

Fair Value of Warrants

The fair value of the Private Placement Warrants has been estimated using a Black-Scholes model as of September 30, 2024 and December 31, 2023 Consolidated Balance Sheet dates. The estimated fair value of the Private Placement Warrants is determined using Level 2 directly or indirectly observable inputs. Inherent in a Black-Scholes model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate, and dividend yield. Material increases (or decreases) in any of those inputs may result in a significantly higher (or lower) fair value measurement. The Company estimates the volatility of its Private Placement Warrants based on implied volatility from the Company’s Public Warrants and from historical volatility of the Company’s common stock. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve for a maturity similar to the expected remaining life of the Warrants. The dividend yield is based on the historical rate, which the Company anticipates remaining at zero. The fair value of the Public Warrants has been measured based on the quoted price of such warrants on the Nasdaq Stock Market, a Level 1 input.

The following table provides quantitative information regarding Level 2 inputs used in the recurring valuation of the Private Placement Warrants as of their measurement dates:

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​

​

​

​

​

​

​

​

​

    

September 30, 2024

    

December 31, 2023

 

Exercise price

​

$

11.50

​

$

11.50

​

Stock price

​

$

1.35

​

$

1.45

​

Volatility

​

 

99.0

%  

 

95.0

%

Term (in years)

​

 

2.19

​

 

2.94

​

Risk-free rate

​

 

3.58

%  

 

3.94

%

​

The following table provides a rollforward of the Public Warrants measured at fair value per Public Warrant using Level 1 inputs and Private Placement Warrants measured at fair value per Private Placement Warrant using Level 2 inputs:

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​

​

​

​

​

​

​

​

​

Public Warrants

​

Private Placement Warrants

​

    

Level 1 Fair Value

    

Level 2 Fair Value

December 31, 2023

​

$

0.19

​

$

0.28

Change in fair value

​

$

0.01

​

$

0.06

March 31, 2024

​

$

0.20

​

$

0.34

Change in fair value

​

$

(0.03)

​

$

(0.05)

June 30, 2024

​

$

0.17

​

$

0.29

Change in fair value

​

$

(0.06)

​

$

(0.13)

September 30, 2024

​

$

0.11

​

$

0.16

​

The following tables provides a reconciliation of the change in fair value for the Public Warrants and Private Placement Warrants for the three months ended September 30, 2024:

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Change in

​

​

Warrant Class

    

Level

    

Warrants

    

June 30, 2024

    

Fair Value

    

September 30, 2024

Public Warrants

 

1

 

13,182,501

​

$

2,241

​

$

(791)

​

$

1,450

Private Placement Warrants

 

2

 

6,150,802

​

$

1,784

​

$

(800)

​

$

984

Total

 

  

 

19,333,303

​

$

4,025

​

$

(1,591)

​

$

2,434

​

The following tables provides a reconciliation of the change in fair value for the Public Warrants and Private Placement Warrants for the nine months ended September 30, 2024:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Nine Months Change in

​

​

Warrant Class

    

Level

    

Warrants

    

December 31, 2023

    

Fair Value

    

September 30, 2024

Public Warrants

 

1

 

13,182,501

​

$

2,505

​

$

(1,055)

​

$

1,450

Private Placement Warrants

 

2

 

6,150,802

​

$

1,722

​

$

(738)

​

$

984

Total

 

  

 

19,333,303

​

$

4,227

​

$

(1,793)

​

$

2,434

​