XML 20 R9.htm IDEA: XBRL DOCUMENT v3.24.2.u1
Fair Value Measurements
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The Company’s only financial instrument measured at fair value on a recurring basis is its interest make-whole payment derivative liability on its 2025 Convertible Notes (see Note 4 – Debt). The fair value of that liability was zero as of both June 30, 2024 and December 31, 2023.
The fair value of the interest make-whole payment derivative liability was determined using a Monte Carlo model using the following key assumptions:
June 30, 2024December 31, 2023
Volatility98.50 %77.00 %
Stock price
$10.66 per share
$2.20 per share
Credit spread107.58 %92.20 %
Term0.84 years1.34 years
Dividend yield— %— %
Risk-free rate5.17 %4.60 %

There was no change in the fair value of the interest make-whole liability for the three and six months ended June 30, 2024 or June 30, 2023.

Other Financial Instruments
The carrying values of the Company’s other financial assets and liabilities approximate their fair values because of their short-term nature, with the exception of the 2025 Convertible Notes. The 2025 Convertible Notes are carried at amortized cost, adjusted for changes in the fair value of the embedded derivative.