Fair Value Measurements

12 Months Ended

Dec. 31, 2024

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 6 – Debt). The fair value of that liability was zero as of both December 31, 2024 and 2023. The interest make-whole payment derivative liability is a Level 3 instrument. No transfers between levels occurred during the years ended December 31, 2024 and 2023.

The fair value of the interest make-whole payment derivative liability was determined using a Monte Carlo model with the following key assumptions:


	December 31, 2024		December 31, 2023
Volatility	93	%	77	%
Stock price	$10.26 per share		$2.20 per share
Credit spread	14.00	%	92.20	%
Term	0.34 years		1.34 years
Dividend yield	—	%	—	%
Risk-free rate	4.33	%	4.60	%

The estimated fair value of the interest make-whole derivative liability at December 31, 2024 and 2023 was determined using assumptions which include an implied credit spread rate for notes with a similar term, the expected volatility and dividend yield of the Company’s common stock and the risk-free interest rate.

During the years ended December 31, 2024 and 2023, there were no conversions of the 3.25% convertible senior notes due 2025 (the “2025 Convertible Notes”) into shares of the Company’s common stock.

During the years ended December 31, 2024 and 2023, there were no changes in the fair value of the interest make-whole liability.

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 2029 Senior Secured Notes and 2025 Convertible Notes. The 2029 Senior Secured Notes and 2025 Convertible Notes are carried at amortized cost, with the 2025 Convertible notes being adjusted for changes in fair value of the embedded interest make-whole payment derivative.

As detailed in Note 6 – Debt below, the 2029 Senior Secured Notes were initially recorded upon issuance at fair value. The fair value of the 2029 Senior Secured Notes was determined based on a discounted cash flow model, which represents a Level 3 measurement. The fair value was estimated using probability-weighted scenarios which include assumptions that are highly subjective and required judgment regarding significant matters, such as the timing of redemption, amount and timing of future cash flows and an adjusted market yield of 8.35%. The use of different assumptions could have a material effect on the fair value estimates.

Also detailed below in Note 6 – Debt, the Short-Term Loan (defined below) was initially recorded at an amount equal to the allocated gross proceeds of the loan based on the relative fair values of the Short-Term Loan and the Short-Term Loan Warrants (defined below) issued in connection with the loan. The fair value of the Short-Term Loan used to allocate the gross proceeds was determined using a discounted cash flow model based on assumptions such as the amount and timing of the future cash flows and an estimated market yield of 27.57%, which represents a Level 3 measurement.

Throughout the year ended December 31, 2024, the Company issued common stock warrants, including the Short-Term Loan Warrants, in connection with various debt restructuring arrangements, as discussed further in Note 6 – Debt. The warrants expire four years from their respective dates of issuance and are exercisable on a cash basis at any time before their expiration dates. The warrants are subject to adjustment for stock splits, reverse stock splits, stock dividends and similar transactions and contain customary registration rights with respect to the shares of common stock issuable upon exercise of the warrants. The warrants were issued with exercise prices ranging from $11.03 to $15.77. The warrants had a total grant date fair value of $30.8 million and were exercisable at issuance.

The common stock warrants were initially valued using a Black-Scholes option-pricing model, which represents a Level 3 measurement. The following table provides weighted-average quantitative information, based on the relative number of warrants issued, regarding inputs used in the Black-Scholes option-pricing model to determine the fair value of the warrants at their respective issuance dates:


	Year Ended December 31,
	2024
Exercise price	$12.59
Expected dividend yield:	—	%
Risk-free interest rate:	4.2	%
Volatility:	95.1	%
Expected term (in years):	4.0