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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures [Abstract] |
Fair Value Measurements | 3. FAIR VALUE MEASUREMENTS The following tables summarize, as of September 30, 2024, the Company’s financial assets and liabilities that are measured at fair value on a recurring basis, according to the fair value hierarchy described in the significant accounting policies in the Company’s audited financial statements as of and for the year ended December 31, 2023, and the notes thereto, which are included in the Annual Report.
|  | As of |
|  | September 30, 2024 |
(in thousands) |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash |  | $ | 13,757 |  |  | $ | — |  |  | $ | — |  |  | $ | 13,757 |
Money market funds |  |  | 85,110 |  |  |  | — |  |  |  | — |  |  |  | 85,110 |
Total cash and cash equivalents |  | $ | 98,867 |  |  | $ | — |  |  | $ | — |  |  | $ | 98,867 |
Total financial assets measured at fair value on a recurring basis |  | $ | 98,867 |  |  | $ | — |  |  | $ | — |  |  | $ | 98,867 |
Warrant liabilities - common warrants |  |  | — |  |  |  | — |  |  |  | 82,377 |  |  |  | 82,377 |
Total financial liabilities measured at fair value on a recurring basis |  | $ | — |  |  | $ | — |  |  | $ | 82,377 |  |  | $ | 82,377 |
The following tables summarize, as of December 31, 2023, the Company’s financial assets and liabilities that are measured at fair value on a recurring basis.
|  | As of |
|  | December 31, 2023 |
(in thousands) |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash |  | $ | 24,887 |  |  | $ | — |  |  | $ | — |  |  | $ | 24,887 |
Money market funds |  |  | 25,011 |  |  |  | — |  |  |  | — |  |  |  | 25,011 |
Total cash and cash equivalents |  | $ | 49,898 |  |  | $ | — |  |  | $ | — |  |  | $ | 49,898 |
Total financial assets measured at fair value on a recurring basis |  | $ | 49,898 |  |  | $ | — |  |  | $ | — |  |  | $ | 49,898 |
Warrant liabilities - common warrants |  |  | — |  |  |  | — |  |  |  | 53,725 |  |  |  | 53,725 |
Total financial liabilities measured at fair value on a recurring basis |  | $ | — |  |  | $ | — |  |  | $ | 53,725 |  |  | $ | 53,725 |
On June 27, 2022, the Company issued 30,000,000 warrants to purchase shares of common stock (the “Common Warrants”) and 10,000,000 pre-funded warrants to purchase common stock (the “Pre-Funded Warrants”) in connection with the June 2022 Offering (see Note 7 for more information on the June 2022 Offering). The Common Warrants were accounted for as liabilities under ASC 815-40, Derivatives and Hedging, Contracts in Entity’s Own Equity (“ASC 815-40”), as these warrants provide for a settlement provision that does not meet the requirements of the indexation guidance under ASC 815-40. The Pre-Funded Warrants were initially recorded at fair value as a liability as the Company could be required to settle the Pre-Funded Warrants in cash under certain circumstances. In December 2022, the Company amended the Pre-Funded Warrants to remove the potential requirement that they could be settled in cash under certain circumstances. Upon the amendment to the Pre-Funded Warrants, the Pre-funded Warrants liability was reclassified to equity, using their fair value as of the amendment date. The Common Warrant liabilities were measured at fair value at inception and are then subsequently measured on a recurring basis, with changes in fair value recognized in other income (expense) within the Company’s statement of operations. The Company uses a Black-Scholes option pricing model to estimate the fair value of the Common and Pre-Funded Warrants, which utilizes certain unobservable inputs and is therefore considered a Level 3 fair value measurement. Certain inputs used in this Black-Scholes pricing model may fluctuate in future periods based upon factors that are outside of the Company’s control, including a potential change in control outside of the Company’s control. A significant change in one or more of these inputs used in the calculation of the fair value may cause a significant change to the fair value of the Company’s warrant liabilities, which could also result in material non-cash gains or losses being reported in the Company’s condensed statement of operations. The Common Warrants were remeasured using a Black-Scholes option pricing model with a range of assumptions included below as of September 30, 2024 and December 31, 2023.
|  | September 30, |  |  | December 31, |
|  | 2024 |  |  | 2023 |
Expected term (in years) |  |  | 2.1 |  |  |  | 2.4 |
Volatility |  |  | 99.92 | % |  |  | 109.46 | %
Risk-free interest rate |  |  | 3.77 | % |  |  | 4.32 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
As of September 30, 2024, the Company utilized a probability-weighted approach that considered the probability of a change in control at the Company in the Black-Scholes option pricing model, whereby a 20% probability of change in control was used for years three and four and a 10% probability was used for year five in the term of the agreements. As of December 31, 2023 the Company utilized a probability-weighted approach that considered the probability of a change in control at the Company in the Black-Scholes option pricing model, whereby a 20% probability of change in control was used for years two and three and a 5% probability was used for years four and five in the term of the agreements. The following table provides a roll forward of the aggregate fair values of the Company’s warrant liability, for which fair value is determined using Level 3 inputs (in thousands):
|  | Warrant Liabilities |
Balance as of January 1, 2024 |  | $ | 53,725 |
Warrants exercised |  |  | (52,193 | )
Change in fair value |  |  | 80,845 |
Balance as of September 30, 2024 |  | $ | 82,377 |
The inputs utilized by management to value the warrant liabilities are highly subjective. The assumptions used in calculating the fair value of the warrant liabilities represent the Company’s best estimates, but these estimates involve inherent uncertainties and the application of management judgment. As a result, if factors change and the Company uses different assumptions, the fair value of the warrant liability for Common Warrants may be materially different in the future.

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- Definition The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/820/tableOfContent + Details
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