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Fair Value of Measurements (Tables) | 9 Months Ended
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Sep. 30, 2024
Fair Value of Measurements |
Schedule of Financial Instruments are Measured at Fair Value on a Recurring Basis | The following financial instruments are measured at fair value on a recurring basis (in thousands):
|  | September 30, 2024 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Convertible promissory notes |  | $ | — |  |  | $ | — |  |  | $ | 8,838 |  |  |  | 8,838 |
Warrant liabilities |  |  | — |  |  |  | — |  |  |  | 3,197 |  |  |  | 3,197 |
Common stock forward liability |  |  | — |  |  |  | — |  |  |  | 451 |  |  |  | 451 |
|  | December 31, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Convertible promissory notes |  | $ | — |  |  | $ | — |  |  | $ | 34,033 |  |  | $ | 34,033 |
Schedule of Valuation Techniques and Inputs Used in the Fair Value Measurement | The table below presents valuation techniques and inputs used in the fair value measurement categorized within Level 3 of the fair value hierarchy (in thousands):
|  | Valuation techniques |  | Inputs |  | September 30, 2024 |  |  | December 31, 2023 |
Convertible promissory notes, current |  | Discounted Cash Flow Model (“DCF”) |  | Discount rate, risk-free rate, credit spread, contractual cash flows |  | $ | 4,008 |  |  | $ | — |
|  | PWERM |  | Scenario of initial public offering (“IPO”) and merger and acquisition (“M&A”) |  |  | — |  |  |  | 27,794 |
Common stock forward liability |  | DCF |  | Various utilization scenarios, risk-free rate, remaining term |  |  | 451 |  |  |  | — |
Convertible promissory notes, net of current |  | Binomial Lattice Model (“BLM”) |  | Stock price, volatility, remaining term, risk-free rate, credit spread |  |  | 4,830 |  |  |  | — |
|  | PWERM |  | Scenario of initial public offering (“IPO”) and merger and acquisition (“M&A”) |  |  | — |  |  |  | 6,239 |
Warrant liabilities |  | Black Scholes Merton Model (“BSM”) or BLM |  | Exercise price, term to expiration, volatility, risk-free rate |  |  | 3,197 |  |  |  | — |
Schedule of Changes in the Fair Value of the Company's Level 3 Financial Liabilities | The following table sets forth a summary of the changes in the fair value of the convertible promissory notes (in thousands):
As of December 31, 2023 |  | $ | 34,033 |
Conversion |  |  | (41,209 | )
Borrowing |  |  | 16,290 |
Change in fair value |  |  | 1,203 |
As of March 31, 2024 |  |  | 10,317 |
Repayment |  |  | (630 | )
Change in fair value |  |  | (14 | )
As of June 30, 2024 |  |  | 9,673 |
Repayment |  |  | (1,000 | )
Change in fair value |  |  | 165 |
As of September 30, 2024 |  | $ | 8,838 |
The following table sets forth a summary of the changes in the fair value of the warrant liabilities (in thousands):
As of December 31, 2023 |  | $ | — |
Fair value of warrants assumed at Closing |  |  | 5,958 |
Change in fair value |  |  | 4,626 |
As of March 31, 2024 |  |  | 10,584 |
Change in fair value |  |  | (6,628 | )
As of June 30, 2024 |  |  | 3,956 |
Change in fair value |  |  | (759 | )
As of September 30, 2024 |  | $ | 3,197 |
The following table sets forth a summary of the changes in the fair value of the common stock forward liability (in thousands):
As of March 31, 2024 |  | $ | — |
Loss from initial recognition |  |  | 586 |
Settlement in equity |  |  | (51 | )
As of June 30, 2024 |  |  | 535 |
Settlement in equity |  |  | (84 | )
As of September 30, 2024 |  | $ | 451 |

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- Definition Tabular disclosure of financial instrument measured at fair value on recurring or nonrecurring basis. Includes, but is not limited to, instrument classified in shareholders' equity. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -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 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-3 + Details
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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://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 103 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-103 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(2) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -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://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-3 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
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