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Fair Value of Measurements (Tables)

9 Months Ended

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

X

- 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
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-Name Accounting Standards Codification
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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

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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

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-Topic 820
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