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Fair Value of Financial Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2024

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value

The following tables present information about the Company’s financial assets and liabilities measured at fair value on a recurring basis and indicate the level of the fair value hierarchy used to determine such fair values:

			Fair Value Measurements as of March 31, 2024 Using:
(in thousands)			Level 1						Level 2						Level 3						Total
Assets:
Cash equivalents—money market funds and U.S. Treasury bills			$	52,483					$	—					$	—					$	52,483
Marketable securities— U.S. Treasury notes, U.S. Treasury bills, and federal government agency notes			—						20,376						—						20,376
			$	52,483					$	20,376					$	—					$	72,859
Liabilities:
Embedded derivative liability			$	—					$	—					$	10					$	10
Class C warrant liability (Note 10)			—						—						29,438						29,438
			$	—					$	—					$	29,448					$	29,448

			Fair Value Measurements as of December 31, 2023 Using:
(in thousands)			Level 1						Level 2						Level 3						Total
Assets:
Cash equivalents—money market funds and U.S. Treasury bills			$	76,856					$	4,985					$	—					$	81,841
Marketable securities—U.S. Treasury notes, U.S. Treasury bills, and federal government agency notes			—						15,000						—						15,000
			$	76,856					$	19,985					$	—					$	96,841
Liabilities:
Embedded derivative liability			$	—					$	—					$	10					$	10
Class C warrant liability			—						—						15,683						15,683
			$	—					$	—					$	15,693					$	15,693

Debt Securities, Available-for-Sale

(in thousands)			Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
U.S. Treasury securities			$	4,173					$	—					$	2					$	4,171
Federal Government Agency Securities			16,239						—						34						16,205
Total available-For-sale debt securities			$	20,412					$	—					$	36					$	20,376

Summary of Aggregate Fair Values of Warrant Liability and Derivative Liability

The following table provides a roll-forward of the aggregate fair values financial instruments for which fair values are determined using Level 3 inputs:

(in thousands)			Embedded Derivative Liability						Class C Warrant Liability						Total
Balance as of December 31, 2023			$	10					$	15,683					$	15,693
Change in fair value			—						13,755						13,755
Balance as of March 31, 2024			$	10					$	29,438					$	29,448

Schedule of Share-based Payment Award, Stock Options, Valuation Assumptions

						March 31, 2024						December 31, 2023
Common stock price						$1.39						$0.84
Risk-free interest rate						4.3		%				3.9		%
Expected term (in years)						3.7						3.9
Expected volatility						96.1		%				96.2		%
Expected dividend yield						—		%				—		%

X

- Definition

Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale).

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