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FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE AND CONCENTRATIONS OF CREDIT RISK | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures [Abstract] |
FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE AND CONCENTRATIONS OF CREDIT RISK | FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE AND CONCENTRATIONS OF CREDIT RISK Financial Instruments Measured at Fair Value and Financial Statement Presentation The accounting guidance establishes a three-tier hierarchy, which prioritizes the inputs used in the valuation methodologies in measuring fair value as of the measurement date as follows: Level 1: Fair values are based on unadjusted quoted prices in active trading markets for identical assets and liabilities. Level 2: Fair values are based on observable quoted prices other than those in Level 1, such as quoted prices for similar assets or liabilities in active markets or quoted prices for identical assets or liabilities in inactive markets. Level 3: Fair values are based on at least one significant unobservable input for the asset or liability. The Company's policy is to recognize transfers between levels of the fair value hierarchy on the date of the event or change in circumstances that caused the transfer. There were no transfers into or out of Level 3 during the nine months ended September 30, 2024, and 2023. Fair Value Measurements and Financial Statement Presentation The Company’s financial instruments measured at fair value and their respective levels in the fair value hierarchy as of September 30, 2024, and December 31, 2023, were as follows:
|  | September 30, 2024 |  | December 31, 2023
|  | Fair Value of Assets |  | Fair Value of Assets
In Thousands |  | Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Money market funds (1) |  | $ | 1,051 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,051 |  |  | $ | 7,015 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,015 |
Total |  | $ | 1,051 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,051 |  |  | $ | 7,015 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,015 |
________________________________________________ (1) Included in cash and cash equivalents on the accompanying condensed consolidated balance sheets.
|  | September 30, 2024 |  | December 31, 2023
|  | Fair Value of Liabilities |  | Fair Value of Liabilities
In Thousands |  | Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Common Warrants |  | $ | — |  |  | $ | — |  |  | $ | 2,661 |  |  | $ | 2,661 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,418 |  |  | $ | 1,418 |
Total |  | $ | — |  |  | $ | — |  |  | $ | 2,661 |  |  | $ | 2,661 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,418 |  |  | $ | 1,418 |
The following table summarizes the Common Warrants activity for the nine months ended September 30, 2024:
In Thousands |  | Level 3 Fair Value of Liabilities
Balance as of December 31, 2023 |  | $ | 1,418 |
Issued |  | 10,151 |
Change in fair value |  | (8,908) |
Balance as of September 30, 2024 |  | $ | 2,661 |
The following table summarizes the Common Warrants activity for the nine months ended September 30, 2023:
In Thousands |  | Level 3 Fair Value of Liabilities
Balance as of December 31, 2022 |  | $ | 291 |
Change in fair value |  | 1,221 |
Balance as of September 30, 2023 |  | $ | 1,512 |
The Company estimates the fair value of the Common Warrants as of the date of issuance and at the end of every reporting period using a Black-Scholes option pricing model, which requires it to make assumptions regarding future stock price volatility and dividend yield. The Company estimates the risk-free interest rate based on the United States Treasury zero-coupon yield curve for the remaining life of the Common Warrants. The Company estimates its future stock price volatility using a weighted average historical volatility which takes into consideration the Company's historical volatility and historical volatility from a group of guideline companies, over the remaining life of the Common Warrants. The Company does not pay dividends and does not expect to pay dividends in the foreseeable future. The assumptions used for the initial valuation of the 2024 Common Warrants consisted of a risk-free interest rate of 4.4 percent, expected volatility of 102.7 percent, and an expected term of five years which resulted in an estimated fair value of $7.82 per 2024 Common Warrant. The estimated fair values of the Common Warrants, and the assumptions used for the Black-Scholes option pricing model were as follows:
| As of September 30, 2024 |  | As of December 31, 2023
Estimated fair value of common warrants per share | $0.49 - $1.99 |  | $ | 8.95 |
Assumptions: |  |  |
Risk-free interest rate | 3.5% - 3.6% |  | 3.9 | %
Expected volatility | 105.1% - 110.4% |  | 100.7 | %
Expected term to liquidation (in years) | 2.9 - 4.7 |  | 3.6
As of September 30, 2024, the Company had no other financial instruments measured at fair value. Concentrations of Credit Risk The Company invests its cash and cash equivalents in highly liquid securities and interest-bearing deposit accounts. The Company diversifies the risk associated with investing in securities by allocating its investments to a diverse portfolio of short-dated, high investment-grade securities, which it classifies as cash and cash equivalents that are recorded at fair value in its condensed consolidated financial statements. The Company maintains the credit risk in this portfolio in accordance with its internal policies and, if necessary, makes changes to investments to minimize credit risk. The Company has not experienced any counterparty credit losses. As of September 30, 2024, and December 31, 2023, the Company did not hold any short-term investments.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: 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 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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