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FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE AND CONCENTRATIONS OF CREDIT RISK
 9 Months Ended
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, 2024December 31, 2023
 Fair Value of AssetsFair Value of Assets
In ThousandsLevel 1Level 2Level 3TotalLevel 1Level 2Level 3Total
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, 2024December 31, 2023
Fair Value of LiabilitiesFair Value of Liabilities
In ThousandsLevel 1Level 2Level 3TotalLevel 1Level 2Level 3Total
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 ThousandsLevel 3 Fair Value of Liabilities
Balance as of December 31, 2023$1,418 
Issued10,151 
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 ThousandsLevel 3 Fair Value of Liabilities
Balance as of December 31, 2022$291 
Change in fair value1,221 
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, 2024As 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.