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Fair Value Measurements
 9 Months Ended
Sep. 30, 2024
Fair Value Measurements  
Fair Value Measurements

Note 14. Fair Value Measurements

The Company groups its assets and liabilities measured at fair value in three levels based on the nature of the inputs and assumptions used to determine fair value. Refer to Note 3, Summary of Significant Accounting Policies, for additional information on the accounting policies related to fair value.

The carrying amounts of cash and cash equivalents, accounts receivable, net, and accounts payable approximate fair value due to the short-term nature of these instruments. As of September 30, 2024 and December 31, 2023, the Company had $36,672 and $64,860, respectively, primarily in money market funds that hold U.S. government cash equivalent instruments (included in cash and cash equivalents) which were valued based on Level 1 inputs. There were no transfers between levels within the hierarchy during the three and nine months ended September 30, 2024 and the year ended December 31, 2023.

Derivative liabilities measured at fair value on a recurring basis are summarized below.

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Nine months ended

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September 30, 2024

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Fair Value

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Level 1

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Level 2

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Level 3

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Total

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Derivative liability - Equity Investment Right

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$

1,311

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$

—

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$

—

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$

1,311

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$

1,311

Derivative liability - OnkosXcel Warrants

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121

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—

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—

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121

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121

Derivative liability - BTI Warrants

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2,935

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2,935

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—

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2,935

Total derivative liabilities

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$

4,367

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$

—

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$

2,935

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$

1,432

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$

4,367

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Derivative liabilities are comprised of the OnkosXcel Warrants, Equity Investment Right held by the Lenders, and BTI Warrants. The fair value of the derivative liabilities was determined using Monte Carlo simulation models for the Equity Investment Right, Binomial Option Pricing and Distribution models for the OnkosXcel Warrants, and using a Black Scholes model for the BTI Warrants.

The following table presents changes in Level 3 liabilities measured at fair value for the nine months ended September 30, 2024. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.

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Nine months ended

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September 30, 

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2024

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2023

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Derivative liabilities, Balance - January 1

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$

1,905

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$

2,343

Change in fair value

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(473)

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(316)

Derivative liabilities, Balance - September 30

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$

1,432

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$

2,027

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The change in fair value of the derivative liabilities was reported in the Condensed Consolidated Statements of Operations as Other (income) expense, net, for the three and nine months ended September 30, 2024.

Inputs used to calculate the estimated fair value of the Equity Investment Right at September 30, 2024 were as follows:

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Equity Investment Right

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Strike price relative to volume weighted 30-day average

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110.0

%

Volatility (annual)

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112.3

%

Probability of exercise

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91.0

%

Time period

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1.4

years

Estimated premium to 30-day average

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25.0

%

Discount rate

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3.9

%

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In estimating the fair value of the derivative liability related to the OnkosXcel Warrants, inputs included third-party fair value estimates of OnkosXcel limited liability company units along with the volatility of those units (which was set at 110% based on the historical volatility of the Company’s stock), and the timing and probability of the relevant capital transactions occurring.

The estimated fair value of the Credit Agreement as of September 30, 2024 and December 31, 2023 was $93,533 and $88,210, respectively. Both observable and unobservable inputs were used to determine the fair value of long-term debt, which was classified within the Level 3 category.

The fair value of the 2024 Warrants, which is a non-recurring fair value, was determined as of the date of issuance using a Black-Scholes pricing model and the fair value of $224 was recorded as a component of stockholders’ equity in Additional-paid-in-capital in the Condensed Consolidated Balance Sheets, with the offset recorded as a discount on the

amounts funded under the Credit Agreement. This non-recurring measurement is classified as Level 2. The inputs used were a strike price of $3.0723, the Company’s stock price of $2.78, volatility of 112.2%, term of 5.1 years and risk-free rate of 4.25%.

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The fair value of the 2023 Warrants, which is a non-recurring fair value, was determined as of the date of issuance using a Black-Scholes pricing model and the fair value of $200 was recorded as a component of stockholders’ equity in Additional-paid-in-capital in the Condensed Consolidated Balance Sheets, with the offset recorded as a discount on the amounts funded under the Credit Agreement. This non-recurring measurement is classified as Level 2. The inputs used were a strike price of $3.6452, the Company’s stock price of $3.71, volatility of 99%, term of 5.4 years and risk-free rate of 4.14%.

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The fair value of the Original Warrants, which was a non-recurring fair value, was determined as of the date of issuance using a Black-Scholes pricing model and the fair value of $3,245 was recorded as a component of stockholders’ equity in Additional-paid-in-capital in the Condensed Consolidated Balance Sheets, with the offset recorded as a discount on the amounts funded under the OFA Facilities. This non-recurring measurement is classified as Level 2. The inputs used were a strike price of $20.04, the Company’s stock price of $14.93, volatility of 95%, term of 7 years and risk-free rate of 2.95%. As discussed in Note 9, Debt and Credit Facilities, in connection with the closing of the Second Amendment of the Credit Agreement, on the Second Amendment Effective Date, the Company amended and restated the Original Warrants granted to the Lenders to have an exercise price of $3.6452 per share.

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The fair value of the Accompanying Warrants at issuance on March 25, 2024 was determined using a Black-Scholes pricing model and the fair value of $19,347 was recorded as a derivative liability with the offset recorded as a component of stockholders’ equity in Additional-paid-in-capital in the Condensed Consolidated Balance Sheets. This fair value measurement is classified as Level 2. The valuation inputs used were a strike price of $3.20, the Company’s stock price of $2.81, volatility of 112.2%, a term of 5 years and a risk-free rate of 4.2%. We remeasured the fair value at September 30, 2024 of $2,935 and recorded an unrealized gain of $4,691 and $16,412 for the three and nine months ended September 30, 2024, respectively within Other (income) expense, net in the Company’s Condensed Consolidated Statements of Operations. The valuation inputs used as of September 30, 2024 were a strike price of $3.20, the Company’s stock price of $0.61, volatility of 112.3%, term of 4.5 years and risk-free rate of 3.6%.