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Fair Value Measurements | 3 Months Ended
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Mar. 31, 2025
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Note 4. Fair Value Measurements Assets and Liabilities Measured at Fair Value on a Recurring Basis The following table presents information about the Company’s financial liabilities measured at fair value on a recurring basis and indicates the level of the fair value hierarchy used to determine such values:
|  | March 31, 2025 |
(In thousands) |  | Total |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Warrant liability - November 2022 Peak Warrants |  | $ | 95 |  |  | $ | — |  |  | $ | — |  |  | $ | 95 |
Warrant liability - April 2023 Peak Warrants |  |  | 760 |  |  |  | — |  |  |  | — |  |  |  | 760 |
Warrant liability - September 2022 Series B |  |  | 211 |  |  |  | — |  |  |  | — |  |  |  | 211 |
Total liabilities |  | $ | 1,066 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,066 |
|  | December 31, 2024 |
(In thousands) |  | Total |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Warrant liability - November 2022 Peak Warrants |  | $ | 95 |  |  | $ | — |  |  | $ | — |  |  | $ | 95 |
Warrant liability - April 2023 Peak Warrants |  |  | 736 |  |  |  | — |  |  |  | — |  |  |  | 736 |
Warrant liability - September 2022 Series B |  |  | 181 |  |  |  | — |  |  |  | — |  |  |  | 181 |
Total liabilities |  | $ | 1,012 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,012 |
The Company’s Level 3 liabilities consist of the September 2022 Warrants, the November 2022 Peak Warrants and the April 2023 Peak Warrants, which were determined to be liability-classified instruments. There were no transfers between Level 1, Level 2, and Level 3 during the three months ended March 31, 2025 and the year ended December 31, 2024. Changes in Level 3 Liabilities Measured at Fair Value on a Recurring Basis The following table summarizes the activity in the warrant liabilities measured at fair value on a recurring basis using unobservable inputs (Level 3) during the three months ended March 31, 2025:
|  | Warrant Liability |  |  |  |
(In thousands) |  | September 2022 Series B Warrants |  |  | November 2022 Warrants |  |  | April 2023 Warrants |  |  | Total |
Balance, December 31, 2024 |  | $ | 181 |  |  | $ | 95 |  |  | $ | 736 |  |  | $ | 1,012 |
Change in the fair value of liability |  |  | 30 |  |  |  | — |  |  |  | 24 |  |  |  | 54 |
Balance, March 31, 2025 |  | $ | 211 |  |  | $ | 95 |  |  | $ | 760 |  |  | $ | 1,066 |
The following table summarizes the activity in the warrant liabilities measured at fair value on a recurring basis using unobservable inputs (Level 3) during the three months ended March 31, 2024:
|  | Warrant Liability |
(In thousands) |  | September 2022 Series A Warrants |  |  | September 2022 Series B Warrants |  |  | Total |
Balance, December 31, 2023 |  | $ | 15 |  |  | $ | 1,238 |  |  | $ | 1,253 |
Change in the fair value of liability |  |  | (15 | ) |  |  | (634 | ) |  |  | (649 | )
Balance, March 31, 2024 |  | $ | — |  |  | $ | 604 |  |  | $ | 604 |
Assumptions Used in Determining Fair Value of Liability-Classified Warrants The fair value of the warrant liabilities is based on significant inputs not observable in the market, which represents a Level 3 measurement within the fair value hierarchy. The fair value of the liability classified warrants (each defined below) were determined using the Black-Scholes Option Pricing Model, which uses various assumptions, including (i) fair value of the Company’s ADSs, (ii) exercise price of the warrant, (iii) expected term of the warrant, (iv) expected volatility and (v) expected risk-free interest rate. Below are the assumptions used for the fair value calculations of the liability classified warrants as of March 31, 2025 and December 31, 2024:
|  | March 31, 2025 |  |  | December 31, 2024 |
|  | September 2022 Series B Warrants |  |  | November 2022 Warrants |  |  | April 2023 Warrants |  |  | September 2022 Series B Warrants |  |  | November 2022 Warrants |  |  | April 2023 Warrants |
Stock (ADS) price |  | $ | 1.24 |  |  | $ | 1.24 |  |  | $ | 1.24 |  |  | $ | 1.22 |  |  | $ | 1.22 |  |  | $ | 1.22 |
Exercise price |  | $ | 17.00 |  |  | $ | 39.18 |  |  | $ | 2.04 |  |  | $ | 17.00 |  |  | $ | 39.18 |  |  | $ | 2.04 |
Expected term (in years) |  |  | 4.5 |  |  |  | 2.6 |  |  |  | 3.1 |  |  |  | 4.7 |  |  |  | 2.8 |  |  |  | 3.3 |
Expected volatility |  |  | 90.0 | % |  |  | 100.0 | % |  |  | 95.0 | % |  |  | 85.0 | % |  |  | 95.0 | % |  |  | 90.0 | %
Risk-free interest rate |  |  | 3.9 | % |  |  | 3.9 | % |  |  | 3.9 | % |  |  | 4.3 | % |  |  | 4.3 | % |  |  | 4.3 | %
Expected dividend yield |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |

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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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