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Fair Value Measurements
 3 Months Ended
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

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—