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Fair Value Measurements

12 Months Ended

Dec. 31, 2023

Fair Value Measurements [Abstract]

FAIR VALUE MEASUREMENTS

5. FAIR VALUE MEASUREMENTS

The following fair value hierarchy table presents information about the Company’s financial assets measured at fair value on a recurring basis and indicates the fair value hierarchy of the inputs the Company utilized to determine such fair value:

		December 31, 2023
		Quoted Prices
		in Active Markets for Identical Items				Significant Other Observable Inputs				Significant Unobservable Inputs
		(Level 1)				(Level 2)				(Level 3)				Total
Assets:
Money market funds		$	31,489			$	—			$	—			$	31,489
U.S. treasury securities			—				45,355				—				45,355
Total assets		$	31,489			$	45,355			$	—			$	76,844

Liabilities:
Warrant liabilities - public warrants		$	518			$	—			$	—			$	518
Warrant liabilities - private warrants			—				—				312				312
Total liabilities		$	518			$	—			$	312			$	830

		December 31, 2022
		Quoted Prices in Active Markets for Identical Items (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total
Assets:
Money market funds		$	114,409			$	—			$	—			$	114,409
Total assets		$	114,409			$	—			$	—			$	114,409

Liabilities:
Warrant liabilities - public warrants		$	2,589			$	—			$	—			$	2,589
Warrant liabilities - private warrants			—			$	—				3,432				3,432
Total liabilities		$	2,589			$	—			$	3,432			$	6,021

Money market funds are classified as cash and cash equivalents. U.S. treasury securities are classified as cash equivalents when the date from initial purchase to maturity is less than 90 days. The remaining investments are classified as short-term investments.

The carrying values of prepaid expenses, right of use assets, accounts payable, and accrued expenses approximate their fair values due to the short-term nature of the instruments. The fair values of our short-term investments are Level 2 measurements as the US treasury securities are not the most recent offerings and are therefore not traded in an active market.

The fair value of the Public Warrants was determined from their trading value on public markets. The fair value of the Private Placement Warrants was calculated using the Black-Scholes option pricing model. The assumptions used in the model were the Company’s stock price, exercise price, expected term, volatility, interest rate, and dividend yield.

For the year ended December 31, 2023, the Company recognized a gain to the statement of operations resulting from a decrease in the fair value of liabilities of $5,191 presented as a change in fair value of warrant liabilities on the accompanying statement of operations.

For the year ended December 31, 2022, the Company recognized a gain to the statement of operations resulting from a decrease in the fair value of liabilities of $84,000 presented as a change in fair value of warrant liabilities on the accompanying statement of operations.

The Company estimates the volatility of its warrants based on implied volatility from the Company’s Public Warrants and from historical volatility of select peer companies’ common stock that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

The following table provides quantitative information regarding the inputs used in determining the fair value of the Company’s Level 3 liabilities:

Private Placement Warrants		As of December 31, 2023				As of December 31, 2022
Volatility			110.0	%			72.0	%
Stock price		$	0.37			$	2.02
Expected life of options			2.7 years				3.7 years
Risk-free rate			4.1	%			4.1	%
Dividend yield			0.0	%			0.0	%

The following table shows the change in number and value of the warrants since December 31, 2022:

		Public								Private								Total
		Shares				Value				Shares				Value				Shares				Value
December 31, 2022			17,248,601			$	2,589				10,400,000			$	3,432				27,648,601			$	6,021
Change in value			—			$	(2,071	)			—			$	(3,120	)			—			$	(5,191	)
December 31, 2023			17,248,601			$	518				10,400,000			$	312				27,648,601			$	830

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.

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