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Warrants Classified as Liabilities (Tables) | 6 Months Ended
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Jun. 30, 2024
Warrants Classified as Liabilities [Abstract] |
Schedule of Liability-Classified Warrants Outstanding | As of June 30, 2024 and December 31, 2023, the Company had the following liability-classified warrants outstanding (amounts in thousands):
|  | Number of Shares |  |  | Exercise Price |  |  | Expiration Date
Warrants issued - November 2022 |  |  | 92 |  |  | $ | 40.00 |  |  | May 28, 2028
Warrants issued - June 2023 |  |  | 143 |  |  | $ | 28.00 |  |  | June 2, 2028
|  |  | 235 |  |  |  |  |  |  |
Schedule of Fair Value of Warrants | As of June 30, 2024 and December 31, 2023, the Company had the following liability-classified warrants outstanding (amounts in thousands):
|  | Number of Shares |  |  | Fair Value |
Balance as of December 31, 2023 |  |  | 235 |  |  | $ | 1,748 |
Change in fair value of warrants |  |  | — |  |  |  | (1,591 | )
Balance as of March 31, 2024 |  |  | 235 |  |  |  | 157 |
Change in fair value of warrants |  |  | — |  |  |  | (54 | )
Balance as of June 30, 2024 |  |  | 235 |  |  | $ | 103 |
Schedule of Black Scholes Model | The fair value of the Purchase Warrants at June 30, 2024 was determined using the Black Scholes model with the assumptions in the following table.
|  | 2022 Purchase Warrant |  |  | 2023 Purchase Warrant |
Expected term based on contractual term |  |  | 3.9 years |  |  |  | 3.9 years |
Interest rate (risk-free rate) |  |  | 4.37 | % |  |  | 4.37 | %
Expected volatility |  |  | 118 | % |  |  | 118 | %
Expected dividend yield |  |  | — |  |  |  | — |
Fair value of warrants (in thousands) |  | $ | 37 |  |  | $ | 66 |
The fair value of the Purchase Warrants at December 31, 2023 was determined using the Black Scholes model with the assumptions in the following table.
|  | 2022 Purchase Warrant |  |  | 2023 Purchase Warrant |
Expected term based on contractual term |  |  | 4.4 years |  |  |  | 4.4 years |
Interest rate (risk-free rate) |  |  | 3.84 | % |  |  | 3.84 | %
Expected volatility |  |  | 116 | % |  |  | 116 | %
Expected dividend yield |  |  | — |  |  |  | — |
Fair value of warrants (in thousands) |  | $ | 653 |  |  | $ | 1,095 |

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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-3 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
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