Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.24.1.u1
Fair Value Measurement (Tables)
 3 Months Ended
Mar. 31, 2024
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Financial Assets Measured on a Recurring Basis
The following tables present the Company's fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2024, and December 31, 2023:
March 31, 2024
(in thousands) (Level 1) (Level 2) (Level 3) Total
Assets:
Money market funds $ 8,835  $ —  $ —  $ 8,835 
U.S. government securities 1,921  —  —  1,921 
Total assets $ 10,756  $ —  $ —  $ 10,756 
Liabilities:
Debt derivative liabilities $ —  $ —  $ 2,922  $ 2,922 
Total liabilities $ —  $ —  $ 2,922  $ 2,922 
December 31, 2023
(in thousands) (Level 1) (Level 2) (Level 3) Total
Assets:
Money market funds $ 24,977  $ —  $ —  $ 24,977 
Total assets $ 24,977  $ —  $ —  $ 24,977 
Liabilities:
Debt derivative liabilities $ —  $ —  $ 2,987  $ 2,987 
Total liabilities $ —  $ —  $ 2,987  $ 2,987 
Schedule of Fair Value Instruments Classified Level 3
The changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended March 31, 2024 were as follows (in thousands):
Three Months Ended March 31, 2024
Balance, December 31, 2023 $ 2,987 
Change in fair value included in net loss (65)
Balance, March 31, 2024 $ 2,922 
Schedule of Significant Inputs in Liability Valuation
The significant inputs that are included in the valuation of the debt derivative liability - first tranche include:
March 31, 2024 December 31, 2023
Input
Remaining term (years) 3.25 years 3.5 years
Maturity date June 30, 2027 June 30, 2027
Coupon rate
9.5% - 13.16%
9.5% - 13.2%
Revenue participation payments Maximum each year Maximum each year
Discount rate 12.24%  (1) 12.06%  (1)
Probability of mandatory prepayment 2024 or after 15.0  % (1) 15.0  % (1)
Estimated timing of mandatory prepayment event 2024 or after March 31, 2026 (1) March 31, 2026 (1)
Probability of optional prepayment event 5.0  % (1) 5.0  % (1)
Estimated timing of optional prepayment event December 31, 2025 (1) December 31, 2025 (1)
Probability of note held-to-maturity(2)
80.0%  (1) 80.0%  (1)
(1)Represents a significant unobservable input
(2) See Maturity date in table.
The significant inputs that are included in the valuation of the debt derivative liability - second tranche include:
March 31, 2024 December 31, 2023
Input
Remaining term (years) 4.25 years 4.5 years
Maturity date June 30, 2028 June 30, 2028
Coupon rate
9.5% - 13.16%
9.5% - 13.2%
Revenue participation payments Maximum each year Maximum each year
Discount rate 15.49  % (1) 15.60  % (1)
Probability of mandatory prepayment 2024 or after 15.0%  (1) 15.0%  (1)
Estimated timing of mandatory prepayment event 2024 or after March 31, 2026 (1) March 31, 2026 (1)
Probability of optional prepayment event 5.0%  (1) 5.0%  (1)
Estimated timing of optional prepayment event December 31, 2025 (1) December 31, 2025 (1)
Probability of held-to-maturity(2)
80.0%  80.0% 
(1)Represents a significant unobservable input
(2)See Maturity date in table.