Annual report [Section 13 and 15(d), not S-K Item 405]

Fair Value Measurement (Tables)

v3.25.0.1
Fair Value Measurement (Tables)
 12 Months Ended
Dec. 31, 2024
Fair Value Disclosures [Abstract]  
Schedule of fair value financial assets measured on a recurring basis
The following tables represent the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of December 31, 2024 and 2023:
(in thousands) Level 1 Level 2 Level 3 Total
December 31, 2024
Assets:
Money market funds $ 19,399  $ —  $ —  $ 19,399 
U.S. Treasuries
 5,928  —  —  5,928 
Total assets $ 25,327  $ —  $ —  $ 25,327 
Liabilities:
Debt derivative liabilities $ —  $ —  $ 2,400  $ 2,400 
Total liabilities $ —  $ —  $ 2,400  $ 2,400 
December 31, 2023 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 are as follows:
(in thousands) Debt Derivative Liabilities
Balance, December 31, 2022 $ 4,518 
Change in fair value included in net loss (1,531)
Balance, December 31, 2023 2,987 
Change in fair value included in net loss (587)
Balance, December 31, 2024 $ 2,400 
Schedule of significant inputs in liability valuation
The significant inputs that are included in the valuation of the debt derivative liability - first tranche include:
December 31, 2024 December 31, 2023
Input
Remaining term (years) 2.5 years 3.5 years
Maturity date June 30, 2027 June 30, 2027
Coupon rate
9.5% - 13.0%
9.5% - 13.2%
Revenue participation payments Maximum each year Maximum each year
Discount rate 12.22%  1 12.06  % 1
Probability of mandatory prepayment after 2024
 15.0%  1 15.0%  1
Estimated timing of mandatory prepayment event after 2024
 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:
December 31, 2024 December 31, 2023
Input
Remaining term (years) 3.5 years 4.5 years
Maturity date June 30, 2028 June 30, 2028
Coupon rate
9.5% - 13.0%
9.5% - 13.2%
Revenue participation payments Maximum each year Maximum each year
Discount rate 15.48  % 1 15.60  % 1
Probability of mandatory prepayment after 2024
 15.0%  1 15.0%  1
Estimated timing of mandatory prepayment event after 2024
 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-maturity2
80.0  % 1 80.0  % 1
1 Represents a significant unobservable input.
2 See Maturity date in table.