Quarterly report [Sections 13 or 15(d)]

Fair Value Measurement

v3.25.1
Fair Value Measurement
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurement Fair Value Measurement
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, 2025 and December 31, 2024:
March 31, 2025
(in thousands) (Level 1) (Level 2) (Level 3) Total
Assets:
Money market funds (1)
$ 8,612  $ —  $ —  $ 8,612 
U.S. Treasuries
 3,973  —  —  3,973 
Total assets $ 12,585  $ —  $ —  $ 12,585 
Liabilities:
Debt derivative liabilities $ —  $ —  $ 2,558  $ 2,558 
Total liabilities $ —  $ —  $ 2,558  $ 2,558 
(1) Money market funds are included in Cash and cash equivalents on the Condensed Consolidated Balance Sheet.
December 31, 2024
(in thousands) (Level 1) (Level 2) (Level 3) Total
Assets:
Money market funds (1)
$ 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 
(1) Money market funds are included in Cash and cash equivalents on the Condensed Consolidated Balance Sheet.
The changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended March 31, 2025 and 2024 were as follows (in thousands):
Three Months Ended March 31, 2025
Balance at December 31, 2024 $ 2,400 
Change in fair value included in net loss 158 
Balance at March 31, 2025 $ 2,558 
Three Months Ended March 31, 2024
Balance at December 31, 2023 $ 2,987 
Change in fair value included in net loss (65)
Balance at March 31, 2024 $ 2,922 
There were no changes in the levels or methodology of the measurement of financial assets or liabilities during the three months ended March 31, 2025 and 2024.
The fair values of cash, restricted cash, accounts receivable, accounts payable and accrued expenses approximate the carrying values because of the short-term nature of these instruments. The carrying value and fair value of the credit facility the Company has with Oberland Capital (“Credit Facility”) were $47,716 and $51,103 at March 31, 2025 and $47,496 and $51,307 at December 31, 2024, respectively. See Note 8 - Long-Term Debt, Net of Debt Discount and Financing Fees.
The debt derivative liabilities are measured using a “with and without” valuation model to compare the fair value of each tranche of the Credit Facility including the identified embedded derivative features and the fair value of a plain vanilla note with the same terms. The fair value of the Credit Facility including the identified embedded derivative features was determined using a probability-weighted expected return model based on three potential settlement scenarios for the Credit Facility included in the table below. The estimated settlement value of each scenario, which would include any required make-whole payment, is then discounted to present value using a discount rate that is derived based on the initial terms of the Credit Facility at issuance and corroborated utilizing a synthetic credit rating analysis.
The significant inputs that are included in the valuation of the debt derivative liability - first tranche include:
March 31, 2025 December 31, 2024
Input
Remaining term (years) 2.25 years 2.5 years
Maturity date June 30, 2027 June 30, 2027
Coupon rate
9.5% - 13.0%
9.5% - 13.0%
Revenue participation payments Maximum each year Maximum each year
Discount rate 12.23%  (1) 12.22%  (1)
Probability of mandatory prepayment event
 15.0  % (1) 15.0  % (1)
Estimated timing of mandatory prepayment event
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, 2025 December 31, 2024
Input
Remaining term (years) 3.25 years 3.5 years
Maturity date June 30, 2028 June 30, 2028
Coupon rate
9.5% - 13.0%
9.5% - 13.0%
Revenue participation payments Maximum each year Maximum each year
Discount rate 15.57  % (1) 15.48  % (1)
Probability of mandatory prepayment event
 15.0%  (1) 15.0%  (1)
Estimated timing of mandatory prepayment event
 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%  (1) 80.0%  (1)
(1)Represents a significant unobservable input.
(2)See Maturity date in table.