Fair Value Measurements of Financial Measurements (Tables)

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Summary of Fair Value of Financial Assets and Liabilities by Level within Fair Value Hierarchy

The following tables set forth the fair value of the Company’s financial assets and liabilities by level within the fair value hierarchy (in thousands):

	As of June 30, 2024
	Fair Value		Level 1		Level 2		Level 3
Financial Assets:
Money market fund	$	1	$	1	$	-	$	-
Derivative asset		14		-		-		14
Total Financial Assets	$	15	$	1	$	-	$	14

	As of December 31, 2023
	Fair Value		Level 1		Level 2		Level 3
Financial Assets:
Money market fund	$	1,337	$	1,337	$	-	$	-
Total Financial Assets	$	1,337	$	1,337	$	-	$	-

	As of June 30, 2024
	Fair Value		Level 1		Level 2		Level 3
Financial Liabilities:
Warrant liabilities - public warrants	$	94	$	-	$	-	$	94
Warrant liabilities - private placement warrants		9		-		-		9
Total Financial Liabilities	$	103	$	-	$	-	$	103

	As of December 31, 2023
	Fair Value		Level 1		Level 2		Level 3
Financial Liabilities:
Warrant liabilities - public warrants	$	2,275	$	-	$	-	$	2,275
Warrant liabilities - private placement warrants		76		-		-		76
Total Financial Liabilities	$	2,351	$	-	$	-	$	2,351

Summary of Key Inputs into Valuation Models Used to Estimate Fair Value of Warrant Liabilities

The key inputs into the respective valuation models used to estimate the fair value of the warrant liabilities at June 30, 2024, were as follows:

	Public Warrants						Private Placement Warrants
	Low			High			Low			High
Risk-free interest rate		3.81	%		5.40	%		4.08	%		5.40	%
Volatility		83	%		130	%		83	%		130	%
Dividend yield		0	%		0	%		0	%		0	%
Expected term (years)		0.08			4.76			0.08			5.01
Share price	$	6.490		$	9.310		$	6.400		$	9.310

The key inputs into the respective valuation models used to estimate the fair value of the warrant liabilities at December 31, 2023, were as follows:

	Public Warrants						Private Placement Warrants
	Low			High			Low			High
Risk-free interest rate		3.81	%		5.42	%		3.81	%		5.33	%
Volatility		99	%		113	%		102	%		113	%
Dividend yield		0	%		0	%		0	%		0	%
Expected term (years)		0.75			5.01			0.75			5.01
Share price	$	9.310		$	13.160		$	9.310		$	12.880

Summary of Changes in Fair Value of Company's Warrant Liabilities that is Recognized in Change in Fair Value of Warrant Liabilities in Accompanying Statements of Operations and Comprehensive Loss

The following table summarizes the changes in fair value of the Company’s warrant liabilities that is recognized in the change in fair value of the warrant liabilities in the accompanying condensed statements of operations and comprehensive loss during the six months ended June 30, 2024 (in thousands):

	Public Warrants			Private Placement Warrants			Total
Warrant liabilities as of January 1, 2024	$	2,275		$	76		$	2,351
Issuance of warrants		-			1,113			1,113
Reclassified as equity		(1,199	)		(800	)		(1,999	)
Change in fair value		(982	)		(380	)		(1,362	)
Warrant liabilities as of June 30, 2024	$	94		$	9		$	103

Schedule of Quantitative Information Regarding Measurement Inputs to Estimate the Fair Value of Asset

The following table provides quantitative information regarding measurement inputs used to estimate the fair value of the Level 3 asset at:

	June 30, 2024
Risk-free interest rate		5.12	%
Expected volatility		40.00	%
Expected term (in years)		0.75
Exercise price (per share)	$	7.77
Number of shares		10

Schedule of Changes in Derivative Assets

The following table presents the changes in the derivative asset during the six months ended June 30, 2024 (in thousands):

Derivative asset as of January 1, 2024	$	-
Issuance of convertible preferred stock		95
Change in fair value		(81	)
Derivative asset as of June 30, 2024	$	14