Fair Value Measurements

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurements

3. Fair Value Measurements

The carrying amounts of financial instruments such as cash and cash equivalents, restricted cash, prepaid expenses and other current assets, accounts payable, accrued compensation, accrued and other current liabilities approximate the related fair values due to the short maturities of these instruments.

The Company’s financial assets and liabilities subject to fair value measurements and the level of inputs used in such measurements were as follows (in thousands):

	September 30, 2024
	Total		Level 1		Level 2		Level 3
Assets:
Cash equivalents:
Money market funds	$	7,144	$	7,144	$	—	$	—
Total cash equivalents		7,144		7,144		—		—
Short-term marketable securities:
U.S. treasuries		14,633		—		14,633		—
U.S. government debt securities		5,506		—		5,506		—
Total short-term marketable securities		20,139		—		20,139		—
Restricted cash equivalents:
Money market funds		896		896		—		—
Total restricted cash equivalents		896		896		—		—
Total assets subject to fair value measurements	$	28,179	$	8,040	$	20,139	$	—
Liabilities:
Warrant Liability	$	3,506	$	—	$	—	$	3,506
Total liabilities subject to fair value measurements    on a recurring basis	$	3,506	$	—	$	—	$	3,506

	December 31, 2023
	Total		Level 1		Level 2		Level 3
Assets:
Cash equivalents:
Money market funds	$	12,864	$	12,864	$	—	$	—
U.S. treasuries		2,989		—		2,989		—
Total cash equivalents		15,853		12,864		2,989		—
Short-term marketable securities:
U.S. treasuries		7,849		—		7,849		—
U.S. government debt securities		15,549		—		15,549		—
Total short-term marketable securities		23,398		—		23,398		—
Restricted cash equivalents:
Money market funds		896		896		—		—
Total restricted cash equivalents		896		896		—		—
Total assets subject to fair value measurements	$	40,147	$	13,760	$	26,387	$	—
Liabilities:
Warrant Liability	$	5,913	$	—	$	—	$	5,913
Total liabilities subject to fair value measurements    on a recurring basis	$	5,913	$	—	$	—	$	5,913

The Company estimates the fair value of its money market funds, U.S. treasuries, and U.S. government debt securities by taking into consideration valuations obtained from third-party pricing services. The pricing services utilize industry standard valuation models, including both income and market-based approaches, for which all significant inputs are observable, either directly or indirectly, to estimate fair value. These inputs include reported trades of and broker/dealer quotes on the same or similar securities, issuer credit spreads; benchmark securities; prepayment/default projections based on historical data; and other observable inputs.

August 2022 Warrants ("Existing Warrants")

The common stock warrants are classified as a liability on the Balance Sheets and are measured at fair value with the change in fair value recorded within “Gain (loss) on warrant liability” on the Statement of Operations and Comprehensive Loss. The estimated fair value of the outstanding common stock warrants was $1.4 million and $2.8 million as of September 30, 2024 and December 31, 2023, respectively.

The Company estimates the fair value of its warrant liability using a Monte Carlo simulation model based on significant inputs not observable in the market, which represents a Level 3 measurement. The Company used the following key assumptions within its valuation. In all scenarios, the Company also applied the likelihood of a fundamental transaction and the related impact on the Company’s common stock price and volatility.

	September 30, 2024
Common stock price	$	1.47
Exercise price per share	$	8.50
Estimated volatility		80.0	%
Risk-free interest rate		3.59	%
Remaining contractual term (in years)		2.89

November 2023 Inducement Offer ("New Warrants")

In November 2023, the Company issued common stock warrants to purchase an aggregate of 2,143,000 shares of common stock at an exercise price of $1.92 per warrant. Additionally, 128,580 common stock warrants were issued to the Placement Agent ("Placement Agent Warrants") at an exercise price of $2.5563 per warrant. The New Warrants and Placement Agent Warrants are recorded as a liability on the Balance Sheet and are adjusted to estimated fair value at period end within “Gain (loss) on warrant liability” on the Statement of Operations and Comprehensive Loss. The estimated fair value of the New Warrants was $2.1 million and $3.1 million as of September 30, 2024 and December 31, 2023, respectively.

The Company estimates the fair value of its Level 3 warrant liabilities using a Monte Carlo simulation model. The Company used the following key assumptions within its valuation. In all scenarios, the Company also applied the likelihood of a fundamental transaction and the related impact on the Company’s common stock price and volatility.

	September 30, 2024
Common stock price	$		1.47
Exercise price per share	$	1.92 - 2.5563
Expected volatility			80.0	%
Risk-free interest rate			3.58	%
Remaining contractual term (in years)			4.12

The following is a roll forward of the fair value of Level 3 warrants for the three months ended September 30, 2024 (in thousands):

	Warrant Liability Fair Value
Balance at June 30, 2024	$	3,291
Change in fair value		215
Balance at September 30, 2024	$	3,506

The following is a roll forward of the fair value of Level 3 warrants for the nine months ended September 30, 2024 (in thousands):

	Warrant Liability Fair Value
Balance at December 31, 2023	$	5,913
Change in fair value		(2,407	)
Balance at September 30, 2024	$	3,506