Fair Value Measurements

6 Months Ended

Jun. 30, 2024

Note 4. Fair Value Measurements

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table presents information about the Company’s financial liabilities measured at fair value on a recurring basis and indicates the level of the fair value hierarchy used to determine such values:


	June 30, 2024
(In thousands)	Total		Level 1		Level 2		Level 3
Liabilities
Warrant liability - Series A	$	—	$	—	$	—	$	—
Warrant liability - Series B		755		—		—		755
Total liabilities	$	755	$	—	$	—	$	755


	December 31, 2023
(In thousands)	Total		Level 1		Level 2		Level 3
Liabilities
Warrant liability - Series A	$	15	$	—	$	—	$	15
Warrant liability - Series B		1,238		—		—		1,238
Total liabilities	$	1,253	$	—	$	—	$	1,253

The Company’s Level 3 liabilities consist of the September 2022 Warrants, which were determined to be liability-classified instruments. There were no transfers between Level 1, Level 2, and Level 3 during the six months ended June 30, 2024 and 2023.

Changes in Level 3 Liabilities Measured at Fair Value on a Recurring Basis

The following table summarizes the activity in the warrant liability measured at fair value on a recurring basis using unobservable inputs (Level 3) during the six months ended June 30, 2024:


	Warrant Liability
(In thousands)	Series A			Series B			Total
Balance, December 31, 2023	$	15		$	1,238		$	1,253
Change in the fair value of liability		(15	)		(483	)		(498	)
Balance, June 30, 2024	$	—		$	755		$	755

Assumptions Used in Determining Fair Value of Liability-Classified Warrants

The fair value of the warrant liability is based on significant inputs not observable in the market, which represents a Level 3 measurement within the fair value hierarchy. The fair value of both the Series A Warrants and the Series B Warrants (each defined below) was determined using the Black-Scholes Option Pricing Model, which uses various assumptions, including (i) fair value of the Company’s ADSs, (ii) exercise price of the warrant, (iii) expected term of the warrant, (iv) expected volatility and (v) expected risk-free interest rate.

Below are the assumptions used for the fair value calculations of the Series A Warrants and Series B Warrants (each defined below), as of June 30, 2024 and December 31, 2023:


	June 30, 2024						December 31, 2023
	Series A			Series B			Series A			Series B
Stock (ADS) price	$	2.70		$	2.70		$	3.12		$	3.12
Exercise price	$	17.00		$	17.00		$	17.00		$	17.00
Expected term (in years)		0.2			5.2			0.7			5.7
Expected volatility		135.0	%		85.0	%		85.0	%		95.0	%
Risk-free interest rate		5.5	%		4.3	%		5.1	%		3.9	%
Expected dividend yield		—			—			—			—

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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