Fair Value Measurements

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurements

3. Fair Value Measurements

As of September 30, 2024, and December 31, 2023, the Company held $9.1 million and $0.9 million, respectively, in a money market account.

The following tables summarize the Company’s financial assets and liabilities, measured at fair value on a recurring basis by level within the fair value hierarchy, as of September 30, 2024, and December 31, 2023 (in thousands):

	September 30, 2024
Assets	Level 1		Level 2		Level 3		Total
Cash equivalents:
Money market funds	$	9,099	$	-	$	-	$	9,099
	$	9,099	$	-	$	-	$	9,099

Liabilities	Level 1		Level 2		Level 3		Total
Common stock warrant liability	$	-	$	-	$	1,188	$	1,188
	$	-	$	-	$	1,188	$	1,188

	December 31, 2023
Assets	Level 1		Level 2		Level 3		Total
Cash equivalents:
Money market funds	$	905	$	-	$	-	$	905
	$	905	$	-	$	-	$	905

Liabilities	Level 1		Level 2		Level 3		Total
Common stock warrant liability	$	-	$	-	$	3,291	$	3,291
	$	-	$	-	$	3,291	$	3,291

There were no transfers between Level 1, Level 2 or Level 3 during the periods presented. The Company had no other financial assets or liabilities that were required to be measured at fair value on a recurring basis.

Assumptions Used in Determining Fair Value of Warrant

The terms of the April 2023 Warrant provide that in the event of certain fundamental transactions involving the Company, the warrant holder may require the Company to make a payment based on a Black-Scholes valuation of the April 2023 Warrant, using specified inputs. Therefore, the April 2023 Warrants are accounted for as liabilities.

The Company recorded the fair value of the April 2023 Warrant using the Monte Carlo simulation model. It is also required to revalue the April 2023 Warrant at each reporting date, with any changes in fair value recorded on the Company’s statement of operations. The valuation of the April 2023 Warrant is considered under Level 3 of the fair value hierarchy and influenced by the fair value of the underlying common stock.

The fair value of the warrants was measured using a combination of Black-Scholes option pricing and Monte Carlo Simulation models that take into consideration probability factors of the various outcomes related to the exercise terms of the warrants using the following inputs:

	September 30, 2024			December 31, 2023
Expected volatility		100% – 111	%		116% – 177	%
Expected term (years)		0 – 4.01			1.01 – 4.76
Risk-free interest rate		3.58% – 4.73	%		3.86% – 4.78	%
Dividend rate		–	%		–	%

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

The following table reflects the change in the Company’s Level 3 liability associated with the April 2023 Warrant for the nine months ended September 30, 2024 (in thousands):

Fair value as of December 31, 2023	$	3,291
Change in fair value		(2,103	)
Fair value as of September 30, 2024	$	1,188