FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2023

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


	Fair value measurements at reporting date using
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at December 31, 2023
Assets included in:
Cash and cash equivalents
Money market securities	$	66,207	$	—	$	—	$	66,207
Marketable securities
Corporate debt securities	—		201,635		—		201,635
U.S. treasury securities	—		37,554		—		37,554
Total fair value	$	66,207	$	239,189	$	—	$	305,396
Liabilities included in:
Debt, long-term
Embedded derivative liabilities	$	—	$	—	$	2,560	$	2,560
Total fair value	$	—	$	—	$	2,560	$	2,560


	Fair value measurements at reporting date using
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value at December 31, 2022
Assets included in:
Cash and cash equivalents
Money market securities	$	129,100	$	—	$	—	$	129,100
Marketable securities
Corporate debt securities	—		45,762		—		45,762
Asset-backed securities	—		2,904		—		2,904
Government and agency - U.S.	—		14,675		—		14,675
Total fair value	$	129,100	$	63,341	$	—	$	192,441

The fair value of the Company’s money market funds is determined using quoted market prices in active markets for identical assets.

The fair value for the available-for-sale marketable securities is determined based on valuation models using inputs that are observable either directly or indirectly (Level 2 inputs), such as quoted prices for similar assets or liabilities, yield curve, volatility factors, credit spreads, default rates, loss severity, current market and contractual prices for the underlying instruments or debt, broker and dealer quotes, as well as other relevant economic measures.

The following table presents changes in Level 3 liabilities measured at fair value for the year ended December 31, 2023 (in thousands):


Balance, January 1, 2023	$	—
Fair value of embedded derivatives at issuance of Term Loan	1,200
Change in fair value of embedded derivatives	1,360
Balance, December 31, 2023	$	2,560

For the year ended December 31, 2023, the fair value of the embedded derivatives in the Term Loan has been estimated using the Monte Carlo model. A summary of the weighted-average significant unobservable inputs (Level 3 inputs) used in measuring the embedded derivatives in the Term Loan as of December 31, 2023 and November 10, 2023 (inception) is as follows:


	December 31,	November 10,
	2023	2023
Conversion price	$2.53	$2.53
Expected term (in years)	4.7	4.9
Expected equity volatility	106.7%	102.5%
Risk-free interest rate	3.9%	4.7%
Discount for lack of marketability	11.5%	9.5%
Expected dividend yield	0%	0%

- 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.

+ References + Details