Fair Value Measurements

12 Months Ended

Dec. 31, 2024

Fair Value Measurements

Fair Value Measurements

5. Fair Value Measurements

Financial assets and liabilities are measured and recorded at fair value. The Company is required to disclose information on all assets and liabilities reported at fair value that enables an assessment of the inputs used in determining the reported fair values. The fair value hierarchy prioritizes valuation inputs based on the observable nature of those inputs. The fair value hierarchy applies only to the valuation inputs used in determining the reported fair value of the investments and is not a measure of the investment credit quality. The hierarchy defines three levels of valuation inputs:

● Level 1—Quoted prices in active markets for identical assets or liabilities

● Level 2—Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly

● Level 3—Unobservable inputs that reflect the Company’s own assumptions about the assumptions market participants would use in pricing the asset or liability

There have been no transfers of assets and liabilities between levels of hierarchy.

The Company’s Level 2 investments are valued using third-party pricing sources. 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 investments, issuer credit spreads, benchmark investments, prepayment/default projections based on historical data and other observable inputs.

Financial Assets

The following tables present information as of December 31, 2024 and 2023 about the Company’s assets that are measured at fair value on a recurring basis and indicate the level of the fair value hierarchy the Company utilized to determine such fair values (in thousands):

	December 31, 2024
	Fair Value Measured Using						Total
	(Level 1)		(Level 2)		(Level 3)		Balance
Assets
Cash equivalents	$	8,333	$	—	$	—	$	8,333
Marketable securities		37,764		5,460		—		43,224
	$	46,097	$	5,460	$	—	$	51,557

	December 31, 2023
	Fair Value Measured Using						Total
	(Level 1)		(Level 2)		(Level 3)		Balance
Assets
Cash equivalents	$	12,280	$	—	$	—	$	12,280
Marketable securities		10,356		4,173		—		14,529
	$	22,636	$	4,173	$	—	$	26,809

As of December 31, 2024, marketable securities had a maximum remaining maturity of less than two years.

As of December 31, 2024 and 2023, the fair value of available for sale marketable securities by type of security were as follows (in thousands):

	December 31, 2024
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains		Losses		Value
U.S. Treasury securities	$	37,688	$	76	$	—	$	37,764
U.S. Government agency securities		5,456		4		—		5,460
	$	43,144	$	80	$	—	$	43,224

	December 31, 2023
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains		Losses		Value
U.S. Treasury securities	$	10,348	$	8	$	—	$	10,356
U.S. Government agency securities		4,166		7		—		4,173
	$	14,514	$	15	$	—	$	14,529

Financial Liabilities

The following tables present information as of December 31, 2024 about the Company’s liabilities that are measured at fair value on a recurring basis and indicate the level of the fair value hierarchy the Company utilized to determine such fair values (in thousands):

	December 31, 2024
	Fair Value Measured Using						Total
	(Level 1)		(Level 2)		(Level 3)		Balance
Warrant liability	$	—	$	—	$	28,910	$	28,910

The Company had no liabilities measured at fair value on a recurring basis as of December 31, 2023.

During the year ended December 31, 2024, the changes in the Company’s warrant liability were as follows (in thousands):

	Warrants
Warrant liability balance as of December 31, 2023	$	—
Issuance of warrants		8,934
Change in fair value		33,377
Exercise of warrants		(13,401)
Warrant liability balance as of December 31, 2024	$	28,910

The Company uses the Black-Scholes pricing model to determine the fair value of its warrant liabilities using Level 3 inputs. Inputs used to determine estimated fair value of the warrant liabilities include the fair value of the underlying stock at the valuation date, the term of the warrants, and the expected volatility of the underlying stock. The significant unobservable input used in the fair value measurement of the warrant liabilities is the estimated term of the warrants.

The key inputs into valuation models used to estimate the fair value of the warrant liabilities as of May 6, 2024, the issuance date, and as of December 31, 2024 were as follows:

				May 6,
				2024
	December 31,			(Date of
	2024			Issuance)
Risk-free interest rate		4.2	%		5.1	%
Expected volatility		106.6	%		104.4	%
Expected term (in years)		0.50			1.15
Share price	$	5.35		$	1.91