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Fair Value Measurements (Tables)
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Fair Value of Liabilities Measured on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023 were as follows:

 

 

Fair value measurements as of September 30, 2024

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in thousands)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

2,269

 

 

$

—

 

 

$

—

 

 

$

2,269

 

Derivatives

 

 

—

 

 

 

—

 

 

 

19

 

 

 

19

 

Total

 

$

2,269

 

 

$

—

 

 

$

19

 

 

$

2,288

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Warrants

 

 

—

 

 

 

—

 

 

 

156

 

 

 

156

 

 

 

Fair value measurements as of December 31, 2023

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in thousands)

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives

 

$

—

 

 

$

—

 

 

$

122

 

 

$

122

 

Bridge Notes

 

 

—

 

 

 

—

 

 

 

1,717

 

 

 

1,717

 

Warrants

 

 

—

 

 

 

—

 

 

 

591

 

 

 

591

 

Total

 

$

—

 

 

$

—

 

 

$

2,430

 

 

$

2,430

 
Liabilities measured at fair value on a recurring basis as of December 31, 2023 and 2022 were as follows:

 

 

Fair value measurements as of December 31, 2023

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in thousands)

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives

 

$

—

 

 

$

—

 

 

$

122

 

 

$

122

 

Bridge Notes

 

 

—

 

 

 

—

 

 

 

1,717

 

 

 

1,717

 

Warrants

 

 

—

 

 

 

—

 

 

 

591

 

 

 

591

 

Total

 

$

—

 

 

$

—

 

 

$

2,430

 

 

$

2,430

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value measurements as of December 31, 2022

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in thousands)

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Convertible notes

 

 

—

 

 

 

—

 

 

 

4,270

 

 

 

4,270

 

Warrants

 

 

—

 

 

 

—

 

 

 

3,004

 

 

 

3,004

 

Total

 

$

—

 

 

$

—

 

 

$

7,274

 

 

$

7,274

 
Schedule of Fair Value Measurement of Liabilities Using Unobservable Inputs Reconciliation

The following summarizes the activity for the Company Level 3 assets and liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2024.

 

 

November 2023

 

(in thousands)

 

Bridge Notes

 

Fair value at December 31, 2023

 

$

1,717

 

Loss on extinguishment of debt

 

 

275

 

Change in estimated fair value of convertible notes

 

 

316

 

Conversion to Series A Preferred Stock

 

 

(2,308

)

Fair value at September 30, 2024

 

$

—

 

The following table summarizes the activity for the Company Level 3 warrant liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2024:

 

 

 

November 2023

 

 

December 2023

 

 

February 2024

 

 

Woodway

 

 

Registered Direct

 

 

Registered Direct Placement Agent

 

 

Best Efforts Pre-Funded

 

 

Best Efforts A-1

 

 

Best Efforts A-2

 

 

Best Efforts Placement Agent

 

 

Total

 

 

(in thousands)

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Fair value at December 31, 2023

 

$

165

 

 

$

426

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

591

 

 

Issuance of warrants

 

 

—

 

 

 

—

 

 

 

1,800

 

 

 

344

 

 

 

721

 

 

 

50

 

 

 

3,704

 

 

 

2,687

 

 

 

1,903

 

 

 

189

 

 

 

11,398

 

 

Change in estimated fair value of warrants

 

 

(165

)

 

 

(304

)

 

 

(1,797

)

 

 

(344

)

 

 

(719

)

 

 

(50

)

 

 

(1,141

)

 

 

(2,577

)

 

 

(1,869

)

 

 

(182

)

 

 

(9,148

)

 

Loss on cancelation of warrants

 

 

—

 

 

 

358

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

358

 

 

Exercise of stock warrants

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(2,563

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(2,563

)

 

Conversion to Series A Preferred Stock

 

 

 

 

 

(480

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(480

)

 

Fair value at September 30, 2024

 

$

—

 

 

$

—

 

 

$

3

 

 

$

—

 

 

$

2

 

 

$

—

 

 

$

—

 

 

$

110

 

 

$

34

 

 

$

7

 

 

$

156

 

 

(in thousands)

 

Convertible Notes

 

Fair value at December 31, 2022

 

$

4,270

 

Issuance of convertible notes

 

 

—

 

Change in estimated fair value of financial instruments

 

 

252

 

Exercise of stock warrants

 

 

(4,521

)

Fair value at September 30, 2023

 

$

—

 

 

 

November 2022

 

(in thousands)

 

Warrants

 

Fair value at December 31, 2022

 

$

3,004

 

Issuance of warrants

 

 

—

 

Change in estimated fair value of financial instruments

 

 

(2,266

)

Exercise of stock warrants

 

 

(738

)

Fair value at September 30, 2023

 

$

—

 

 

 The following tables summarize the activity for the Company Level 3 liabilities measured at fair value on a recurring basis for the year ended December 31, 2023

(in thousands)

 

Convertible Notes

 

Fair value at December 31, 2022

 

$

4,270

 

Issuance of convertible notes

 

 

—

 

Change in estimated fair value of financial instruments

 

 

251

 

Conversion of convertible notes into common stock

 

 

(4,521

)

Fair value at December 31, 2023

 

$

—

 

 

 

November 13, 2022

 

 

November 10, 2023

 

 

December 7, 2023

 

 

Total

 

(in thousands)

 

Warrants

 

 

Warrants

 

 

Warrants

 

 

Warrants

 

Fair value at December 31, 2022

 

$

3,004

 

 

$

—

 

 

$

—

 

 

$

3,004

 

Issuance of warrants

 

 

—

 

 

 

207

 

 

 

523

 

 

 

730

 

Change in estimated fair value of financial instruments

 

 

(2,266

)

 

 

(42

)

 

 

(97

)

 

 

(2,405

)

Exercise of stock warrants

 

 

(738

)

 

 

—

 

 

 

—

 

 

 

(738

)

Fair value at December 31, 2023

 

$

—

 

 

$

165

 

 

$

426

 

 

$

591

 

(in thousands)

 

Bridge Notes

 

Fair value at December 31, 2022

 

$

—

 

Issuance of notes

 

 

1,663

 

Change in estimated fair value of financial instruments

 

 

54

 

Fair value at December 31, 2023

 

$

1,717

 

(in thousands)

 

Derivatives

 

Fair value at December 31, 2022

 

$

—

 

Issuance of derivatives

 

 

174

 

Change in estimated fair value of financial instruments

 

 

(52

)

Fair value at December 31, 2023

 

$

122

 

The following tables summarize the activity for the Company Level 3 liabilities measured at fair value on a recurring basis for the year ended December 31, 2022:

 

(in thousands)

 

Convertible Notes

 

Fair value at December 31, 2021

 

 

—

 

Issuance of convertible notes

 

 

10,303

 

Change in estimated fair value of financial instruments

 

 

107

 

Conversion of convertible notes into Series A preferred stock

 

 

(5,926

)

Fair value at December 31, 2022

 

$

4,270

 

 

(in thousands)

 

Warrants

 

Fair value at December 31, 2021

 

$

—

 

Issuance of warrants

 

 

3,482

 

Change in estimated fair value of financial instruments

 

 

(478

)

Fair value at December 31, 2022

 

$

3,004

 
November 2023 Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the November 2023 Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

4.3

%

 

 

3.8

%

Weighted-average expected term (in years)

 

 

4.67

 

 

 

5.35

 

Weighted-average expected volatility

 

 

81.2

%

 

 

68.20

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
December 2023 Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the December 2023 Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

—

%

 

 

3.8

%

Weighted-average expected term (in years)

 

 

—

 

 

 

5.43

 

Weighted-average expected volatility

 

 

—

%

 

 

67.90

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
February 2024 Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the February 2024 Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

4.4

%

 

 

—

%

Weighted-average expected term (in years)

 

 

9.48

 

 

 

—

 

Weighted-average expected volatility

 

 

93.3

%

 

 

—

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
Woodway Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the Woodway Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

4.3

%

 

 

—

%

Weighted-average expected term (in years)

 

 

9.53

 

 

 

—

 

Weighted-average expected volatility

 

 

66.6

%

 

 

—

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
Registered Direct Placement Agent Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the Placement Agent Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

4.3

%

 

 

—

%

Weighted-average expected term (in years)

 

 

4.70

 

 

 

—

 

Weighted-average expected volatility

 

 

81.5

%

 

 

—

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
Registered Direct Offering Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the Registered Offering Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

4.3

%

 

 

—

%

Weighted-average expected term (in years)

 

 

5.22

 

 

 

—

 

Weighted-average expected volatility

 

 

77.8

%

 

 

—

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
Best Efforts A-1 Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the Best Efforts A-1 Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

3.6

%

 

 

—

%

Weighted-average expected term (in years)

 

 

4.82

 

 

 

—

 

Weighted-average expected volatility

 

 

80.0

%

 

 

—

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
Best Efforts A-2 Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the Best Efforts A-2 Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

3.8

%

 

 

—

%

Weighted-average expected term (in years)

 

 

1.28

 

 

 

—

 

Weighted-average expected volatility

 

 

116.7

%

 

 

—

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
Best Efforts Placement Agent Warrants [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the Best Efforts Placement Agent Warrants are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

3.6

%

 

 

—

%

Weighted-average expected term (in years)

 

 

4.82

 

 

 

—

 

Weighted-average expected volatility

 

 

80.0

%

 

 

—

%

Expected dividend yield

 

 

—

%

 

 

—

%
 
Loss Restoration Agreement Derivative [Member]    
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]    
Schedule of Assumptions Used to Estimate the Fair Value The assumptions used to estimate the fair value of the Loss Restoration Derivative are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

2024

 

 

2023

 

Weighted-average risk-free interest rate

 

 

4.7

%

 

 

—

%

Weighted-average expected term (in years)

 

 

1.25

 

 

 

—

 

Weighted-average expected volatility

 

 

116.7

%

 

 

—

%

Expected dividend yield

 

 

15.0

%

 

 

—

%