Financial Instruments

3 Months Ended

Mar. 31, 2024

Note 3. Financial Instruments

The following tables summarize the Company’s financial assets and liabilities measured at fair value by level within the fair value hierarchy:


	March 31, 2024
	Adjusted Cost		Unrealized Gains		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	17,668	$	—	$	—		$	17,668	$	17,668	$	—

Level 1
Money market funds		264		—		—			264		264		—

Level 2
U.S. agency securities		27,635		2		(76	)		27,561		—		27,561
U.S. Treasury securities		30,255		—		(41	)		30,214		11,673		18,541
Commercial paper		42,591		6		(45	)		42,552		—		42,552
Corporate bonds		71,163		20		(114	)		71,069		—		71,069
Subtotal		171,644		28		(276	)		171,396		11,673		159,723
Total assets	$	189,576	$	28	$	(276	)	$	189,328	$	29,605	$	159,723

Liabilities
Level 3
Warrant liabilities		7,209		—		—			7,209		—		—
Total liabilities	$	7,209	$	—	$	—		$	7,209	$	—	$	—


	December 31, 2023
	Adjusted Cost		Unrealized Gain		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	21,799	$	—	$	—		$	21,799	$	21,799	$	—

Level 1
Money market funds		6,266		—		—			6,266		6,266		—

Level 2
U.S. Government securities		35,962		8		(97	)		35,873		—		35,873
U.S. Treasury securities		18,323		1		(14	)		18,310		10,482		7,828
Commercial paper		38,491		25		(16	)		38,500		—		38,500
Corporate bonds		100,274		136		(130	)		100,280		—		100,280
Subtotal		193,050		170		(257	)		192,963		10,482		182,481
Total assets	$	221,115	$	170	$	(257	)	$	221,028	$	38,547	$	182,481

Liabilities
Level 3
Warrant liabilities		6,772		—		—			6,772		—		—
Total liabilities	$	6,772	$	—	$	—		$	6,772	$	—	$	—

The fair value of the private placement and Series A warrant liabilities is based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. In determining the fair value of the warrant liabilities, the Company used the Black-Scholes option-pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate, and dividend yield.

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments (in thousand):



	March 31, 2024			December 31, 2023
Fair value, beginning balance	$	6,772		$	90
Fair value at issuance of Series A warrants		—		$	6,450
Change in the fair value of Series A warrants included in other income (expense), net		450		$	300
Change in the fair value of private placement warrants included in other income (expense), net		(13	)		(68	)
Fair value, closing balance	$	7,209		$	6,772

The key inputs into the Black-Scholes option pricing model for the private warrants were as follows for the relevant periods:


	March 31, 2024			December 31, 2023
Expected term (years)		2.0			2.2
Expected volatility		90.3	%		94.1	%
Risk-free interest rate		5.03	%		4.23	%
Dividend yield		0	%		0	%
Exercise Price	$	57.50		$	57.50

The key inputs into the Black-Scholes option pricing model for the Series A warrants were as follows for the relevant periods:


	March 31, 2024			December 31, 2023
Expected term (years)		3.7			4.0
Expected volatility		92.1	%		87.2	%
Risk-free interest rate		4.29	%		3.89	%
Dividend yield		0	%		0	%
Exercise Price	$	5.00		$	5.00

- 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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