Financial Instruments

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Financial Instruments

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:

	September 30, 2024
	Adjusted Cost		Unrealized Gains		Unrealized Losses			Fair Value		Cash and Cash Equivalent		Marketable Securities
	(in thousands)
Assets
Cash	$	18,586	$	—	$	—		$	18,586	$	18,586	$	—
Level 1
Money market funds		492		—		—			492		492		—
Level 2
U.S. agency securities		13,802		23		—			13,825		—		13,825
U.S. Treasury securities		26,229		14		—			26,243		11,384		14,859
Commercial paper		20,240		25		—			20,265		—		20,265
Corporate bonds		55,352		65		(11	)		55,406		—		55,406
Subtotal		115,623		127		(11	)		115,739		11,384		104,355
Total assets	$	134,701	$	127	$	(11	)	$	134,817	$	30,462	$	104,355
Liabilities
Level 3
Warrant liabilities	$	—	$	—	$	—		$	4,955	$	—	$	—
Total liabilities	$	—	$	—	$	—		$	4,955	$	—	$	—

	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. agency 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	$	—	$	—
Total liabilities	$	—			$	—		$	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 thousands):

	September 30, 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		(1,799	)		300
Change in the fair value of private placement warrants included in other income (expense), net		(18	)		(68	)
Fair value, closing balance	$	4,955		$	6,772

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

	September 30, 2024			December 31, 2023
Expected term (years)		1.4			2.2
Expected volatility		87.6	%		94.1	%
Risk-free interest rate		3.82	%		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:

	September 30, 2024			December 31, 2023
Expected term (years)		3.2			4.0
Expected volatility		87.6	%		87.2	%
Risk-free interest rate		3.55	%		3.89	%
Dividend yield		0	%		0	%
Exercise Price	$	5.00		$	5.00