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Fair Value of Financial Instruments
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value of Financial Instruments Fair Value of Financial Instruments
Fair value estimates of financial instruments are made at a specific point in time, based on relevant information about financial markets and specific financial instruments. As these estimates are subjective in nature, involving uncertainties and
matters of significant judgment, they cannot be determined with precision. Changes in assumptions can significantly affect estimated fair value.
The Company measures fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) in an orderly transaction between market participants at the reporting date. The Company utilizes a three-tier hierarchy, which prioritizes the inputs used in the valuation methodologies in measuring fair value:
•Level 1: Valuations based on quoted prices in active markets for identical assets or liabilities that an entity has the ability to access.
•Level 2: Valuations based on quoted prices for similar assets or liabilities, quoted prices for identical assets or liabilities in markets that are not active, or other inputs that are observable or can be corroborated by observable data for substantially the full term of the assets or liabilities.
•Level 3: Valuations based on inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities.
The carrying value of cash and cash equivalents, accounts payable and accrued expenses and other current liabilities approximates their fair values due to the short-term or on demand nature of these instruments. At June 30, 2024 and December 31, 2023, the Company’s investment portfolio included available-for-sale securities which were comprised of money market funds, U.S. treasury bills and commercial paper. The Company has U.S. Treasury bills and commercial papers that are classified as Level 2 due to the fair value for these instruments being determined by utilizing observable inputs in similar assets or identical assets in non-active markets. The fair value of certain of the U.S. Treasury bills transferred to Level 2 from Level 1 of the fair value hierarchy due to trading activity, observability and accessibility of the pricing information from the most active market of the investment.
Warrants are recorded as Warrant liabilities in the Condensed Consolidated Balance Sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented as Change in fair value of warrant liabilities in the Condensed Consolidated Statements of Operations and Comprehensive Loss.
The Public Warrants and Private Warrants were carried at fair value as of June 30, 2024 and December 31, 2023. The Public Warrants were valued using Level 1 inputs as they are traded in an active market. The Private Warrants were valued using a binomial lattice model. The primary unobservable input utilized in determining the fair value of the Private Warrants was the expected volatility of the Company’s Class A common stock. The expected volatility was based on consideration of the implied volatility from the Company’s own Public Warrant pricing and on the historical volatility observed at guideline public companies. As of June 30, 2024, the significant assumptions used in preparing the binomial lattice model for valuing the Private Warrants liability include (i) volatility of 112.4%, (ii) risk-free interest rate of 4.70%, (iii) strike price of $11.50, (iv) fair value of Class A common stock of $1.05, and (v) expected life of 1.9 years. As of December 31, 2023, the significant assumptions used in preparing the binomial lattice model for valuing the Private Warrants liability include (i) volatility of 92.1%, (ii) risk-free interest rate of 4.10%, (iii) strike price of $11.50, (iv) fair value of Class A common stock of $2.01, and (v) expected life of 2.4 years.
There were no exercises or redemptions of the Public Warrants or Private Warrants during the three and six months ended June 30, 2024 and 2023.
The following table summarizes the Company’s assets and liabilities in the Condensed Consolidated Balance Sheets as of June 30, 2024 and December 31, 2023, that are measured at fair value on a recurring basis, by level, within the fair value hierarchy (in thousands):
June 30, 2024
Level 1Level 2Level 3Total
Financial Assets:
Cash equivalents:
Money market funds$20,343 $— $— $20,343 
U.S. Treasury securities9,095 27,650 — 36,745 
Marketable securities:
U.S. Treasury securities— 148,864 — 148,864 
Commercial paper— 9,701 — 9,701 
Total assets at fair value on a recurring basis$29,438 $186,215 $— $215,653 
Liabilities:
Public Warrants$460 $— $— $460 
Private Warrants— — 18 18 
Total liabilities at fair value on a recurring basis$460 $— $18 $478 
December 31, 2023
Level 1Level 2Level 3Total
Financial Assets:
Cash equivalents:
Money market funds$50,226 $— $— $50,226 
U.S. Treasury securities59,654 — — 59,654 
Commercial paper— 19,436 — 19,436 
Marketable securities:
U.S. Treasury securities82,640 — — 82,640 
Commercial paper— 41,236 — 41,236 
Total assets at fair value on a recurring basis$192,520 $60,672 $— $253,192 
Liabilities:
Public Warrants$1,227 $— $— $1,227 
Private Warrants— — 47 47 
Total liabilities at fair value on a recurring basis$1,227 $— $47 $1,274