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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Hierarchy
The following table summarizes the liabilities measured at fair value on a recurring basis as of June 30, 2024 (in thousands): 
Fair Value Measurements at Reporting Date Using
Balance as of
June 30,
2024 		Level 1Level 2Level 3
PIPE Warrants$16,758 $— $— $16,758 
2024 Convertible Note Warrants5,166 — — 5,166 
Convertible Bridge Loan Warrants840 — — 840 
Private Warrants425 — — 425 
Working Capital Warrants47 — — 47 
Subtotal - Derivative warrant liabilities23,236 — — 23,236 
Forward purchase derivative liabilities10,511 — — 10,511 
Convertible promissory notes (2024 Convertible Notes)7,259 — — 7,259 
Tranche right derivative liabilities (Tranche Rights)4,336 — — 4,336 
Obligation to issue common stock (liability classified Consideration Shares)3,617 3,617 — — 
Total$48,959 $3,617 $— $45,342 
Schedule of Reconciliation of 2024 Convertible Notes
The following table presents a reconciliation of the 2024 Convertible Notes (in thousands):

Related Party Convertible NotesSecured Convertible NotesUnsecured Convertible NotesTranche Convertible NotesTotal 2024 Convertible Notes
Balance as of December 31, 2023$— $— $— $— $— 
Issuance— — 250 — 250 
Change in fair value— — 478 — 478 
Balance as of March 31, 2024$— $— $728 $— $728 
Issuance543 4,346 1,817 1,160 7,866 
Change in fair value(18)(412)(149)(17)(596)
Repayment— — (739)— (739)
Balance as of June 30, 2024$525 $3,934 $1,657 $1,143 $7,259 
Schedule of Fair Value Unobservable Assumption Inputs
The following unobservable assumptions were used in determining the fair value of the 2024 Convertible Notes prior to April 1, 2024:
Credit spread27.5 %
Equity volatility45.0 %
The following unobservable assumptions were used in determining the fair value of the 2024 Convertible Notes following April 1, 2024:

June 30, 2024Issuance Dates
Conversion
60.0% - 80.0%
60.0% - 75.0%
Maturity0.0 %0.0 %
Default Feature
20.0% - 40.0%
25.0% - 40.0%
June 30, 2024Issuance Dates
Dividend Yield0.0 %0.0 %
Volatility
105.0% - 144.0%
108.0% - 151.0%
Discount Yield
14.7% - 17.5%
14.1% - 17.8%
The following unobservable assumptions were used in determining the fair value of the liability classified warrants as it relates to the PIPE Warrants:
At June 30, 2024At Q2 2024 PIPE Warrant Amendment DateAt Q1 2024 PIPE Warrant Amendment DateAt December 31, 2023
Credit spread13.3 %12.2 %17.8 %12.7 %
Equity volatility101.0 %98.0 %105.0 %100.0 %
The following unobservable assumptions were used in determining the fair value of the liability classified warrants as it relates to the Private Warrants and Working Capital Warrants:
At June 30, 2024At December 31, 2023
Volatility61.7 %35.3 %
Dividend yield (per share)0.0%0.0%
The following unobservable assumptions were used in determining the fair value of the liability classified warrants as it relates to the Convertible Bridge Loan Warrants and Convertible 2024 Note Warrants:
At June 30, 2024At Issuance Dates
Convertible Bridge Loan Warrants
Volatility
98.0% - 122.0%
98.0% - 105.0%
Dividend yield (per share)0.0%0.0%
2024 Convertible Note Warrants
Volatility
98.0% - 99.0%
96.0% - 100.0%
Dividend yield (per share)0.0%0.0%
The following unobservable assumptions were used in determining the fair value of the forward purchase derivative liabilities, at the respective balance sheet and amendment dates:
June 30, 2024April 2024 FPAAt February Q1 2024 FPA AmendmentAt January Q1 2024 FPA AmendmentDecember 31, 2023
Dividend yield0.0 %0.0 %0.0 %0.0 %0.0 %
Equity volatility116.0 %165.0 %145.0 %105.0 %115.0 %
The following unobservable assumptions were used in determining the fair value of the 2024 Convertible Note Warrants underlying the Tranche Rights:
June 30, 2024At Issuance Dates
Dividend yield0.0%0.0%
Equity Volatility98.0 %
97.0 % - 98.0 %
The following unobservable assumptions were used in determining the fair value of the 2024 Convertible Notes underlying the Tranche Rights:
June 30, 2024Issuance Dates
Conversion
76.0 % - 78.0 %
75.0 %
Maturity0.0 %0.0 %
Default Feature
22.0 % - 24.0 %
25.0 %
June 30, 2024Issuance Dates
Dividend Yield0.0 %0.0 %
Volatility
98.0 % - 99.0 %
98.0 %
Discount Yield
17.4 % - 17.5 %
16.9 % - 17.8 %
Schedule of Derivative Liabilities
The following table represent a reconciliation of all liability classified warrants (in thousands):
Private WarrantsWorking Capital WarrantsConvertible Bridge Loan WarrantsConvertible Promissory Note WarrantsPIPE WarrantsTotal
Balance as of December 31, 2023$377 $43 $— $— $25,339 $25,759 
Issuances— — 1,424 323 — 1,747 
Change in fair value in connection with the Q1 2024 PIPE Warrant Amendment— — — — (429)(429)
Change in fair value426 46 398 619 (5,206)(3,717)
Balance as of March 31, 2024$803 $89 $1,822 $942 $19,704 $23,360 
Issuances— — 16 5,247 — 5,263 
Change in fair value in connection with the Q2 2024 PIPE Warrant Amendment— — — — 4,430 4,430 
Reclassification to equity pursuant to sequencing policy— — (297)— — (297)
Change in fair value(378)(42)(701)(1,023)(7,376)(9,520)
Balance as of June 30, 2024$425 $47 $840 $5,166 $16,758 $23,236 
The following table presents a reconciliation of the liability classified Consideration Shares (in thousands):

 Consideration Shares
Balance as of December 31, 2023$— 
Additions14 
Change in fair value— 
Balance as of March 31, 2024$14 
Additions3,926 
Reclassification of liability classified stock to equity(12)
Change in fair value(311)
Balance as of June 30, 2024$3,617 
The following table presents a reconciliation of the Tranche Rights (in thousands):
Tranche Rights
Balance as of December 31, 2023$— 
Issuance5,045 
Change in fair value(137)
Exercise of tranche rights(572)
Balance as of June 30, 2024$4,336