Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Schedule of Fair Value Financial Assets Measured on a Recurring Basis

The following tables present the Company's fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of September 30, 2024, and December 31, 2023:

	September 30, 2024
(in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds (1)	$	13,233	$	—	$	—	$	13,233
U.S. government securities	5,868		—		—		5,868
Total assets	$	19,101	$	—	$	—	$	19,101
Liabilities:
Debt derivative liabilities	$	—	$	—	$	2,445	$	2,445
Total liabilities	$	—	$	—	$	2,445	$	2,445

(1) Money market funds are included in Cash and cash equivalents on the Condensed Consolidated Balance Sheet.

	December 31, 2023
(in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds(1)	$	24,977	$	—	$	—	$	24,977
Total assets	$	24,977	$	—	$	—	$	24,977
Liabilities:
Debt derivative liabilities	$	—	$	—	$	2,987	$	2,987
Total liabilities	$	—	$	—	$	2,987	$	2,987

(1) Money market funds are included in Cash and cash equivalents on the Condensed Consolidated Balance Sheet.

Schedule of Fair Value Instruments Classified Level 3

The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and nine months ended September 30, 2024, were as follows (in thousands):

Three Months Ended September 30, 2024
Beginning Balance, July 1, 2024	$	2,458
Change in fair value included in net loss	(13)
Ending Balance, September 30, 2024	$	2,445

Nine Months Ended September 30, 2024
Beginning Balance, January 1, 2024	$	2,987
Change in fair value included in net loss	(542)
Ending Balance, September 30, 2024	$	2,445

Schedule of Significant Inputs in Liability Valuation

The significant inputs that are included in the valuation of the debt derivative liability - first tranche include:

	September 30, 2024			December 31, 2023
Input
Remaining term (years)	2.75 years			3.5 years
Maturity date	June 30, 2027			June 30, 2027
Coupon rate	9.5% - 13.0%			9.5% - 13.2%
Revenue participation payments	Maximum each year			Maximum each year
Discount rate	11.56%		(1)	12.06%		(1)
Probability of mandatory prepayment 2024 or after	15.0	%	(1)	15.0	%	(1)
Estimated timing of mandatory prepayment event 2024 or after	March 31, 2026		(1)	March 31, 2026		(1)
Probability of optional prepayment event	5.0	%	(1)	5.0	%	(1)
Estimated timing of optional prepayment event	December 31, 2025		(1)	December 31, 2025		(1)
Probability of note held-to-maturity(2)	80.0%		(1)	80.0%		(1)

(1)Represents a significant unobservable input.

(2) See Maturity date in table.

The significant inputs that are included in the valuation of the debt derivative liability - second tranche include:

	September 30, 2024			December 31, 2023
Input
Remaining term (years)	3.75 years			4.5 years
Maturity date	June 30, 2028			June 30, 2028
Coupon rate	9.5% - 13.0%			9.5% - 13.2%
Revenue participation payments	Maximum each year			Maximum each year
Discount rate	14.92	%	(1)	15.60	%	(1)
Probability of mandatory prepayment 2024 or after	15.0%		(1)	15.0%		(1)
Estimated timing of mandatory prepayment event 2024 or after	March 31, 2026		(1)	March 31, 2026		(1)
Probability of optional prepayment event	5.0%		(1)	5.0%		(1)
Estimated timing of optional prepayment event	December 31, 2025		(1)	December 31, 2025		(1)
Probability of held-to-maturity(2)	80.0%			80.0%

(1)Represents a significant unobservable input.

(2)See Maturity date in table.