Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value of Financial Assets and Liabilities - Derivative Instruments

Schedule of Fair Value Measurements

The following table presents the Company’s fair value measurements using Level 3 inputs during the three and nine months ended September 30, 2023.

	Three Months Ended		Nine Months Ended
	September 30, 2023
Discount rate		22.38%-42.49%		22.38%-45.88%
Probabilities of settlement scenarios		0%-85%		0%-85%
Volatility		106.7%-123.6%		101.1%-123.6%
Expected term		0.2-1.5 Year		0.2-1.5 Year
Risk-free rate		4.97%-5.39%		4.62%-5.39%

Schedule of Changes in Fair Value of Liabilities

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

	Convertible Loan Pre Modification		Convertible Loan Post Modification
Balance at December 31, 2022	$	—	$	—
Net issuance of the Convertible Loan (1)		29,226,000		—
Initial recognition of modified Convertible Loan (1)		—		35,031,000
Change in fair value		(1,757,000)		14,716,000
Amount exchanged (2)		(31,332,000)		—
Loss on extinguishment		3,863,000		—
Balance at September 30, 2023	$	—	$	49,747,000

(1) The Convertible Loan before and after amendment was carried at fair value in the condensed consolidated balance sheets. As such, the principal and accrued interest were included in the determination of fair value. The related debt issuance costs were expensed.

(2) The Company concluded that the amendment to the Convertible Loan was an extinguishment for accounting purposes and the amount exchanged was the relative fair value allocated to the Convertible Loan at the extinguishment date. See Note 7 for further details.