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Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2024
Fair Value of Financial Assets and Liabilities - Derivative Instruments  
Schedule of Fair Value Measurements

The Company estimated the fair value of its convertible debt using the following inputs as of March 31, 2024 and December 31, 2023:

March 31, 2024

December 31, 2023

Discount rate

23.75%

21.01%

Probabilities of settlement scenarios

0%-75%

0%-75%

Volatility

109.80%

123.3%

Expected term (in years)

0.3-0.8

0.2-1.0

Risk-free rate

5.05%-5.32%

4.66%-5.36%

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):

Three months ended

March 31, 2024

March 31, 2023

Convertible debt opening balance

$

58,633

$

Issuance of the convertible debt

29,226

Change in fair value

 

13,025

3,162

Convertible debt closing balance

$

71,658

$

32,388