Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2024

Fair Value of Financial Assets and Liabilities - Derivative Instruments

Schedule of assets and liabilities measured at fair value

The financial assets and liabilities measured and recognized at fair value were as follows as of June 30, 2024 and December 31, 2023 (in thousands):

	June 30, 2024
		Total		Level 1		Level 2		Level 3
Investments in money market fund – financial assets, included in cash and cash equivalents	$	21,102	$	21,102	$	—	$	—
Convertible debt– financial liabilities		48,261		—		—		48,261

	December 31, 2023
		Total		Level 1		Level 2		Level 3
Convertible debt– financial liabilities	$	58,633	$	—	$	—	$	58,633

Schedule of Fair Value Measurements

The Company estimated the fair value of its convertible debt using the following inputs as of June 30, 2024 and December 31, 2023:

	June 30, 2024	December 31, 2023
Discount rate	28.28%	21.01%
Probabilities of settlement scenarios	0%-75%	0%-75%
Volatility	111.6%	120.3%
Expected term (in years)	0.26-0.54	0.16-1.04
Risk-free rate	5.18%-5.33%	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):

		Six months ended
		June 30, 2024		June 30, 2023
Convertible debt opening balance	$	58,633	$	—
Issuance of the convertible debt		—		29,226
Change in fair value		(10,372)		(2,874)
Convertible debt closing balance	$	48,261	$	26,352