Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 30, 2024 and December 31, 2023 (in thousands):

	September 30, 2024
		Total		Level 1		Level 2		Level 3
Investments in money market fund – financial assets, included in cash and cash equivalents	$	10,355	$	10,355	$	—	$	—
Convertible debt– financial liabilities		41,357		—		—		41,357

	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 September 30, 2024 and December 31, 2023:

	September 30, 2024	December 31, 2023
Discount rate	19.50%	21.01%
Probabilities of settlement scenarios	0%-75%	0%-75%
Volatility	93.2%	120.3%
Expected term (in years)	0.26-0.28	0.16-1.04
Risk-free rate	4.58%-4.61%	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 for the nine months ended September 30, 2024 (in thousands):

		September 30, 2024
Convertible debt at December 31, 2023	$	58,633
Change in fair value		(17,276)
Convertible debt at September 30, 2024	$	41,357

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial liabilities for the nine months ended September 30, 2023 (in thousands):

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

(1) The Convertible Loan is carried at fair value in the consolidated balance sheets. As such, the principal and accrued interest are included in the determination of fair value.

(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 (Note 7).