Fair Value Measurements

12 Months Ended

Dec. 31, 2024

Fair Value Measurements

Fair Value Measurements

4. Fair Value Measurements

The Company utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs to the extent possible. The Company determines fair value based on assumptions that market participants would use in pricing an asset or liability in the principal or most advantageous market. When considering market participant assumptions in fair value measurements, the following fair value hierarchy distinguishes between observable and unobservable inputs, which are categorized in one of the following three levels:

● Level 1: Observable inputs such as unadjusted quoted prices in active markets for identical assets or liabilities at the measurement date.

● Level 2: Inputs (other than quoted prices included in Level 1) that are either directly or indirectly observable for the asset or liability. These include quoted prices for similar assets or liabilities in active markets and quoted prices for identical or similar assets or liabilities in markets that are not active.

● Level 3: Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities.

	December 31, 2024
		Total		Level 1		Level 2		Level 3
Investments in money market fund – financial assets, included in cash and cash equivalents	$	4,955	$	4,955	$	—	$	—
Convertible Loan– financial liabilities		32,897		—		—		32,897

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

The Company’s Convertible Loan (Note 7) is measured at fair value and remeasured at each measurement period, with changes in fair value recorded as other income (expense) in the consolidated statement of operations. The Company estimates the fair value of its Convertible Loan using a weighted probability model of various debt settlement scenarios during its term discounted to the reporting date. Conversion option scenarios are valued using option pricing models with assumptions and estimates such as volatility, expected term and risk-free interest rates.

Level 3 fair value inputs include probability and timing of various settlement scenarios and selection of comparable companies.

The Company estimated the fair value of its Convertible Loan using the following inputs for the years ended December 31, 2024 and 2023:

	December 31, 2024	December 31, 2023
Discount rate	15.67%-28.28%	21.01%-45.88%
Probabilities of settlement scenarios	0%-75%	0%-85%
Volatility	83.30%-111.60%	101.1%-123.6%
Expected term (in years)	0.10-1.20	0.20-1.50
Risk-free rate	4.08%-5.33%	4.62%-5.39%

The following table presents a summary of the changes in the fair value of its Convertible Loan for the years ended December 31, 2024 and 2023 (in thousands):

		December 31, 2024		December 31, 2023
Convertible Loan at the beginning of the period	$	58,633	$	—
Net issuance of the Convertible Loan (1)		—		29,226
Initial recognition of modified Convertible Loan (1)		—		35,031
Change in fair value		(31,399)		21,845
Amount exchanged (2)		—		(31,332)
Loss on the Convertible Loan extinguishment		5,663		3,863
Convertible Loan at the end of the period	$	32,897	$	58,633

(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 detemination 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 , “Convertible Loan”).