Fair Value Measurements

3 Months Ended

Mar. 31, 2025

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.

The financial assets and liabilities measured and recognized at fair value were as follows as of March 31, 2025 and December 31, 2024 (in thousands):

	March 31, 2025
		Total		Level 1		Level 2		Level 3
Investments in money market fund – financial assets, included in cash and cash equivalents	$	7,998	$	7,998	$	—	$	—
Convertible Loan– financial liabilities		27,694		—		—		27,694

	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

The Company’s Convertible Loan (Note 7, “Convertible Loan”) is measured at fair value at inception and remeasured at each measurement period, with changes in fair value recorded as other income (expense) in the condensed 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 as of March 31, 2025 and December 31, 2024:

	March 31, 2025	December 31, 2024
Discount rate	18.43%	15.67%-28.28%
Probabilities of settlement scenarios	0%-65%	0%-75%
Volatility	76.40%	83.30%-111.60%
Expected term (in years)	0.80-1.0	0.10-1.20
Risk-free rate	3.97%-4.04%	4.08%-5.33%

The following table presents a summary of the changes in the fair value of its Convertible Loan for the three months ended March 31, 2025 and 2024 (in thousands):

		Three months ended
		March 31, 2025		March 31, 2024
Convertible Loan at the beginning of the period	$	32,897	$	58,633
Change in fair value		(5,203)		13,025
Convertible Loan at the end of the period	$	27,694	$	71,658