Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.24.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis by Level Within Fair Value Hierarchy

 

   

Fair Value Measurements as of December 31, 2023

(in thousands)

 
Description   Level 1     Level 2     Level 3     Total  
Derivative liabilities                                
Common stock warrants   $ -     $ -     $ 304     $ 304  

 

   

Fair Value Measurements as of December 31, 2022

(in thousands)

 
Description   Level 1     Level 2     Level 3     Total  
Derivative liabilities                                
Common stock warrants   $ -     $ -     $ 5,126     $ 5,126  
Schedule of Fair Value Measurement Hierarchy of Derivative Liability

The Company did not have any transfers of assets and liabilities between Level 1 and Level 2 of the fair value measurement hierarchy during the years ended December 31, 2023 and 2022. The following table presents a reconciliation of the derivative liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the years ended December 31, 2023 and 2022 (in thousands):

 

   

Common Stock

Warrants

 
Balance as of December 31, 2021   $ (347 )
Issuance of derivatives     (7,586 )
Change in fair value     2,807  
Balance as of December 31, 2022     (5,126 )
Issuance of derivatives     (6,650 )
Exercise of warrants     5,753  
Change in fair value     5,718  
Other     1  
Balance as of December 31, 2023   $ (304 )
Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability using the Monte Carlo simulation valuation model as of December 31, 2023 and 2022 were as follows:

 

    December 31, 2023     December 31, 2022  
Weighted-average risk-free interest rate     3.93-4.79 %     3.99%-4.42 %
Weighted-average expected life (in years)     1.10-4.12       0.07-4.80  
Expected dividend yield     - %     - %
Weighted average expected volatility     113.1%-125.7 %     103.6%-243.0 %