Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.24.3
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis by Level

 

    Fair Value Measurements as of September 30, 2024  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 224     $ 224  

 

    Fair Value Measurements as of December 31, 2023  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 304     $ 304  

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 nine months ended September 30, 2024, and 2023. 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 nine months ended September 30, 2024, and 2023 (in thousands):

 

    Common Stock
Warrants
 
Balance as of December 31, 2022   $ 5,126
Issuance of derivatives     6,650
Exercise of warrants     (5,753 )
Change in fair value     (5,344 )
Other     (2 )
Balance as of September 30, 2023   $ 677
         
Balance as of December 31, 2023   $ 304
Issuance of derivatives     3,366
Exercise of warrants     (1 )
Change in fair value     (3,459 )
Other     14
Balance as of September 30, 2024   $ 224
Schedule of Assumptions Used in Estimating the Common Stock Warrant Liability

The assumptions used in estimating the common stock warrant liability using the Monte Carlo simulation valuation model as of September 30, 2024, and December 31, 2023, were as follows:

 

      September 30, 2024       December 31, 2023  
Weighted-average risk-free interest rate     3.55 %-4.54 %     3.93-4.79 %
Weighted-average expected life (in years)     0.35-4.34       1.10-4.12  
Expected dividend yield     - %     - %
Weighted-average expected volatility     140.0%-200.0 %     113.1%-125.7 %