5. |
Fair Value Measurements |
The Company measures the fair value of financial instruments using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. Each level of input has different levels of subjectivity and difficulty involved in determining fair value.
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Level 1 – Inputs used to measure fair value are unadjusted quoted prices that are available in active markets for the identical assets or liabilities as of the reporting date. Therefore, determining fair value for Level 1 investments generally does not require significant judgment, and the estimation is not difficult. |
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Level 2 – Pricing is provided by third-party sources of market information obtained through investment advisors. The Company does not adjust for or apply any additional assumptions or estimates to the pricing information received from its advisors. |
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Level 3 – Inputs used to measure fair value are unobservable inputs that are supported by little or no market activity and reflect the use of significant management judgment. These values are generally determined using pricing models for which the assumptions utilize management’s estimates of market participant assumptions. The determination of fair value for Level 3 instruments involves the most management judgment and subjectivity. |
The Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2024 and December 31, 2023 by level within the fair value hierarchy, are as follows:
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|
(in thousands) |
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March 31, 2024 |
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|
|
|
Significant |
|
|
|
|
|
Quoted prices |
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other |
|
Significant |
|
|
in active |
|
observable |
|
unobservable |
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|
markets |
|
inputs |
|
inputs |
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|
(Level 1) |
|
(Level 2) |
|
(Level 3) |
Liabilities: |
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|
|
|
|
|
|
|
|
Warrant liabilities |
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$ |
— |
|
$ |
— |
|
$ |
4,621 |
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|
|
|
|
|
|
|
|
|
(in thousands) |
|
December 31, 2023 |
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|
|
|
Significant |
|
|
|
|
|
Quoted prices |
|
other |
|
Significant |
|
|
in active |
|
observable |
|
unobservable |
|
|
markets |
|
inputs |
|
inputs |
|
|
(Level 1) |
|
(Level 2) |
|
(Level 3) |
Liabilities: |
|
|
— |
|
|
— |
|
|
— |
Warrant liabilities |
|
$ |
— |
|
$ |
— |
|
$ |
5,460 |
There were no transfers between Level 1, 2 or 3 during the three months ended March 31, 2024 or 2023.
Warrant Liabilities
The following table includes a summary of changes in fair value of the Company’s warrant liabilities measured at fair value using significant unobservable inputs (Level 3) as of March 31, 2024 and 2023. For March 31, 2024, the fair value of the common warrants was determined using the Black-Scholes Model based on the following key inputs and assumptions: common stock price of $3.15; exercise prices between $4.50 and $1,573.50; expected yield of 0.0%; expected volatility of 119.7%; risk-free interest rate between 4.21% and 4.40% and expected life between 3.4 and 5.0 years.
5. |
Fair Value Measurements, continued |
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For the three month ended March 31, |
(in thousands) |
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2024 |
|
2023 |
Beginning balance |
|
$ |
5,460 |
|
$ |
8,945 |
Additions |
|
|
8,701 |
|
|
5,600 |
Change in fair value |
|
|
(8,129) |
|
|
(5,604) |
Exercise of warrant liabilities |
|
|
(587) |
|
|
(8,170) |
Repurchase |
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|
(824) |
|
|
— |
Ending balance |
|
$ |
4,621 |
|
$ |
771 |
The changes in fair value of the warrant liabilities are recorded in change in fair value of warrant liabilities in the condensed consolidated statements of operations.
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