| Financial Instruments |
Note 3. Financial Instruments The following tables summarize the Company’s financial assets and liabilities measured at fair value by level within the fair value hierarchy:
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March 31, 2025 |
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Adjusted Cost |
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Unrealized Gains |
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Unrealized Losses |
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Fair Value |
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Cash and Cash Equivalent |
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Marketable Securities |
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(in thousands) |
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Assets |
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Cash |
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$ |
12,311 |
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$ |
— |
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$ |
— |
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$ |
12,311 |
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$ |
12,311 |
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$ |
— |
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Level 1 |
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Money market funds |
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5,404 |
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— |
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— |
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5,404 |
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5,404 |
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— |
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Level 2 |
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U.S. Agency securities |
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17,618 |
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2 |
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(3 |
) |
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17,617 |
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— |
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17,617 |
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U.S. Treasury securities |
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4,149 |
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— |
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(1 |
) |
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4,148 |
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— |
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4,148 |
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Commercial paper |
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19,741 |
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3 |
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(4 |
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19,740 |
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3,496 |
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16,244 |
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Corporate bonds |
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21,780 |
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5 |
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(9 |
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21,776 |
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— |
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21,776 |
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Subtotal |
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63,288 |
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10 |
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(17 |
) |
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63,281 |
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3,496 |
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59,785 |
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Total assets |
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$ |
81,003 |
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$ |
10 |
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$ |
(17 |
) |
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$ |
80,996 |
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$ |
21,211 |
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$ |
59,785 |
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Liabilities |
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Level 3 |
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Warrant liabilities |
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— |
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— |
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— |
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13,658 |
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— |
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— |
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Total liabilities |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
13,658 |
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$ |
— |
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$ |
— |
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December 31, 2024 |
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Adjusted Cost |
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Unrealized Gain |
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Unrealized Losses |
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Fair Value |
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Cash and Cash Equivalent |
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Marketable Securities |
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(in thousands) |
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Assets |
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Cash |
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$ |
14,237 |
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$ |
— |
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$ |
— |
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$ |
14,237 |
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$ |
14,237 |
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$ |
— |
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Level 1 |
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Money market funds |
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10,645 |
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— |
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— |
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10,645 |
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10,645 |
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— |
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Level 2 |
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U.S. Government securities |
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17,492 |
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14 |
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(2 |
) |
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17,504 |
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— |
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17,504 |
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U.S. Treasury securities |
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10,957 |
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6 |
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— |
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10,963 |
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2,000 |
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8,963 |
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Commercial paper |
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12,711 |
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9 |
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(4 |
) |
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12,716 |
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1,982 |
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10,734 |
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Corporate bonds |
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45,918 |
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31 |
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(7 |
) |
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45,942 |
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— |
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45,942 |
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Subtotal |
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87,078 |
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60 |
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(13 |
) |
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87,125 |
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3,982 |
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83,143 |
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Total assets |
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$ |
111,960 |
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$ |
60 |
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$ |
(13 |
) |
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$ |
112,007 |
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$ |
28,864 |
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$ |
83,143 |
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Liabilities |
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Level 3 |
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Warrant liabilities |
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— |
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— |
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— |
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8,528 |
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— |
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— |
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Total liabilities |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
8,528 |
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$ |
— |
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$ |
— |
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The fair value of the private placement warrants and Series A warrant liabilities is based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. In determining the fair value of the warrant liabilities, the Company used the Black-Scholes option-pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate, and dividend yield. The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments (in thousands):
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March 31, 2025 |
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December 31, 2024 |
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Fair value, beginning balance |
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$ |
8,258 |
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$ |
6,772 |
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Change in the fair value of Series A warrants included in other income (expense), net |
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5,400 |
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1,500 |
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Change in the fair value of private placement warrants included in other income (expense), net |
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— |
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(14 |
) |
Fair value, closing balance |
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$ |
13,658 |
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$ |
8,258 |
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The key inputs into the Black-Scholes option pricing model for the private placement warrants were as follows for the relevant periods:
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March 31, 2025 |
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December 31, 2024 |
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Expected term (years) |
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1.0 |
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1.2 |
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Expected volatility |
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92.5 |
% |
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90.0 |
% |
Risk-free interest rate |
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3.87 |
% |
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4.21 |
% |
Dividend yield |
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0 |
% |
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0 |
% |
Exercise Price |
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$ |
57.50 |
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$ |
57.50 |
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The key inputs into the Black-Scholes option pricing model for the Series A warrants were as follows for the relevant periods:
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March 31, 2025 |
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December 31, 2024 |
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Expected term (years) |
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2.7 |
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3.0 |
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Expected volatility |
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92.5 |
% |
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90.0 |
% |
Risk-free interest rate |
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3.89 |
% |
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4.23 |
% |
Dividend yield |
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0 |
% |
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0 |
% |
Exercise Price |
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$ |
5.00 |
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$ |
5.00 |
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