v3.25.2
Fair Value Measurements
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The following tables present the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of the periods presented:
June 30, 2025
(in thousands)(Level 1)(Level 2)(Level 3)Total
Assets:
Money market funds (1)
$10,869 $— $— $10,869 
U.S. Treasuries
9,886 — — 9,886 
Total assets$20,755 $— $— $20,755 
Liabilities:
Debt derivative liabilities$— $— $2,078 $2,078 
__________
(1)Money market funds are included in Cash and cash equivalents on the Condensed Consolidated Balance Sheet.
December 31, 2024
(in thousands)(Level 1)(Level 2)(Level 3)Total
Assets:
Money market funds (1)
$19,399 $— $— $19,399 
U.S. Treasuries
5,928 — — 5,928 
Total assets$25,327 $— $— $25,327 
Liabilities:
Debt derivative liabilities$— $— $2,400 $2,400 
__________
(1)Money market funds are included in Cash and cash equivalents on the Condensed Consolidated Balance Sheet.
The changes in Level 3 liabilities measured at fair value on a recurring basis for the periods indicated were as follows:
Three Months Ended June 30,
(in thousands)20252024
Balance at March 31, 2025 and 2024$2,558 $2,922 
Change in fair value included in net income (loss)(480)(464)
Balance at June 30, 2025 and 2024$2,078 $2,458 
Six Months Ended June 30,
(in thousands)20252024
Balance at December 31, 2024 and 2023$2,400 $2,987 
Change in fair value included in net loss(322)(529)
Balance at June 30, 2025 and 2024$2,078 $2,458 
There were no changes in the levels or methodology of the measurement of financial assets or liabilities during the three and six months ended June 30, 2025 and 2024.
The debt derivative liabilities are measured using a “with and without” valuation model to compare the fair value of each tranche of the credit facility the Company has with Oberland Capital and its affiliates (the “Credit Facility”) including the identified embedded derivative features and the fair value of a plain vanilla note with the same terms. The fair value of the Credit Facility including the identified embedded derivative features was determined using a probability-weighted expected return model based on three potential settlement scenarios for the Credit Facility included in the table below. The estimated settlement value of each scenario, which would include any required make-whole payment, is then discounted to present value using a discount rate that is derived based on the initial terms of the Credit Facility at issuance and corroborated utilizing a synthetic credit rating analysis.
The significant inputs that are included in the valuation of the debt derivative liability - first tranche as of the periods presented include:
InputJune 30, 2025December 31, 2024
Remaining term
2.0 years2.5 years
Maturity dateJune 30, 2027June 30, 2027
Coupon rate
9.5% - 13.0%
9.5% - 13.0%
Revenue participation paymentsMaximum each yearMaximum each year
Discount rate11.68%(1)12.22%(1)
Probability of mandatory prepayment event15.0%(1)15.0%(1)
Estimated timing of mandatory prepayment event March 31, 2026(1)March 31, 2026(1)
Probability of optional prepayment event5.0%(1)5.0%(1)
Estimated timing of optional prepayment eventDecember 31, 2025(1)December 31, 2025(1)
Probability of note held-to-maturity (2)
80.0%(1)80.0%(1)
__________
(1)Represents a significant unobservable input.
(2)See Maturity date in table.
The significant inputs that are included in the valuation of the debt derivative liability - second tranche as of the periods presented include:
InputJune 30, 2025December 31, 2024
Remaining term
3.0 years3.5 years
Maturity dateJune 30, 2028June 30, 2028
Coupon rate
9.5% - 13.0%
9.5% - 13.0%
Revenue participation paymentsMaximum each yearMaximum each year
Discount rate14.67%(1)15.48%(1)
Probability of mandatory prepayment event15.0%(1)15.0%(1)
Estimated timing of mandatory prepayment eventMarch 31, 2026(1)March 31, 2026(1)
Probability of optional prepayment event5.0%(1)5.0%(1)
Estimated timing of optional prepayment eventDecember 31, 2025(1)December 31, 2025(1)
Probability of held-to-maturity (2)
80.0%(1)80.0%(1)
__________
(1)Represents a significant unobservable input.
(2)See Maturity date in table.
The fair values of cash, restricted cash, accounts receivable, accounts payable and accrued expenses approximate the carrying values because of the short-term nature of these instruments. The carrying value and fair value of the Credit Facility were $50,000 and $51,103 at June 30, 2025 and $47,496 and $51,307 at December 31, 2024, respectively. See Note 8 - Long-Term Debt, Net of Debt Discount and Financing Fees.