| Summary of Financial assets and Liabilities Measured at Fair Value on Recurring Basis |
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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June 30, 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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$ |
10,054 |
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$ |
— |
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$ |
— |
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$ |
10,054 |
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$ |
10,054 |
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$ |
— |
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Level 1 |
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Money market funds |
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11,689 |
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— |
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— |
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11,689 |
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11,689 |
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— |
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Level 2 |
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U.S. Agency securities |
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5,991 |
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— |
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(1 |
) |
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5,990 |
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— |
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5,990 |
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U.S. Treasury securities |
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7,168 |
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— |
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(1 |
) |
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7,167 |
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— |
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7,167 |
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Commercial paper |
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11,852 |
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— |
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(3 |
) |
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11,849 |
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— |
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11,849 |
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Corporate bonds |
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3,100 |
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— |
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— |
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3,100 |
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— |
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|
3,100 |
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Subtotal |
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28,111 |
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— |
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(5 |
) |
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28,106 |
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— |
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|
28,106 |
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Total assets |
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$ |
49,854 |
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$ |
— |
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$ |
(5 |
) |
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$ |
49,849 |
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$ |
21,743 |
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$ |
28,106 |
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Liabilities |
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Level 3 |
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Warrant liability |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
102,136 |
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$ |
— |
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$ |
— |
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Share subscription liability |
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— |
|
|
|
— |
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|
|
— |
|
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77,496 |
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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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$ |
179,632 |
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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 |
|
|
$ |
(13 |
) |
|
$ |
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 liability |
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— |
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|
— |
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— |
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$ |
8,258 |
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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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$ |
8,258 |
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$ |
— |
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$ |
— |
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| Summary of Changes in Fair Value of Level 3 Financial Instruments |
The following table presents a summary of the changes in the fair value of the Series A and private placement warrants (in thousands):
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June 30, 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 |
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93,270 |
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|
1,500 |
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Change in the fair value of private placement warrants |
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|
608 |
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(14 |
) |
Fair value, closing balance |
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$ |
102,136 |
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$ |
8,258 |
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The following table presents a summary of the changes in the fair value of the share subscription liability (in thousands):
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June 30, 2025 |
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Fair value, beginning balance |
|
$ |
— |
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|
Fair value loss at inception of share subscription agreement |
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8,632 |
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Change in the fair value loss on share subscription liability |
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68,864 |
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Fair value, closing balance |
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$ |
77,496 |
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| Schedule of Option Pricing Model |
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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June 30, 2025 |
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December 31, 2024 |
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Expected term (years) |
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0.7 |
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1.2 |
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Expected volatility |
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106.0 |
% |
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90.0 |
% |
Risk-free interest rate |
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4.12 |
% |
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|
4.21 |
% |
Dividend yield |
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|
0 |
% |
|
|
0 |
% |
Exercise Price |
|
$ |
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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June 30, 2025 |
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|
December 31, 2024 |
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Expected term (years) |
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2.5 |
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|
3.0 |
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Expected volatility |
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|
97.0 |
% |
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|
90.0 |
% |
Risk-free interest rate |
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|
3.67 |
% |
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|
4.23 |
% |
Dividend yield |
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|
0 |
% |
|
|
0 |
% |
Exercise Price |
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$ |
5.00 |
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$ |
5.00 |
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The key inputs into the Monte Carlo option pricing model for the share subscription liability were as follows for the relevant periods:
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June 30, 2025 |
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|
May 13, 2025 |
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Expected term (years) |
|
|
0.04 |
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|
0.17 |
|
Expected volatility |
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|
114.0 |
% |
|
|
104.0 |
% |
Risk-free interest rate |
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|
4.23 |
% |
|
|
4.35 |
% |
Dividend yield |
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|
0 |
% |
|
|
0 |
% |
Exercise Price |
|
$ |
9.26 |
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|
$ |
9.26 |
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|