Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements and Hierarchy

v3.24.1
Fair Value Measurements and Hierarchy
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurements and Hierarchy
Note 5: Fair Value Measurements and Hierarchy
Information about the Company’s financial liabilities measured at fair value on a recurring basis is presented below:
Level 1 Level 2 Level 3 Total
(in thousands)
Warrant liability as of December 31, 2023 $ 1,056  $ —  $ 29  $ 1,085 
Warrant liability as of December 31, 2022 $ 1,477  $ —  $ 40  $ 1,517 
The key Level 3 inputs into the option pricing model related to the private placement warrants to purchase Class A common stock were as follows:
December 31,
2023 2022
Volatility 75  % 55  %
Risk-free interest rate 4.01  % 4.11  %
Exercise price $ 11.50  $ 11.50 
Expected term 2.9 Years 3.9 Years
Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the warrants would each result in a directionally similar change in the estimated fair value of the Company’s warrant liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not, and does not plan to, declare dividends on its common stock and, as such, there is no change in the estimated fair value of the warrant liabilities due to the dividend assumption.
The following table sets forth a summary of changes in the fair value of the Company’s private placement warrants to purchase Class A common stock, which are considered to be Level 3 fair value measurements:
December 31,
2023 2022
(in thousands)
Beginning balance $ 40  $ 502 
Mark-to-market adjustment of stock warrants (11) (462)
Ending balance $ 29  $ 40 
The Company recorded gains on the changes in the fair value of public warrants of $0.4 million and $9.4 million during the years ended December 31, 2023 and 2022, respectively.
The book value of cash; clinic fees, insurance receivables, and other receivables; accounts payable; and accrued expenses and other current liabilities approximate fair value because of the short maturity and high liquidity of these instruments.