Annual report [Section 13 and 15(d), not S-K Item 405]

Fair Value Measurements and Hierarchy (Tables)

v3.25.1
Fair Value Measurements and Hierarchy (Tables)
12 Months Ended
Dec. 31, 2024
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Hierarchy for Financial Liabilities
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, 2024 $ 127  $ —  $ 10,185  $ 10,312 
Warrant liability as of December 31, 2023 $ 1,056  $ —  $ 29  $ 1,085 
Schedule of Fair Value Measurement Inputs and Valuation Techniques
The key Level 3 weighted average inputs into the option pricing model related to the private placement warrants to purchase Class A common stock were as follows:
December 31,
2024 2023
Volatility 91.7  % 75.0  %
Risk-free interest rate 4.4  % 4.0  %
Exercise price $ 0.50  $ 11.50 
Expected term 6.2 years 2.9 years
The key Level 3 inputs into the option pricing model related to the May 2024 Warrants at inception were as follows:
Volatility 95.0  %
Risk-free interest rate 4.5  %
Exercise price $ 0.50 
Expected term 7.0 years
The key Level 3 inputs into the option pricing model related to the VGS 3 Warrants were as follows:
Volatility 91.6  %
Risk-free interest rate 4.2  %
Exercise price $ 0.21 
Expected term 6.8 years
Schedule of Changes in the Fair Value
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,
2024 2023
(in thousands)
Beginning balance $ 29  $ 40 
Issuance of May 2024 Common Warrants (see Note 12)
31,341  — 
Mark-to-market adjustment of stock warrants (21,185) (11)
Ending balance $ 10,185  $ 29