| Summary of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The Company’s financial assets and liabilities subject to fair value measurement on a recurring basis and the level of inputs used for such measurements were as follows (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | Fair value measurements at reporting date using | | | | Quoted Prices in Active Markets for Identical Assets (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | Fair Value at June 30, 2024 | | Assets included in: | | | | | | | | | Cash and cash equivalents | | | | | | | | | Money market securities | $ | 67,625 | | | $ | — | | | $ | — | | | $ | 67,625 | | | | | | | | | | | Marketable securities | | | | | | | | | Corporate debt securities | — | | | 168,417 | | | — | | | 168,417 | | | | | | | | | | | Government and agency - U.S. | — | | | 45,008 | | | — | | | 45,008 | | | Total fair value | $ | 67,625 | | | $ | 213,425 | | | $ | — | | | $ | 281,050 | | | Liabilities included in: | | | | | | | | | Debt, long-term | | | | | | | | | Embedded derivatives liability | $ | — | | | $ | — | | | $ | 1,510 | | | $ | 1,510 | | | Total fair value | $ | — | | | $ | — | | | $ | 1,510 | | | $ | 1,510 | |
| | | | | | | | | | | | | | | | | | | | | | | | | Fair value measurements at reporting date using | | | | Quoted Prices in Active Markets for Identical Assets (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | Fair Value at December 31, 2023 | | Assets included in: | | | | | | | | | Cash and cash equivalents | | | | | | | | | Money market securities | $ | 66,207 | | | $ | — | | | $ | — | | | $ | 66,207 | | | Marketable securities | | | | | | | | | Corporate debt securities | — | | | 201,635 | | | — | | | 201,635 | | | | | | | | | | | Government and agency - U.S. | — | | | 37,554 | | | — | | | 37,554 | | | Total fair value | $ | 66,207 | | | $ | 239,189 | | | $ | — | | | $ | 305,396 | | | Liabilities included in: | | | | | | | | | Debt, long-term | | | | | | | | | Embedded derivatives liability | $ | — | | | $ | — | | | $ | 2,560 | | | $ | 2,560 | | | Total fair value | $ | — | | | $ | — | | | $ | 2,560 | | | $ | 2,560 | |
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| Schedule of the Fair Value using Level 3 Significant Unobservable Inputs |
The following table presents changes in Level 3 liabilities measured at fair value for the six months ended June 30, 2024 (in thousands): | | | | | | | Balance, December 31, 2023 | $ | 2,560 | | | Change in fair value of embedded derivatives | (1,050) | | | Balance, June 30, 2024 | $ | 1,510 | |
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| Schedule of Estimate of Fair Value in Embedded Derivatives in Term Loan |
As of June 30, 2024 and December 31, 2023, the fair value of the embedded derivatives in the Term Loan has been estimated using the Monte Carlo model. A summary of the weighted-average significant unobservable inputs (Level 3 inputs) used in measuring the embedded derivatives in the Term Loan as of June 30, 2024 and December 31, 2023 is as follows: | | | | | | | | | | | | | June 30, 2024 | | December 31, 2023 | | Conversion price | $2.53 | | $2.53 | | Expected term (in years) | 4.2 | | 4.7 | | Expected equity volatility | 102.7% | | 106.7% | | Risk-free interest rate | 4.4% | | 3.9% | | Discount for lack of marketability | 14.5% | | 11.5% | | Expected dividend yield | 0% | | 0% |
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