Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.24.2.u1
Fair Value Measurements
 6 Months Ended
Jun. 30, 2024
Fair Value Measurements  
Fair Value Measurements

6. Fair Value Measurements

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Common Stock Warrant Liabilities

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Warrants

($ in thousands)

    

liabilities

Balance at December 31, 2023

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$

886

Change in fair value of common stock warrants - Avenue

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​

(139)

Change in fair value of common stock warrants - Checkpoint

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​

—

Change in fair value of placement agent warrants - Urica

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​

(24)

Exercise of common stock warrants - Avenue

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​

(400)

Exchange of common stock warrants - Urica

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​

(151)

Balance at June 30, 2024

​

$

172

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Checkpoint

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Checkpoint deemed the placement agent warrants it issued in connection with its registered direct offering (the “December 2022 Placement Agent Warrants”) to be classified as liabilities on the balance sheet as they contain terms for redemption of the underlying security that are outside its control. The December 2022 Placement Agent Warrants were recorded at the time of closing at a fair value determined by using the Black-Scholes model. Checkpoint will revalue the December 2022 Placement Agent Warrants at each reporting period thereafter for as long as they remain outstanding. At June 30, 2024 and December 31, 2023, the liability associated with the December 2022 Placement Agent Warrants was $0.1 million.

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A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the warrant liability that are categorized within Level 3 of the fair value hierarchy was as follows:

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June 30, 

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December 31,

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Checkpoint Warrants

​

2024

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2023

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Exercise price

​

$

5.41

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$

5.41

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Volatility

​

​

106.9

%

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96.4

%

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Expected life in years

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3.5

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4.0

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Risk-free rate

​

​

4.5

%

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3.8

%

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Avenue

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Certain of Avenue’s outstanding warrants to purchase shares of its common stock are classified as liabilities on the balance sheet as they contain terms for redemption of the underlying security that are outside of its control. The Black-Scholes model was used to value these Avenue warrants, at the time of issuance and when re-measured at each financial reporting date, up to exercise or expiration of the warrants, with any changes in fair value being recognized in change in fair value of warrant liabilities, a component of other income (expense) in the unaudited condensed consolidated statements of operations.

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Avenue

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Warrant

($ in thousands)

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Liability

Avenue common stock warrant liabilities at December 31, 2023

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$

586

Exercise of Avenue common warrants

​

​

(400)

Change in fair value of common stock warrant liabilities

​

​

(139)

Avenue common stock warrant liabilities at June 30, 2024

​

$

47

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A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the warrant liability that are categorized within Level 3 of the fair value hierarchy was as follows:

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June 30, 

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December 31

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​

​

2024

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2023

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Stock price

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$ 3.50

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​

$ 12.00

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Risk-free interest rate

    

4.52

%  

​

3.84

%  

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Expected dividend yield

 

—

 

​

—

 

​

Expected term in years

 

3.3

 

​

3.8

 

​

Expected volatility

 

160

%  

​

148

%  

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Urica

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The fair value of Urica’s contingently issuable placement agent warrants in connection with Urica’s first close of its preferred offering in December 2022 was measured using a Monte Carlo simulation valuation methodology. A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring Urica’s warrant liability that are categorized within Level 3 of the fair value hierarchy was as follows:

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December 31,

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​

2023

Risk-free interest rate

    

3.93

%  

Expected dividend yield

 

—

 

Expected term in years

 

0.5

 

Expected volatility

 

153.6

%  

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