Grove Collaborative, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements and Fair Value of Financial Instruments (Tables)

Fair Value Measurements and Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Measurement Inputs and Valuation Techniques

The value of the Public Warrants and Private Placement Warrants was determined by using a Black-Scholes Model with the following assumptions:


	September 30, 2023	December 31, 2022
Fair value of common stock	$0.53	—
Exercise Price	$11.50	—
Risk-free interest rate	4.70%	—
Expected term (in years)	3.79	—
Volatility	69.60%	—
Dividend yield	—	—

The

aggregate fair value of the Volition Warrants was $0.7 million and determined using a Black-Scholes Model with the following inputs:


Fair value of common stock	$	2.16
Exercise Price	$0.01 — $6.33
Expected term in years	3.0
Risk free rate	4.56		%
Volatility	67.24		%
Dividend yield	—		%

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following tables set forth the Company’s financial instruments that were measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 by level within the fair value hierarchy (in thousands):


	September 30, 2023
	Level 1		Level 2		Level 3		Total
Financial Assets:
Cash equivalents:
Money market funds	$	85,511	$	—	$	—	$	85,511
Total	$	85,511	$	—	$	—	$	85,511
Financial Liabilities:
Earn-Out Shares	$	—	$	—	$	4,472	$	4,472
Public Warrants	—		—		113		113
Private Placement Warrants	—		—		100		100
Structural Derivative Liability	—		—		8,340		8,340
Total	$	—	$	—	$	13,025	$	13,025


	December 31, 2022
	Level 1		Level 2		Level 3		Total
Financial Assets:
Cash equivalents:
Money market funds	$	74,990	$	—	$	—	$	74,990
Total	$	74,990	$	—	$	—	$	74,990
Financial Liabilities:
Additional Shares	$	—	$	—	$	580	$	580
Earn-Out Shares	—		—		4,122		4,122
Public Warrants	805		—		—		805
Private Placement Warrants	—		670		—		670
Structural Derivative Liability	—		—		7,050		7,050
Total	$	805	$	670	$	11,752	$	13,227

Schedule of Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table provides a summary of changes in the estimated fair value of these liabilities (in thousands):


	Additional Shares Liability		Earn-Out Shares		Public Warrants		Private Placement Warrants		Structural Derivative Liability		Total
Balance at December 31, 2022	$	580	$	4,122	$	805	$	670	$	7,050	$	13,227
Cancellation	—		(347)		—		—		—		(347)
Change in fair value	920		697		(692)		(570)		1,290		1,645
Settlement	(1,500)		—		—		—		—		(1,500)
Balance at September 30, 2023	$	—	$	4,472	$	113	$	100	$	8,340	$	13,025