Annual report pursuant to Section 13 and 15(d)

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

v3.24.1
Fair Value Measurements and Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of 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:
Year Ended December 31,
2023 2022
Fair value of common stock $0.35 —
Exercise Price $11.50 —
Expected term (in years) 3.54 —
Risk-free interest rate 3.93% —
Volatility 71.77% —
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 table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis as of December 31, 2023 and December 31, 2022 by level within the fair value hierarchy (in thousands):
December 31, 2023
Level 1 Level 2 Level 3 Total
Financial Assets:
Cash equivalents:
Money market funds $ 83,431  $ —  $ —  $ 83,431 
Total $ 83,431  $ —  $ —  $ 83,431 
Financial Liabilities:
Earn-Out Shares $ —  $ —  $ 2,973  $ 2,973 
Private Placement Warrants —  —  37  37 
Public Warrants —  —  31  31 
Structural Derivative Liability —  —  8,470  8,470 
Total $ —  $ —  $ 11,511  $ 11,511 
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 
Private Placement Warrants —  670  —  670 
Public Warrants 805  —  —  805 
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
Balances at December 31, 2022
 $ 580  $ 4,122  $ 805  $ 670  $ 7,050  $ 13,227 
Cancellation —  (347) —  —  (347)
Changes in fair value
 920  (802) (768) (639) 1,420  131 
Settlement (1,500) —  —  —  —  (1,500)
Balances at December 31, 2023 $ —  $ 2,973  $ 37  $ 31  $ 8,470  $ 11,511