Quarterly report pursuant to Section 13 or 15(d)

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

v3.24.1.1.u2
Fair Value Measurements and Fair Value of Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurement Inputs and Valuation Techniques The Private Placement Warrants and Public Warrants are classified as Level 3 and their value was determined by using a Black-Scholes Model with the following assumptions:
March 31,
2024		 December 31,
2023
Fair value of common stock $0.33 $0.35
Exercise Price $11.50 $11.50
Risk-free interest rate 4.40% 3.93%
Expected term (in years) 3.29 3.54
Volatility 75.39% 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 tables set forth the Company’s financial instruments that were measured at fair value on a recurring basis as of March 31, 2024 and December 31, 2023 by level within the fair value hierarchy (in thousands):
March 31, 2024
Level 1 Level 2 Level 3 Total
Financial Assets:
Cash equivalents:
Money market funds $ 74,645  $ —  $ —  $ 74,645 
Total $ 74,645  $ —  $ —  $ 74,645 
Financial Liabilities:
Earn-Out Shares $ —  $ —  $ 2,722  $ 2,722 
Public Warrants —  —  32  32 
Private Placement Warrants —  —  29  29 
Structural Derivative Liability —  —  8,530  8,530 
Total $ —  $ —  $ 11,313  $ 11,313 
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 
Public Warrants —  —  31  31 
Private Placement Warrants —  —  37  37 
Structural Derivative Liability —  —  8,470  8,470 
Total $ —  $ —  $ 11,511  $ 11,511 
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):
Earn-Out Shares Public Warrants Private Placement Warrants Structural Derivative Liability Total
Balance at December 31, 2023 $ 2,973  $ 37  $ 31  $ 8,470  $ 11,511 
Change in fair value (251) (5) (2) 60  (198)
Balance at March 31, 2024 $ 2,722  $ 32  $ 29  $ 8,530  $ 11,313