Quarterly report pursuant to Section 13 or 15(d)

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

v3.24.3
Fair Value Measurements and Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 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 on a pre-reverse split basis:
September 30,
2024		 December 31,
2023
Fair value of common stock $0.27 $0.35
Exercise Price $11.50 $11.50
Risk-free interest rate 3.58% 3.93%
Expected term (in years) 2.79 3.54
Volatility 80.81% 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 the dates indicated by level within the fair value hierarchy (in thousands):
September 30, 2024
Level 1 Level 2 Level 3 Total
Financial Assets:
Cash equivalents:
Money market funds $ 48,514  $ —  $ —  $ 48,514 
Total $ 48,514  $ —  $ —  $ 48,514 
Financial Liabilities:
Earn-Out Shares $ —  $ —  $ 1,767  $ 1,767 
Public Warrants —  —  14  14 
Private Placement Warrants —  —  13  13 
Structural Derivative Liability —  —  1,697  1,697 
Total $ —  $ —  $ 3,491  $ 3,491 
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 (1,206) (23) (18) (6,773) (8,020)
Balances as of September 30, 2024 $ 1,767  $ 14  $ 13  $ 1,697  $ 3,491