Annual report [Section 13 and 15(d), not S-K Item 405]

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

v3.25.1
Fair Value Measurements and Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2024
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Measurement Inputs and Valuation Techniques
Year Ended December 31,
2024 2023
Fair value of common stock $0.28 $0.35
Exercise Price $11.50 $11.50
Expected term (in years) 2.5 3.5
Risk-free interest rate 4.26% 3.93%
Volatility 79.86% 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
0%
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, 2024 and December 31, 2023 by level within the fair value hierarchy (in thousands):
December 31, 2024
Level 1 Level 2 Level 3 Total
Financial Assets:
Cash equivalents:
Money market funds $ 17,625  $ —  $ —  $ 17,625 
Total $ 17,625  $ —  $ —  $ 17,625 
Financial Liabilities:
Earn-Out Shares $ —  $ —  $ 1,258  $ 1,258 
Public Warrants —  —  9  9 
Private Placement Warrants —  —  8  8 
Total $ —  $ —  $ 1,275  $ 1,275 
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):
HGI Additional Shares Liability Earn-Out Shares Public Warrants Private Placement Warrants Structural Derivative Liability Total
Balances as of December 31, 2022 $ 580  $ 4,122  $ 670  $ 805  $ 7,050  $ 13,227 
Cancellation —  (347) —  —  —  $ (347)
Changes in fair value 920  (802) (639) (768) 1,420  $ 131 
Settlement (1,500) —  —  —  —  $ (1,500)
Balances as of December 31, 2023 —  2,973  31  37  8,470  11,511 
Change in fair value —  (1,715) (22) (29) (8,122) (9,888)
Settlement —  —  —  —  (348) (348)
Balances as of December 31, 2024 $ —  $ 1,258  $ 9  $ 8  $ —  $ 1,275