Quarterly report [Sections 13 or 15(d)]

Fair Value Measurements and Fair Value of Financial Instruments

v3.25.1
Fair Value Measurements and Fair Value of Financial Instruments
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements and Fair Value of Financial Instruments Fair Value Measurements and Fair Value of Financial Instruments
The Company measures certain financial assets and liabilities at fair value on a recurring basis. The Company determines fair value based upon the exit price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants, as determined by either the principal market or the most advantageous market. Inputs used in the valuation techniques to derive fair values are classified based on a three-level hierarchy. These levels are:
Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities at the measurement date;
Level 2 – Inputs are observable, unadjusted quoted prices in active markets for similar assets or liabilities, unadjusted quoted prices for identical or similar assets or liabilities in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the related assets or liabilities; and
Level 3 – Unobservable inputs that are significant to the measurement of the fair value of the assets or liabilities that are supported by little or no market data.
Financial instruments consist of cash equivalents, accounts payable, accrued liabilities, debt, Earn-Out Shares (defined in Note 8, Common Stock and Warrants), Public Warrants and Private Placement Warrants. Cash equivalents, Earn-Out Shares and Public Warrants and Private Placement Warrants are stated at fair value on a recurring basis. Accounts payable and accrued liabilities are stated at their carrying value, which approximates fair value due to the short period time to the expected receipt or payment. The carrying amount of the Company’s outstanding debt approximates the fair value as the debt bears interest at a rate that approximates the prevailing market rate.
Upon closing a previous debt facility that was extinguished during the year ended December 31, 2024, the Company recorded a liability related to the features of the facility that were required to be bifurcated and accounted for as a compound derivative at fair value (the “Structural Derivative Liability”). Subsequent changes in fair value of the Structural Derivative Liability until settlement were recognized in the condensed consolidated statements of operations. The Structural Derivative Liability was extinguished during the year ended December 31, 2024.
The Private Placement Warrants are identical to the Public Warrants, with certain exceptions as defined in Note 8, Common Stock and Warrants. As the number of outstanding Public Warrants and Private Placement Warrants did not change as a result of the reverse split, five Public Warrants or five Private Placement Warrants must be bundled together to receive one share of the Company’s Class A common stock. 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,
2025		 December 31,
2024
Fair value of common stock $1.35 $1.40
Exercise Price $57.50 $57.50
Risk-free interest rate 3.96% 4.26%
Expected term (in years) 2.29 2.5
Volatility 81.09% 79.86%
Dividend yield — —

The Earn-Out Shares are classified as Level 3 and their fair values were estimated using a Monte Carlo options pricing model utilizing assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the expected volatility assumption using an average of the implied volatility of its common stock and an implied volatility based on its peer companies.
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):
March 31, 2025
Level 1 Level 2 Level 3 Total
Financial Assets:
Cash equivalents:
Money market funds $ 7,712  $ —  $ —  $ 7,712 
Total $ 7,712  $ —  $ —  $ 7,712 
Financial Liabilities:
Earn-Out Shares $ —  $ —  $ 1,120  $ 1,120 
Public Warrants —  —  5  5 
Private Placement Warrants —  —  5  5 
Total $ —  $ —  $ 1,130  $ 1,130 
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 $ —  $ —  $ 1,257  $ 1,257 
Public Warrants —  —  9  9 
Private Placement Warrants —  —  8  8 
Total $ —  $ —  $ 1,274  $ 1,274 
Earn-Out Shares
Certain Earn-Out Shares are accounted for as a liability, refer to Note 8, Common Stock and Warrants. Subsequent changes in fair value, until settlement or until equity classification is met, is recognized in the statements of operations.
Private Placement and Public Warrants Liabilities
As of March 31, 2025, the Company has Private Placement and Public Warrants defined and discussed in Note 8, Common Stock and Warrants. Such warrants are accounted for as a liability. Subsequent changes in fair value, until settlement, is recognized in the statement of operations.
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 Total
Balance as of December 31, 2024 $ 1,257  $ 9  $ 8  $ 1,274 
Change in fair value (137) (4) (3) (144)
Balances as of March 31, 2025 $ 1,120  $ 5  $ 5  $ 1,130