Quarterly report pursuant to Section 13 or 15(d)

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

v3.24.2.u1
Fair Value Measurements and Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 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:
June 30,
2024		 December 31,
2023
Fair value of common stock $0.35 $0.35
Exercise Price $11.50 $11.50
Risk-free interest rate 4.52% 3.93%
Expected term (in years) 3.04 3.54
Volatility 77.26% 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 June 30, 2024 and December 31, 2023 by level within the fair value hierarchy (in thousands):
June 30, 2024
Level 1 Level 2 Level 3 Total
Financial Assets:
Cash equivalents:
Money market funds $ 75,910  $ —  $ —  $ 75,910 
Total $ 75,910  $ —  $ —  $ 75,910 
Financial Liabilities:
Earn-Out Shares $ —  $ —  $ 2,591  $ 2,591 
Public Warrants —  —  33  33 
Private Placement Warrants —  —  30  30 
Structural Derivative Liability —  —  8,651  8,651 
Total $ —  $ —  $ 11,305  $ 11,305 
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 (382) (4) (1) 181  (206)
Balances at June 30, 2024 $ 2,591  $ 33  $ 30  $ 8,651  $ 11,305