Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.24.2.u1
Fair Value Measurements
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 4. Fair Value Measurements

The Company’s assets and liabilities that were measured at fair value on a recurring basis were as follows:

 

 

Fair Value Measured as of June 30, 2024

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

(In thousands)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds (i)

 

$

2,067

 

 

$

—

 

 

$

—

 

 

$

2,067

 

Corporate bonds (ii)

 

 

—

 

 

 

699

 

 

 

—

 

 

 

699

 

Total financial assets

 

$

2,067

 

 

$

699

 

 

$

—

 

 

$

2,766

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Common stock warrant liabilities (Public Warrants) (iii)

 

$

48

 

 

$

—

 

 

$

—

 

 

$

48

 

Common stock warrant liabilities (Private Placement
   Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

24

 

 

 

24

 

Common stock warrant liabilities (2022 Private Warrant) (iii)

 

 

—

 

 

 

—

 

 

 

5

 

 

 

5

 

Common stock warrant liabilities (RDO Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

2,037

 

 

 

2,037

 

Common stock warrant liabilities (Placement Agent
   Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

100

 

 

 

100

 

Common stock warrant liabilities (2024 Private
   Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

373

 

 

 

373

 

Common stock warrant liabilities (BEPO
   Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

2,236

 

 

 

2,236

 

Common stock warrant liabilities (BEPO Agent
   Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

110

 

 

 

110

 

Contingent earnout liabilities

 

 

—

 

 

 

—

 

 

 

69

 

 

 

69

 

Total financial liabilities

 

$

48

 

 

$

—

 

 

$

4,954

 

 

$

5,002

 

 

 

Fair Value Measured as of December 31, 2023

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

(In thousands)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds (i)

 

$

3,422

 

 

$

—

 

 

$

—

 

 

$

3,422

 

Corporate bonds (ii)

 

 

—

 

 

 

6,621

 

 

 

—

 

 

 

6,621

 

Total financial assets

 

$

3,422

 

 

$

6,621

 

 

$

—

 

 

$

10,043

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Common stock warrant liabilities (Public Warrants) (iii)

 

$

258

 

 

$

—

 

 

$

—

 

 

$

258

 

Common stock warrant liabilities (Private Placement
   Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

127

 

 

 

127

 

Common stock warrant liabilities (2022 Private Warrant) (iii)

 

 

—

 

 

 

—

 

 

 

23

 

 

 

23

 

Common stock warrant liabilities (RDO Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

10,891

 

 

 

10,891

 

Common stock warrant liabilities (Placement Agent
   Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

536

 

 

 

536

 

Contingent earnout liabilities

 

 

—

 

 

 

—

 

 

 

1,456

 

 

 

1,456

 

Total financial liabilities

 

$

258

 

 

$

—

 

 

$

13,033

 

 

$

13,291

 

 

(i)
Included in cash and cash equivalents on the condensed consolidated balance sheets.
(ii)
Included in short-term investments on the condensed consolidated balance sheets.
(iii)
Included in warrant liabilities on the condensed consolidated balance sheets.

For more information regarding the Public Warrants, the Private Placement Warrants, the 2022 Private Warrant, the RDO Warrants, the Placement Agent Warrants, the 2024 Private Warrants, the BEPO Warrants, and the BEPO Agent Warrants, and the Contingent earnout liabilities, see Note 10, Equity Instruments.

The aggregate fair value of the Company’s money market funds approximated amortized cost and, as such, there were no unrealized gains or losses on money market funds as of June 30, 2024 and December 31, 2023. Realized gains and losses, net of tax, were not material for any of the periods presented.

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments:

 

 

Private
placement
warrant
liabilities

 

 

2022
Private
Warrant

 

 

Contingent
earnout
liabilities

 

 

RDO
Warrants

 

 

Placement
Agent
Warrants

 

 

2024 Private Warrants

 

 

BEPO Warrants

 

 

BEPO Agent Warrants

 

 

(In thousands)

 

Fair value as of January 1, 2024

 

$

127

 

 

$

23

 

 

$

1,456

 

 

$

10,891

 

 

$

536

 

 

$

—

 

 

$

—

 

 

$

—

 

Change in fair value

 

 

114

 

 

5

 

 

 

437

 

 

 

2,162

 

 

 

108

 

 

 

—

 

 

 

—

 

 

 

—

 

Fair value as of March 31, 2024

 

$

241

 

 

$

28

 

 

$

1,893

 

 

$

13,053

 

 

$

644

 

 

$

—

 

 

$

—

 

 

$

—

 

Issuance of instruments

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

6,321

 

 

 

9,020

 

 

 

446

 

Change in fair value

 

 

(217

)

 

 

(23

)

 

 

(1,824

)

 

 

(11,016

)

 

 

(544

)

 

 

(5,948

)

 

 

(6,784

)

 

 

(336

)

Fair value as of June 30, 2024

 

$

24

 

 

$

5

 

 

$

69

 

 

$

2,037

 

 

$

100

 

 

$

373

 

 

$

2,236

 

 

$

110

 

 

 

Private
placement
warrant
liabilities

 

 

2022
Private
Warrant

 

 

Contingent
earnout
liabilities

 

 

RDO
Warrants

 

 

Placement
Agent
Warrants

 

 

2024 Private Warrants

 

 

BEPO Warrants

 

 

BEPO Agent Warrants

 

 

(In thousands)

 

Fair value as of January 1, 2023

 

$

888

 

 

$

109

 

 

$

17,414

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Change in fair value

 

 

869

 

 

 

37

 

 

 

9,653

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Fair value as of March 31, 2023

 

$

1,757

 

 

$

146

 

 

$

27,067

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Change in fair value

 

 

(269

)

 

 

(6

)

 

 

(1,843

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Fair value as of June 30, 2023

 

$

1,488

 

 

$

140

 

 

$

25,224

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

The fair value of the private placement warrant liabilities, the 2022 Private Warrant, the contingent earnout liabilities, the RDO Warrants, the Placement Agent Warrants, the 2024 Private Warrants, the BEPO Warrants, and the BEPO Agent Warrants are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy.

In determining the fair value of the Private Placement Warrant liabilities, contingent earnout liabilities, and 2024 Private Warrants, the Company used the Monte Carlo simulation model using a distribution of potential outcomes on a weekly basis over the applicable periods that assumes optimal exercise of the Company’s redemption option at the earliest possible date (see Note 10, Equity Instruments).

In determining the fair value of the 2022 Private Warrant, RDO Warrants, Placement Agent Warrants, BEPO Warrants, and BEPO Agent Warrants, the Company used the Black-Scholes option pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate and dividend yield (see Note 10, Equity Instruments).