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

Fair Value Measurements

v3.25.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 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 December 31, 2024

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(In thousands)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds (i)

 

 

215

 

 

 

—

 

 

 

—

 

 

 

215

 

Total financial assets

 

$

215

 

 

$

—

 

 

$

—

 

 

$

215

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

—

 

 

$

—

 

 

$

1

 

 

$

1

 

Common stock warrant liabilities (RDO Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

90

 

 

 

90

 

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

 

 

—

 

 

 

—

 

 

 

16

 

 

 

16

 

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

 

 

—

 

 

 

—

 

 

 

378

 

 

 

378

 

Common stock warrant liabilities (BEPO Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

18

 

 

 

18

 

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

 

 

—

 

 

 

—

 

 

 

2

 

 

 

2

 

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

 

 

—

 

 

 

—

 

 

 

865

 

 

 

865

 

Common stock warrant liabilities (August Inducement Warrants) (iii)

 

 

—

 

 

 

—

 

 

 

796

 

 

 

796

 

Contingent earnout liabilities

 

 

—

 

 

 

—

 

 

 

11

 

 

 

11

 

Total financial liabilities

 

$

—

 

 

$

—

 

 

$

2,177

 

 

$

2,177

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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) (iii)

 

$

258

 

 

$

—

 

 

$

—

 

 

$

258

 

Common stock warrant liabilities (Private Placement) (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 consolidated balance sheets.
(ii)
Included in short-term investments on the consolidated balance sheets.
(iii)
Included in warrant liabilities on the consolidated balance sheets.

For more information regarding the Public Warrants, the Private Placement Warrants, the 2022 Private Warrants, the RDO Warrants, the Placement Agent Warrants, the 2024 Private Warrants, the BEPO warrants, the BEPO Agent Warrants, the July 2024 Private Warrants, the August Inducement 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 December 31, 2024 and 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

 

 

Debt
derivatives

 

 

RDO
Warrants

 

 

Placement
Agent
Warrants

 

 

2024 Private Warrants

 

 

BEPO Warrants

 

 

BEPO Agent Warrants

 

 

July 2024 Private Warrants

 

 

August Inducement Warrants

 

 

 

(In Thousands)

 

Fair value as of January 1, 2024

 

$

127

 

 

$

23

 

 

$

1,456

 

 

$

—

 

 

$

10,891

 

 

$

536

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Issuance of instruments

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

6,321

 

 

 

9,020

 

 

 

446

 

 

 

4,200

 

 

 

2,437

 

Change in fair value

 

 

(127

)

 

 

(22

)

 

 

(1,445

)

 

 

—

 

 

 

(10,801

)

 

 

(520

)

 

 

(6,319

)

 

 

(8,642

)

 

 

(428

)

 

 

(3,335

)

 

 

(1,641

)

Fair value as of December 31, 2024

 

$

—

 

 

$

1

 

 

$

11

 

 

$

—

 

 

$

90

 

 

$

16

 

 

$

2

 

 

$

378

 

 

$

18

 

 

$

865

 

 

$

796

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value as of January 1, 2023

 

$

888

 

 

$

109

 

 

$

17,414

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Issuance of instruments

 

 

—

 

 

 

—

 

 

 

—

 

 

 

13,890

 

 

 

10,891

 

 

 

536

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Change in fair value

 

 

(761

)

 

 

(86

)

 

 

(15,958

)

 

 

(8,485

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Extinguishment of debt derivatives in connection with debt extinguishment

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(5,405

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Fair value as of December 31, 2023

 

$

127

 

 

$

23

 

 

$

1,456

 

 

$

—

 

 

$

10,891

 

 

$

536

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

The fair value of the Private placement warrant liability, the 2022 Private Warrant liability, the Contingent earnout liability, the Debt derivative liability, the RDO Warrant liability, the Placement Agent Warrant liability, the 2024 Private Warrant liability, the BEPO warrant liability, the BEPO Agent Warrant liability, the July 2024 Private Warrant liability, and the August Inducement Warrant liability 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 liability, Contingent earnout liability, Debt derivative liability and the 2024 Private Warrant liability, 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 liability, RDO Warrant liability, Placement Agent Warrant liability, BEPO Warrant liability, BEPO Agent Warrant liability, July 2024 Private Warrant liability and August Inducement Warrant liability 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).