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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2023
Fair Value Disclosures [Abstract] |
Fair Value Measurements | NOTE 12 - FAIR VALUE MEASUREMENTS The following tables summarize the fair value of assets and liabilities that are recorded in the Company’s consolidated balance sheets as of December 31, 2023 and 2022 at fair value on a recurring basis.
| December 31, 2023
| Frequency of Measurement |  | Total |  | Level 1 |  | Level 2 |  | Level 3
Liabilities |  |  |  |  |  |  |  |  |
Earn-out liabilities | Recurring |  | $ | 14,032 |  |  | $ | — |  |  | $ | — |  |  | $ | 14,032 |
Warrant liabilities - Series A | Recurring |  | 8,612 |  |  | — |  |  | — |  |  | 8,612 |
Warrant liabilities - Series B | Recurring |  | 2,682 |  |  | — |  |  | — |  |  | 2,682 |
Warrant liabilities |  |  | 11,294 |  |  | — |  |  | — |  |  | 11,294 |
Total liabilities measured at fair value |  |  | $ | 25,326 |  |  | $ | — |  |  | $ | — |  |  | $ | 25,326 |
| December 31, 2022
| Frequency of Measurement |  | Total |  | Level 1 |  | Level 2 |  | Level 3
Liabilities |  |  |  |  |  |  |  |  |
SAFE Agreement liabilities | Recurring |  | $ | 18,314 |  |  | $ | — |  |  | $ | — |  |  | $ | 18,314 |
Total liabilities measured at fair value |  |  | $ | 18,314 |  |  | $ | — |  |  | $ | — |  |  | $ | 18,314 |
The following table provides a roll-forward of the Company’s Level 3 liabilities (in thousands):
| Earn-out liabilities |  | Warrant liabilities - Series A |  | Warrant liabilities - Series B |  | Total Warrant liabilities |  | SAFE Agreement liabilities
Balance, December 31, 2022 | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 18,314 |
Additions | 99,659 |  |  | 17,459 |  |  | 9,270 |  |  | 26,729 |  |  | — |
Change in fair value | (66,252) |  |  | (8,847) |  |  | (6,588) |  |  | (15,435) |  |  | 2,353 |
Converted to equity | (19,375) |  |  | — |  |  | — |  |  | — |  |  | (20,667) |
Balance, December 31, 2023 | $ | 14,032 |  |  | 8,612 |  |  | 2,682 |  |  | 11,294 |  |  | $ | — |
Earn-out Liabilities The fair value of the earn-out liabilities as of December 31, 2023 was estimated using a Monte Carlo simulation approach that modeled the triggering events including the simulated stock price of the Company over the maturity dates. The significant assumptions utilized in estimating the fair value of the earn-out liabilities include: (i) Intuitive Machines stock price of $2.56; (ii) a dividend yield of 0.0%; (iii) a risk-free rate of 3.84%; and (iv) expected volatility of 105%. In conjunction with the closing of the Business Combination on February 13, 2023, the fair value of the earn-out liabilities was estimated at $99.7 million. The significant assumptions utilized in estimating the fair value of the earn-out liabilities include: (i) Intuitive Machines stock price of $10.42; (ii) a dividend yield of 0.0%; (iii) a risk-free rate of 3.93%; and (iv) expected volatility of 100%. The probability of the Company being awarded the OMES III contract was assumed at 60%. Warrant Liabilities The fair value of the Series A Warrant and the Series B Warrant liabilities as of December 31, 2023 was estimated using a Black-Scholes-Merton model. The significant assumptions utilized in estimating the fair value of the Series A Warrant liabilities include: (i) a per share price of the Class A Common Stock of $2.56; (ii) a dividend yield of 0.0%; (iii) a risk-free rate of 3.84%; and (iv) expected volatility of 105%. The significant assumptions utilized in estimating the fair value of the Series B Warrant liabilities include: (i) a per share price of the Class A Common Stock of $2.56; (ii) a dividend yield of 0.0%; (iii) a risk-free rate of 4.69%; and (iv) expected volatility of 92%. In connection with the closing of the Private Placement on September 5, 2023 as described further in Note 9, the fair values of the Series A Warrant and the Series B Warrant liabilities were estimated at $17.4 million and $9.3 million, respectively. The significant assumptions utilized in estimating the fair value of the Series A Warrant liabilities include: (i) a per share price of the Class A Common Stock of $4.96; (ii) a dividend yield of 0.0%; (iii) a risk-free rate of 4.37%; and (iv) expected volatility of 90%. The significant assumptions utilized in estimating the fair value of the Series B Warrant liabilities include: (i) a per share price of the Class A Common Stock of $4.96; (ii) a dividend yield of 0.0%; (iii) a risk-free rate of 5.18%; and (iv) expected volatility of 76%. SAFE Agreements Prior to the Business Combination described in Notes 1 and 3, the fair value of the SAFE Agreements under the equity financing scenario were estimated using a Monte Carlo simulation approach. The fair value of the SAFE Agreements under the liquidity event and dissolution event scenarios were estimated based on the present value of the purchase amount. The unobservable inputs used in the fair value measurement of the Company’s SAFE Agreements are the probabilities of future scenarios, volatility, discount rate and risk-free rate. As of December 31, 2022, the probability of an equity financing was 0%, the probability of a liquidity event was 95% and the probability of a dissolution event was 5%. The value under the liquidity event and dissolution event scenarios is based on the present value of the purchase amount. The present value factors are estimated based on a 16.4% discount rate based on venture capital rates of return for December 31, 2022. The periods in which the scenarios are expected to occur for the liquidity event and dissolution events are 0.25 year and 1 year, respectively as of December 31, 2022. In conjunction with the closing of the Business Combination on February 13, 2023, the fair value of the SAFE Agreements was estimated at $20.7 million. The fair value was estimated using the 2,066,667 shares of Class A Common Stock issued to the SAFE investors at the Closing Date using the issuance price of $10.00 per share.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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