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Fair Value Measurement | 6 Months Ended
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Jun. 30, 2024
Fair Value Measurement [Abstract] |
Fair value measurement |
| 12. | Fair value measurement
The following table provides information related to the Company’s assets and liabilities measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023:
|  | June 30, 2024 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Warrant liabilities |  | $ | 6,290 |  |  | $ |  |  |  | $ |  |  |  | $ | 6,290 |
Earnout liabilities |  |  |  |  |  |  |  |  |  |  | 290,765 |  |  |  | 290,765 |
|  | $ | 6,290 |  |  | $ | - |  |  | $ | 290,765 |  |  | $ | 297,055 |
|  | December 31, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Warrant liabilities |  | $ | 3,904 |  |  | $ |  |  |  | $ |  |  |  | $ | 3,904 |
Earnout liabilities |  |  |  |  |  |  |  |  |  |  | 488,641 |  |  |  | 488,641 |
|  | $ | 3,904 |  |  | $ |  |  |  | $ | 488,641 |  |  | $ | 492,545 |
The warrant liability fair value is based on quoted market prices in active markets, and therefore is classified within Level 1 of the fair value hierarchy. The earnouts based on revenue and earnings before interest, taxes, depreciation and amortization (“EBITDA”) as well as the earnouts based on the Company’s stock price have been classified within Level 3 of the hierarchy as the fair value is derived using a Monte Carlo simulation analysis in a risk neutral framework, which uses a combination of observable (Level 2) and unobservable (Level 3) inputs. Key estimates and assumptions impacting the fair value measurement include the Company’s revenue and EBITDA forecasts as well as the assumptions listed in the tables below. The fair value measurement associated with the earnout liability is highly sensitive to changes in stock price and forecasted amounts for revenue through 2024. Any changes to stock price and forecasted revenues in 2024 will result in remeasurement of the earnout liability and could result in material gains or losses being recognized in the condensed consolidated statement of operations and comprehensive income (loss). The Company estimated the fair value per share of the underlying common stock based, in part, on the results of third-party valuations and additional factors deemed relevant. The risk-free interest rate was determined by reference to the U.S. Treasury yield curve for time periods approximately equal to the remaining contractual term of the earnouts. The Company has not paid dividends and does not intend to do so in the foreseeable future, based on the fact that prior to the Business Combination, the Company had never paid or declared dividends and does not intend to do so in the foreseeable future. Prior to the Business Combination, the Company was a private company and lacked company-specific historical and implied volatility information of its stock, and as such, the expected stock volatility was based on the historical volatility of publicly traded peer companies for a term equal to the remaining expected term of the warrants. The following table presents the unobservable inputs of the earnout liability for earnout shares based on revenue and EBITDA targets:
|  | June 30, 2024 |  |  | December 31, 2023 |
Current stock price |  |  | 10.46 |  |  |  | 12.30 |
Earnout period – beginning |  |  | 7/1/2023 |  |  |  | 7/1/2023 |
Earnout period – end |  |  | 12/31/2024 |  |  |  | 12/31/2024 |
Equity volatility, EBITDA volatility |  |  | 25.0 | % |  |  | 25.0 | %
Operational leverage ratio |  |  | 65.00 | % |  |  | 65.00 | %
Revenue volatility |  |  | 10.00 | % |  |  | 10.00 | %
Revenue/stock price correlation |  |  | 45.00 | % |  |  | 45.00 | %
EBITDA/stock price correlation |  |  | 35.00 | % |  |  | 25.00 | %
Revenue discount rate |  |  | 9.47 | % |  |  | 9.21 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
The following table presents the unobservable inputs of the earnout liability for earnout shares based on the Company’s stock price:
|  | June 30, 2024 |  |  | December 31, 2023 |
Term (years) |  |  | 5.3 |  |  |  | 5.8 |
Volatility |  |  | 40.00 | % |  |  | 40.00 | %
Risk-free rate |  |  | 4.28 | % |  |  | 3.80 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
Current stock price |  |  | 10.46 |  |  |  | 12.3 |
The following table summarizes the activity for the Company’s Level 3 instruments measured at fair value on a recurring basis (in thousands):
|  | Earnout Liabilities |
Balance as of December 31, 2023 |  | $ | 488,641 |
Issuances |  |  | - |
Change in fair value |  |  | (118,615 | )
Balance as of March 31, 2024 |  | $ | 370,026 |
Release of earnout shares |  |  | (66,255 | )
Change in fair value |  |  | (13,006 | )
Balance as of June 30, 2024 |  | $ | 290,765 |
There were no transfers between Level 1 and Level 2, nor into and out of Level 3, during the periods presented.

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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/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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