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Fair Value Measurement
 6 Months Ended
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.