XML 272 R42.htm IDEA: XBRL DOCUMENT
v3.24.2.u1

Fair Value Measurements | 6 Months Ended
--- | ---
Jun. 30, 2024
Fair Value Disclosures [Abstract] |
Fair Value Measurements | 4. Fair Value Measurements The following tables present the Company’s fair value hierarchy for its assets and liabilities that are measured at fair value on a recurring basis and indicate the level within the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:
| Fair Value Measurements at December 31, 2023
(In thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |
Money market mutual funds | $ | 887 |  |  | $ | — |  |  | $ | — |  |  | $ | 887 |
Short-term investments | 849 |  |  | 70,381 |  |  | — |  |  | 71,230 |
| $ | 1,736 |  |  | $ | 70,381 |  |  | $ | — |  |  | $ | 72,117 |
Liabilities: |  |  |  |  |  |  |
Warrant liability - public warrants | $ | 1,555 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,555 |
Warrant liability - private placement warrants | — |  |  | 953 |  |  | — |  |  | 953 |
| $ | 1,555 |  |  | $ | 953 |  |  | $ | — |  |  | $ | 2,508 |
| Fair Value Measurements at December 31, 2022
(In thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |
Money market mutual funds | $ | 515 |  |  | $ | — |  |  | $ | — |  |  | $ | 515 |
Short-term investments | — |  |  | 69,448 |  |  | — |  |  | 69,448 |
| $ | 515 |  |  | $ | 69,448 |  |  | $ | — |  |  | $ | 69,963 |
Liabilities: |  |  |  |  |  |  |
Derivative liability | $ | — |  |  | $ | — |  |  | $ | 971 |  |  | $ | 971 |
| $ | — |  |  | $ | — |  |  | $ | 971 |  |  | $ | 971 |
The fair values of government money market funds have been measured on a recurring basis using Level 1 inputs, which are based on unadjusted quoted market prices within active markets. The short-term investments, including investments in fixed income securities, have been measured using quoted pricing on active markets for Level 1 investments and inputs based on alternative pricing sources and models utilizing observable market inputs for Level 2 investments. The fair value of the Public Warrants is classified as Level 1 due to the use of an observable market quote in an active market. The fair value of the Private Placement Warrants is classified as Level 2 due to the use of an observable market quote for the Public Warrants, which are considered to be a similar asset in an active market. The warrant liability is calculated by multiplying the quoted market price of the Company’s Public Warrants by the total number of Public Warrants and Private Placement Warrants. The Company’s Level 3 liability historically consisted of an embedded derivative liability associated with the Company’s Bridge Notes (as defined in Note 15, "Debt"). On October 17, 2022, the closing date of the Bridge Notes, the Company recorded the fair value of the embedded derivative liability associated with the Bridge Notes. The embedded derivative liability was subject to remeasurement at the end of each reporting period, with changes in fair value recognized as a component of other income (expense), net. The fair value of the derivative liability was determined using a Monte Carlo Simulation (“MCS”) analysis, which uses Level 3 inputs. The MCS analysis contains inherent assumptions related to expected stock price volatility, estimated Merger Closing Date, risk-free interest rate, estimated market yield and the probability of a successful transaction. Due to the use of significant unobservable inputs, the overall fair value measurement of the derivative liability was classified as Level 3. Upon the closing of the Merger, the convertible note was converted into shares of flyExclusive Class A Common stock, which triggered the termination of the derivative liability. The fair value of the derivative liability as of October 17, 2022 and December 27, 2023 was determined using the following assumptions:
| October 17, 2022
Exchange closing price | $ | 9.82 |
Contractual conversion price | $ | 10.00 |
Risk-free rate | 4.3 | %
Estimated volatility | 4.5 | %
| December 27, 2023
Exchange closing price | $ | 11.98 |
Contractual conversion price | $ | 10.00 |
Risk-free rate | 5.6 | %
Estimated volatility | 15.1 | %
The following table shows the change in the fair value of the derivative liability for the year ended December 31, 2023 and December 31, 2022:
(In thousands) | Amount
Balance as of December 31, 2021 | $ | — |
Issuance of derivative instrument | $ | 1,441 |
Change in fair value of derivative liability | $ | (470) |
Balance as of December 31, 2022 | $ | 971 |
Change in fair value of derivative liability | 14,589 |
Derecognition of derivative liability | $ | (15,560) |
Balance as of December 31, 2023 | $ | — |
There have been no changes in valuation techniques and related inputs. As of December 31, 2023 and December 31, 2022, there were no transfers between Level 1, Level 2, and Level 3. 5. Fair Value Measurements The following tables present the Company’s fair value hierarchy for its assets and liabilities that are measured at fair value on a recurring basis and indicate the level within the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:
| Fair Value Measurements at June 30, 2024
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |
Money market mutual funds | $ | 1,750 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,750 |
Investments in Securities | 842 |  |  | 68,589 |  |  | — |  |  | 69,431 |
| $ | 2,592 |  |  | $ | 68,589 |  |  | $ | — |  |  | $ | 71,181 |
Liabilities: |  |  |  |  |  |  |
Warrant liability - public warrants | $ | 1,399 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,399 |
Warrant liability - private placement warrants | — |  |  | 2,405 |  |  | — |  |  | 2,405 |
Warrant liability - penny warrants | — |  |  | — |  |  | 1,422 |  |  | 1,422 |
| $ | 1,399 |  |  | $ | 2,405 |  |  | $ | 1,422 |  |  | $ | 5,226 |
| Fair Value Measurements at December 31, 2023
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |
Money market mutual funds | $ | 887 |  |  | $ | — |  |  | $ | — |  |  | $ | 887 |
Investments in Securities | 849 |  |  | 70,381 |  |  | — |  |  | 71,230 |
| $ | 1,736 |  |  | $ | 70,381 |  |  | $ | — |  |  | $ | 72,117 |
Liabilities: |  |  |  |  |  |  |
Warrant liability - public warrants | $ | 1,555 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,555 |
Warrant liability - private placement warrants | — |  |  | 953 |  |  | — |  |  | 953 |
| $ | 1,555 |  |  | $ | 953 |  |  | $ | — |  |  | $ | 2,508 |
The fair values of government money market funds have been measured on a recurring basis using Level 1 inputs, which are based on unadjusted quoted market prices within active markets. The short-term investments, including investments in fixed income securities, have been measured using quoted pricing on active markets for Level 1 investments and inputs based on alternative pricing sources and models utilizing observable market inputs for Level 2 investments. The fair value of the Public Warrants is classified as Level 1 due to the use of an observable market quote in an active market. The fair value of the Private Placement Warrants is classified as Level 2 due to the use of an observable market quote for the Public Warrants, which are considered to be a similar asset in an active market. The warrant liability is calculated by multiplying the quoted market price of the Company’s Public Warrants by the total number of Public Warrants and Private Placement Warrants. The Company’s Level 3 liability consists of the Penny Warrants associated with the issuance of Series A Preferred Stock. This liability has been classified as Level 3 due to the use of unobservable inputs within the valuation, namely volatility. The fair value of the Penny Warrant liability as of March 4, 2024 and June 30, 2024 was determined utilizing a Monte Carlo simulation valuation method, using the following inputs and assumptions:
$ in thousands, except for Stock price, Strike price, and share amounts | March 4, 2024
Warrant Shares | 1,304,907 |
Aggregate Value Cap | $ | 11,250 |
Stock price | $ | 15.49 |
Strike price | $ | 0.01 |
Term (in years) | 5 years
Volatility | 95.0 | %
Risk free rate | 4.2 | %
Dividend Rate | — | %
$ in thousands, except for Stock price, Strike price, and share amounts | June 30, 2024
Warrant Shares | 1,270,242 |
Aggregate Value Cap | $ | 11,250 |
Stock price | $ | 4.03 |
Strike price | $ | 0.01 |
Term (in years) | 4.7 years
Volatility | 115.0 | %
Risk free rate | 4.4 | %
Dividend Rate | — | %
There have been no other changes in valuation techniques and related inputs. As of June 30, 2024 and December 31, 2023, there were no transfers between Level 1, Level 2, and Level 3.

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration