XML 42 R31.htm IDEA: XBRL DOCUMENT v3.24.1.1.u2
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2024
Fair Value Measurements [Abstract]  
Schedule of Assets that are Measured at Fair Value on a Recurring Basis The following table sets forth the Company’s financial assets and liabilities that are measured at fair value, on a recurring basis (in thousands):
   As of March 31, 2024 
   Level 1   Level 2   Level 3   Total 
Financial Liabilities                
Carlyle warrants  $   $   $3,086   $3,086 
Public warrants   437            437 
Private placement warrants       318        318 
Working capital warrants       36        36 
Replacement warrants           5    5 
Forward purchase agreement liabilities           9,409    9,409 
SAFE Agreements           5,000    5,000 
Total  $437   $354   $17,500   $18,291 
   As of December 31, 2023 
   Level 1   Level 2   Level 3   Total 
Financial Liabilities                    
Carlyle warrants  $
   $
   $9,515   $9,515 
Public warrants   167    
    
    167 
Private placement warrants   
    122    
    122 
Working capital warrants   
    14    
    14 
Replacement warrants   
    
    1,310    1,310 
Forward purchase agreement liabilities   
    
    3,831    3,831 
Total  $167   $136   $14,656   $14,959 

 

Schedule of Warrants Based on a Black Scholes Option Pricing Method The Company valued the warrants based on a Black-Scholes Option Pricing Method, which included the following inputs:
   March 31,
2024
   December 31,
2023
 
Expected term   7.0 years    7.0 years 
Expected volatility   77.0%   77.0%
Risk-free interest rate   3.92%   3.92%
Expected dividend yield   0.0%   0.0%
   March 31,
2024
   December 31,
2023
 
Expected term  0.08 years   0.3 years 
Expected volatility   78.5%   78.5%
Risk-free interest rate   5.49%   5.4%
Expected dividend yield   0.0%   0.0%
Schedule of Expected Volatility is Determined Based on the Historical Equity Volatility The FPA liabilities are measured at fair value on a recurring basis using a Monte Carlo simulation analysis. The expected volatility is determined based on the historical equity volatility of comparable companies over a period that matches the simulation period, which included the following inputs:
   March 31,
2024
   December 31,
2023
 
Common stock trading price  $0.59   $1.66 
Simulation period   1.30 years    1.55 years 
Risk-free interest rate   4.90%   4.48%
Volatility   112.0%   95.0%