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Fair Value of Measurements | 9 Months Ended
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Sep. 30, 2024
Fair Value of Measurements |
Fair Value of Measurements | 5. Fair Value of Measurements Recurring Fair Value Measurements The following financial instruments are measured at fair value on a recurring basis (in thousands):
|  | September 30, 2024 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Convertible promissory notes |  | $ | — |  |  | $ | — |  |  | $ | 8,838 |  |  |  | 8,838 |
Warrant liabilities |  |  | — |  |  |  | — |  |  |  | 3,197 |  |  |  | 3,197 |
Common stock forward liability |  |  | — |  |  |  | — |  |  |  | 451 |  |  |  | 451 |
|  | December 31, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Convertible promissory notes |  | $ | — |  |  | $ | — |  |  | $ | 34,033 |  |  | $ | 34,033 |
Valuation techniques and the inputs The table below presents valuation techniques and inputs used in the fair value measurement categorized within Level 3 of the fair value hierarchy (in thousands):
|  | Valuation techniques |  | Inputs |  | September 30, 2024 |  |  | December 31, 2023 |
Convertible promissory notes, current |  | Discounted Cash Flow Model (“DCF”) |  | Discount rate, risk-free rate, credit spread, contractual cash flows |  | $ | 4,008 |  |  | $ | — |
|  | PWERM |  | Scenario of initial public offering (“IPO”) and merger and acquisition (“M&A”) |  |  | — |  |  |  | 27,794 |
Common stock forward liability |  | DCF |  | Various utilization scenarios, risk-free rate, remaining term |  |  | 451 |  |  |  | — |
Convertible promissory notes, net of current |  | Binomial Lattice Model (“BLM”) |  | Stock price, volatility, remaining term, risk-free rate, credit spread |  |  | 4,830 |  |  |  | — |
|  | PWERM |  | Scenario of initial public offering (“IPO”) and merger and acquisition (“M&A”) |  |  | — |  |  |  | 6,239 |
Warrant liabilities |  | Black Scholes Merton Model (“BSM”) or BLM |  | Exercise price, term to expiration, volatility, risk-free rate |  |  | 3,197 |  |  |  | — |
As of September 30, 2024, the key inputs for the convertible promissory notes valuation using the DCF model were as follows: remaining term ranging from 0.08 to 0.25 years and a discount rate of 10.07%. As of September 30, 2024, the key inputs for the convertible promissory notes, net of current, using the BLM were as follows: stock price of $3.35, volatility of 35.5%, remaining term of 1.4 years, risk-free rate of 3.85%, and credit spread of 5.6%. As of September 30, 2024, the key inputs for the common stock forward valuation using the DCF model were as follows: a remaining term of 1.6 years and future risk-free rate estimates ranging from 3.78 to 4.93% for this period. As of September 30, 2024, the key inputs for the private placement warrants using the BSM were as follows: exercise price of $11.50 per share, term to expiratio n of 4.5 years, volatility of 35.5%, and a risk-free rate of 3.55%. As of September 30, 2024, the key inputs for the public warrants using the BLM were as follows: exercise price of $11.50 per share and term to expiration of 4.5 years. As of September 30, 2024, th e key inputs for the other warrant liabilities using the BSM were as follows: an exercise price of $10.00 per share, or $18.75 per share, term to expiration ranging from 1.41 years to 2.1 years, volatility ranging from 38.1% to 39.0%, and a risk-free rate ranging from 3.62% to 3.81%. As of December 31, 2023, the PWERM was used as Legacy GCT was a private company. After the Closing, and as of September 30, 2024, the valuation techniques used reflect that the Business Combination was consummated. The following table sets forth a summary of the changes in the fair value of the convertible promissory notes (in thousands):
As of December 31, 2023 |  | $ | 34,033 |
Conversion |  |  | (41,209 | )
Borrowing |  |  | 16,290 |
Change in fair value |  |  | 1,203 |
As of March 31, 2024 |  |  | 10,317 |
Repayment |  |  | (630 | )
Change in fair value |  |  | (14 | )
As of June 30, 2024 |  |  | 9,673 |
Repayment |  |  | (1,000 | )
Change in fair value |  |  | 165 |
As of September 30, 2024 |  | $ | 8,838 |
The following table sets forth a summary of the changes in the fair value of the warrant liabilities (in thousands):
As of December 31, 2023 |  | $ | — |
Fair value of warrants assumed at Closing |  |  | 5,958 |
Change in fair value |  |  | 4,626 |
As of March 31, 2024 |  |  | 10,584 |
Change in fair value |  |  | (6,628 | )
As of June 30, 2024 |  |  | 3,956 |
Change in fair value |  |  | (759 | )
As of September 30, 2024 |  | $ | 3,197 |
The following table sets forth a summary of the changes in the fair value of the common stock forward liability (in thousands):
As of March 31, 2024 |  | $ | — |
Loss from initial recognition |  |  | 586 |
Settlement in equity |  |  | (51 | )
As of June 30, 2024 |  |  | 535 |
Settlement in equity |  |  | (84 | )
As of September 30, 2024 |  | $ | 451 |

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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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