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Fair Value | 3 Months Ended
--- | ---
Mar. 31, 2024
Fair Value Disclosures [Abstract] |
Fair Value | Fair Value The following table presents the Company’s fair value hierarchy for its assets and liabilities measured at fair value as of March 31, 2024 and December 31, 2023 (in thousands):
| Fair Value Measurement as of
| March 31, 2024
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents | $ | 39,298 |  |  | $ | — |  |  | $ | — |  |  | $ | 39,298 |
Total assets | $ | 39,298 |  |  | $ | — |  |  | $ | — |  |  | $ | 39,298 |
Liabilities: |  |  |  |  |  |  |
FPA Put Option liability | $ | — |  |  | $ | — |  |  | $ | 50,192 |  |  | $ | 50,192 |
Fixed Maturity Consideration | — |  |  | — |  |  | 7,604 |  |  | 7,604 |
Brookfield SAFE liability | — |  |  | — |  |  | 15,475 |  |  | 15,475 |
Private placement warrants | — |  |  | — |  |  | 2,148 |  |  | 2,148 |
Public warrants | 1,864 |  |  | — |  |  | — |  |  | 1,864 |
Total liabilities | $ | 1,864 |  |  | $ | — |  |  | $ | 75,419 |  |  | $ | 77,283 |
| Fair Value Measurement as of
| December 31, 2023
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents | $ | 28,058 |  |  | $ | — |  |  | $ | — |  |  | $ | 28,058 |
Liabilities: |  |  |  |  |  |  |
FPA Put Option liability | — |  |  | — |  |  | 37,523 |  |  | 37,523 |
Fixed Maturity Consideration | — |  |  | — |  |  | 7,228 |  |  | 7,228 |
Brookfield SAFE liability | — |  |  | — |  |  | 25,150 |  |  | 25,150 |
Private placement warrants | — |  |  | — |  |  | 3,915 |  |  | 3,915 |
Public warrants | 3,699 |  |  | — |  |  | — |  |  | 3,699 |
Total Liabilities | $ | 3,699 |  |  | $ | — |  |  | $ | 73,816 |  |  | $ | 77,515 |
Forward Purchase Agreement The fair value upon issuance of the FPA (both the FPA Put Option liability and Fixed Maturity Consideration) and subsequent changes in fair value are included in Other income (expense), net in the condensed consolidated statements of operations and comprehensive loss in the corresponding period. The fair value of the FPA was estimated using a Monte-Carlo Simulation in a risk-neutral framework. Specifically, the future stock price is simulated assuming a Geometric Brownian Motion (“GBM”). For each simulated path, the forward purchase value is calculated based on the contractual terms and then discounted back to present. Finally, the value of the forward is calculated as the average present value over all simulated paths. The Fixed Maturity Consideration was also valued as part of this model as the timing of the payment of the Fixed Maturity Consideration may be accelerated if the Maturity Date is accelerated. The following table represents the weighted average inputs used in calculating the fair value of the prepaid forward contract and the Fixed Maturity Consideration as of March 31, 2024 and December 31, 2023:
| March 31, 2024 |  | December 31, 2023
Stock price | $ | 3.10 |  | $ | 5.03
Term (in years) | 1.86 |  | 2.11
Expected volatility | 50.0 | % |  | 50.0 | %
Risk-free interest rate | 4.60 | % |  | 4.16 | %
Expected dividend yield | — | % |  | — | %
Brookfield SAFE The Brookfield SAFE is legal form debt that the Company has elected to measure using the FVO under ASC 825. As of March 31, 2024, no part of the Brookfield SAFE has converted to Company common shares as a qualifying financing had not yet occurred and no project investments were presented. There were no cash flows associated with the Brookfield SAFE in the three months ended March 31, 2024. As of March 31, 2024, the Company expects to present sufficient projects to Brookfield to result in the Brookfield SAFE being automatically converted into shares. Since the liquidity price is not expected to change during the life of the Brookfield SAFE, the number of shares that Brookfield receives is fixed. Based on this expectation, the value of the Brookfield SAFE is equal to the Brookfield SAFE's as-converted value, which is the initial purchase amount, divided by the liquidity price, multiplied by the stock price, resulting in an estimated fair value of $15,475 recorded on the consolidated balance sheet. Significant inputs for Level 3 Brookfield SAFE measurement at March 31, 2024 and December 31, 2023 are as follows:
| March 31, 2024 |  | December 31, 2023
Initial purchase amount | $ | 50,000 |  |  | $ | 50,000 |
Liquidity price | $ | 10.00 |  |  | $ | 10.00 |
Stock price | $ | 3.10 |  |  | $ | 5.03 |
Public Warrants and Private Placement Warrants For the Public Warrants, the Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value. Changes in fair value are recorded in Other income (expense), net within the condensed consolidated statements of operations and comprehensive loss. The company recognized decreases in the fair value of the liability of $1,835 and $286 during the three months ended March 31, 2024 and 2023, respectively. The fair value of the Private Placement Warrants was estimated using a Black-Scholes option pricing model. For the three months ended March 31, 2024, the Company recognized a decrease in the fair value of $1,766. For the three months ended March 31, 2023, the Company recognized an increase in the fair value of liabilities of approximately $477. Changes in fair value are recorded on the condensed consolidated statements of operations and comprehensive loss within Other income (expense), net. The following table represents the weighted average inputs used in calculating the fair value of the Private Placement Warrants outstanding as of March 31, 2024 and December 31, 2023:
| March 31, 2024 |  | December 31, 2023 |
Stock price | $ | 3.10 |  | $ | 5.03 |
Exercise price | $ | 11.50 |  | $ | 11.50 |
Term (in years) | 3.86 |  | 4.11 |
Expected volatility | 57.5 | % |  | 45.0 | % |
Risk-free interest rate | 4.32 | % |  | 3.92 | % |
Expected dividend yield | — | % |  | — | % |
The following tables represent reconciliations of the fair value measurements of the assets and liabilities using significant unobservable inputs (Level 3) (in thousands):
| FPA Put Option |  | Fixed Maturity Consideration |  | Brookfield SAFE |  | Private placement warrants
Balance as of January 1, 2024 | $ | (37,523) |  |  | $ | (7,228) |  |  | $ | (25,150) |  |  | $ | (3,914) |
(Loss) gain recognized in other expense, net on the condensed consolidated statement of operations and comprehensive loss | (12,669) |  |  | (376) |  |  | 9,675 |  |  | 1,766 |
Balance as of March 31, 2024 | $ | (50,192) |  |  | $ | (7,604) |  |  | $ | (15,475) |  |  | $ | (2,148) |
| FPA Put Option |  | Fixed Maturity Consideration |  | Shortfall Warrants |  | Warrants on Preferred Shares |  | AM SAFE liability |  | AM SAFE warrant |  | Brookfield SAFE |  | Private placement warrants
Balance as of January 1, 2023 | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (2,119) |  |  | $ | (28,986) |  |  | $ | (1,989) |  |  | $ | (50,000) |  |  | $ | — |
Recognized as a result of the Business Combination | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (2,148) |
(Loss) gain recognized in other expense, net on the consolidated statement of operations and comprehensive loss | (44,593) |  |  | (6,967) |  |  | (5,104) |  |  | (3,770) |  |  | (744) |  |  | 189 |  |  | 30,600 |  |  | (477) |
Conversion of warrants to preferred shares | — |  |  | — |  |  | — |  |  | 5,889 |  |  | — |  |  | — |  |  | — |  |  | — |
Conversion of SAFE liability to equity classification | — |  |  | — |  |  | — |  |  | — |  |  | 29,730 |  |  | — |  |  | — |  |  | — |
Reclassification of warrant to equity | — |  |  | — |  |  |  |  | — |  |  | — |  |  | 1,800 |  |  | — |  |  | — |
Balance as of March 31, 2023 | $ | (44,593) |  |  | $ | (6,967) |  |  | $ | (5,104) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (19,400) |  |  | $ | (2,625) |

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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/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
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