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Fair Value
 6 Months Ended
Jun. 30, 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 June 30, 2024 and December 31, 2023 (in thousands):
Fair Value Measurement as of
June 30, 2024
Level 1Level 2Level 3Total
Assets:
Cash equivalents$31,440 $— $— $31,440 
Total assets
$31,440 $— $— $31,440 
Liabilities:
FPA Put Option liability
$— $— $60,503 $60,503 
Fixed Maturity Consideration— — 8,246 8,246 
Brookfield SAFE liability— — 9,250 9,250 
Private placement warrants— — 1,766 1,766 
Public warrants1,426 — — 1,426 
Total liabilities
$1,426 $— $79,765 $81,191 
Fair Value Measurement as of
 December 31, 2023
 Level 1 Level 2 Level 3Total
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 (expense) income, 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 through March 31, 2024. Because the stock price already traded below the threshold of $3.00 per share for 49 days out of 50 trading days during a 60-day consecutive trading-day period, management determined that estimating the fair value of the FPA using an accelerated Maturity Date is more appropriate. As such, the model calculated the value of the in-substance written put option and the portion of the Maturity Consideration in excess of the Fixed Maturity Consideration as if the Early Termination Option is exercised on June 30, 2024. The in-substance written put option was calculated as the repurchase of the Recycled Shares at the Share Price minus the Company’s share price as of June 30, 2024. The Maturity Consideration was calculated as 7,500,000 multiplied by $2.00 or $15,000, which included the Fixed Maturity Consideration calculated as 7,500,000 less the Terminated Shares multiplied by $2.00, or $3,167. Management compared this calculation to the valuation using the prior methodology based on a Monte-Carlo Simulation in a risk-neutral framework, and concluded the difference was not material.
The following table represents the inputs used in calculating the fair value of the prepaid forward contract and the Fixed Maturity Consideration as of June 30, 2024 and December 31, 2023:
June 30, 2024December 31, 2023
Stock price$1.85$5.03
Term (in years)02.11
Expected volatilityN/A50.0 %
Risk-free interest rateN/A4.16 %
Expected dividend yield— %— %
The Company has filed suit against Vellar under the FPA. See Note 15 - Subsequent Events.
Brookfield SAFE
The Brookfield SAFE is legal form debt that the Company has elected to measure using the FVO under ASC 825. As of June 30, 2024, no part of the Brookfield SAFE has converted to Company common shares as no qualifying projects have been presented to Brookfield yet. There were no cash flows associated with the Brookfield SAFE in the three months ended June 30, 2024.
As of June 30, 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 was set at the Business Combination, 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 $9,250 recorded on the condensed consolidated balance sheet.
Significant inputs for Level 3 Brookfield SAFE measurement at June 30, 2024 and December 31, 2023 are as follows:
June 30, 2024December 31, 2023
Initial purchase amount$50,000 $50,000 
Liquidity price$10.00 $10.00 
Stock price$1.85 $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 (expense) income, net within the condensed consolidated statements of operations and comprehensive loss. The company recognized decreases in the fair value of the liability of $2,273 and $600 during the six months ended June 30, 2024 and 2023, respectively.
The fair value of the Private Placement Warrants was estimated using a Black-Scholes option pricing model. For the six months ended June 30, 2024, the Company recognized a decrease in the fair value of $2,148. For the six months ended June 30, 2023, the Company recognized an increase in the fair value of liabilities of approximately $3,199. Changes in fair value are recorded on the condensed consolidated statements of operations and comprehensive loss within Other (expense) income, net.
The following table represents the weighted average inputs used in calculating the fair value of the Private Placement Warrants outstanding as of June 30, 2024 and December 31, 2023:
June 30, 2024December 31, 2023
Stock price$1.85$5.03
Exercise price$11.50$11.50
Term (in years)3.614.11
Expected volatility80.0 %45.0 %
Risk-free interest rate4.46 %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 ConsiderationBrookfield SAFEPrivate 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
(22,980)(1,018)15,900 2,148 
Balance as of June 30, 2024
$(60,503)$(8,246)$(9,250)$(1,766)
FPA Put Option
Fixed Maturity ConsiderationShortfall WarrantsWarrants on Preferred SharesAM SAFE liabilityAM SAFE warrantBrookfield SAFEPrivate 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
(26,743)(6,737)(3,063)(3,770)(744)189 15,850 (3,199)
Conversion of warrants to preferred shares— — — 5,889 — — — — 
Conversion of SAFE liability to equity classification
— — — — 29,730 — — — 
Reclassification of warrant to equity
— — 3,063 — — 1,800 — — 
Balance as of June 30, 2023
$(26,743)$(6,737)$— $— $— $— $(34,150)$(5,347)