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Fair Value Measurements
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Fair Value Disclosures [Abstract]    
Fair Value Measurements

11. Fair Value Measurements

 

The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis, inclusive of related party (in thousands):

 

   Level 1   Level 2   Level 3   Total 
   September 30, 2024 
   Level 1   Level 2   Level 3   Total 
Assets:                    
Bitcoin  $2,156   $-   $-   $2,156 
Total assets, at fair value  $2,156   $-   $-   $2,156 
Liabilities:                    
Business Combination Warrants  $-   $-   $26   $26 
PIPE Warrants   -    -    2    2 
PIPE Notes   -    -    1,593    1,593 
Yorkville Note   -    -    1,911    1,911 
SEPA derivative liability   -    -    -    - 
Total liabilities, at fair value  $-   $-   $3,532   $3,532 

 

   Level 1   Level 2   Level 3   Total 
   December 31, 2023 
   Level 1   Level 2   Level 3   Total 
Liabilities:                    
Business Combination Warrants  $-   $-   $9   $9 
PIPE Warrants   -    -    14    14 
PIPE Notes   -    -    1,637    1,637 
Total liabilities, at fair value  $-   $-   $1,660   $1,660 

 

 

Business Combination Warrants and PIPE Warrants

 

The following table presents the changes in the Business Combination Warrants and PIPE Warrants measured at fair value during the nine months ended September 30, 2024 (in thousands):

 

   Business Combination Warrants   PIPE Warrants 
Balance, December 31, 2023  $9   $14 
Changes in fair value   17    (12)
Balance, September 30, 2024  $26   $2 

 

The Company remeasured the fair value of the Business Combination Warrants and PIPE Warrants at September 30, 2024 using the Black-Scholes option-pricing model with the following assumptions:

 

         
   As of September 30, 2024 
   PIPE   Business Combination 
   Warrants   Warrants 
Stock price  $0.61   $0.61 
Exercise price  $10.00   $11.50 
Expected volatility   72.1%   72.1%
Weighted average risk-free rate   3.6%   3.6%
Expected dividend yield   -    - 
Expected term (in years)   4.1    4.2 

 

PIPE Notes and Yorkville Note

 

The following table presents the changes in the PIPE Notes and Yorkville Note measured at fair value during the nine months ended September 30, 2024 (in thousands):

 

   PIPE Notes   Yorkville Note 
Balance, December 31, 2023  $1,637   $- 
Additions   -    1,350 
Changes in fair value   (44)   561 
Balance, September 30, 2024  $1,593   $1,911 

 

The estimated fair values of the PIPE Notes and Yorkville Note are determined based on the aggregated, probability-weighted average of the outcomes of certain possible scenarios. The combined value of the probability-weighted average of those outcomes is then discounted back to each reporting period in which the convertible notes are outstanding, in each case, based on a risk-adjusted discount rate estimated based on the implied discount rate. The discount rate was held constant over the valuation periods given the fact pattern associated with the Company and the stage of development.

 

SEPA Derivative Liability

 

The following table presents the changes in the SEPA derivative liability measured at fair value during the nine months ended September 30, 2024 (in thousands):

 

   Yorkville SEPA 
Balance, December 31, 2023  $- 
Additions   160 
Changes in fair value   (160)
Balance, September 30, 2024  $- 

 

The estimated fair value of the SEPA derivative liability was determined using a scenario-based valuation model based on the aggregated amount of draws expected to be made over the 24-month commitment period. The derivative value of such draws was then discounted back to each reporting period in which the put option was outstanding, in each case, based on a risk-adjusted discount rate based on the implied discount rate. As of September 30, 2024, the derivative liability was determined to have no value.

 

11. Fair Value Measurements

 

The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis, inclusive of related party (in thousands):

 

   Level 1   Level 2   Level 3   Total 
   December 31, 2023 
   Level 1   Level 2   Level 3   Total 
Liabilities:                    
Private warrants  $-   $-   $9   $9 
PIPE warrants   -    -    14    14 
PIPE notes   -    -    1,637    1,637 
Total liabilities, at fair value  $-   $-   $1,660   $1,660 

 

   Level 1   Level 2   Level 3   Total 
   December 31, 2022 
   Level 1   Level 2   Level 3   Total 
Liabilities:                    
Convertible promissory notes  $-   $-   $26,243   $26,243 
Total liabilities, at fair value  $-   $-   $26,243   $26,243 

 

The following table presents the changes in the Private Warrants, PIPE Notes and PIPE Warrants, and the convertible promissory notes measured at fair value for the years ended December 31, 2023 and 2022 (in thousands):

Level 3 Rollforward: 

Private

Warrants

   PIPE Notes &
Warrants		  

Convertible

Promissory

Notes

 
Balance, December 31, 2021  $-   $-   $6,487 
Additions   -    -    5,140 
Changes in fair value   -    -    14,616 
Balance, December 31, 2022   -    -    26,243 
Additions   21    1,500    4,175 
Changes in fair value   (12)   151    17,517 
Reclassified to additional paid-in-capital   -    -    (47,935)
Balance, December 31, 2023  $9   $1,651   $- 

 

Private Placement Warrants and PIPE Warrants

 

The aggregate fair value of the Private Placement Warrants and PIPE Warrants was $152,602 and $23,393 as of November 7, 2023 and December 31, 2023, respectively. The Company remeasured the fair value of the Private Placement Warrants and PIPE Warrants at November 7, 2023 and December 31, 2023 using the Black-Scholes option-pricing model with the following assumptions:

 

   Warrants   Warrants   Warrants   Warrants 
   As of December 31,   As of November 7, 
   2023   2023 
   PIPE   Private   PIPE   Private 
   Warrants   Warrants   Warrants   Warrants 
Stock price  $0.81   $0.81   $5.25   $7.76 
Exercise price  $10.00   $11.50   $10.00   $11.50 
Expected volatility   80.0%   51.5%   45.0%   5.2%
Weighted average risk-free rate   3.8%   3.9%   4.5%   4.6%
Expected dividend yield   -    -    -    - 
Expected term (in years)   4.9    4.8    5.0    5.0 

 

Convertible Promissory Notes and PIPE Notes

 

The estimated fair values of the convertible promissory notes and PIPE Notes are each determined based on the aggregated, probability-weighted average of the outcomes of certain possible scenarios. The combined value of the probability-weighted average of those outcomes is then discounted back to each reporting period in which the convertible notes are outstanding, in each case, based on a risk-adjusted discount rate estimated based on the implied discount rate. The discount rate was held constant over the valuation periods given the fact pattern associated with the company and the stage of development.

 

As of December 31, 2023, in connection with the Closing of the Business Combination described in Note 3, all convertible promissory notes were converted to Common Stock in accordance with the conversion provisions in the original agreements.

 

The fair value of the PIPE Notes was $1.8 million and $1.6 million as of November 7, 2023 and December 31, 2023, respectively.