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Fair Value Measurements | 6 Months Ended
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Jun. 30, 2023
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements The following are the liabilities measured at fair value on the condensed consolidated balance sheet at June 30, 2023 and December 31, 2022 using quoted price in active markets for identical assets (Level 1); significant other observable inputs (Level 2); and significant unobservable inputs (Level 3):
| Level 1: Quoted Prices in Active Markets for Identical Assets |  | Level 2: Significant Other Observable Inputs |  | Level 3: Significant Unobservable Inputs |  | Total at June 30, 2023 |  | Total Gains (Losses) For The Three Months Ended June 30, 2023 |  | Total Gains (Losses) For The Six Months Ended June 30, 2023 |
Recurring fair value measurements |  |  |  |  |  |  |  |  |  |  |  |
Private warrants | $ | — |  |  | $ | — |  |  | $ | 216 |  |  | $ | 216 |  |  | $ | 784 |  |  | $ | 1,784 |  |
Stonepeak and Evolve unvested warrants | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Institutional/Accredited Investor warrants | $ | — |  |  | $ | — |  |  | $ | 290,632 |  |  | $ | 290,632 |  |  | $ | 143,010 |  |  | $ | (71,748) |  |
Derivative liability - non-controlling redeemable preferred shares | $ | — |  |  | $ | — |  |  | $ | 353,006 |  |  | $ | 353,006 |  |  | $ | 83,059 |  |  | $ | 6,219 |  |
Total recurring fair value measurements | $ | — |  |  | $ | — |  |  | $ | 643,854 |  |  | $ | 643,854 |  |  | $ | 226,853 |  |  | $ | (63,745) |  |
| Level 1: Quoted Prices in Active Markets for Identical Assets |  | Level 2: Significant Other Observable Inputs |  | Level 3: Significant Unobservable Inputs |  | Total at December 31, 2022 |  | Total Gains (Losses) For The Three Months Ended June 30, 2022 |  | Total Gains (Losses) For The Six Months Ended June 30, 2022
Recurring fair value measurements |  |  |  |  |  |  |  |  |  |  |
Private warrants | $ | — |  |  | $ | — |  |  | $ | 2,000 |  |  | $ | 2,000 |  |  | $ | 251,000 |  |  | $ | 684,000 |
Stonepeak and Evolve unvested warrants | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | 4,334,000 |  |  | 8,677,000 |
Institutional/Accredited Investor warrants | $ | — |  |  | $ | — |  |  | $ | 218,884 |  |  | $ | 218,884 |  |  | $ | — |  |  | $ | — |
Derivative liability - non-controlling redeemable preferred shares | $ | — |  |  | $ | — |  |  | $ | 359,225 |  |  | $ | 359,225 |  |  | $ | (32,536) |  |  | $ | 20,936 |
Total recurring fair value measurements | $ | — |  |  | $ | — |  |  | $ | 580,109 |  |  | $ | 580,109 |  |  | $ | 4,552,464 |  |  | $ | 9,381,936 |
The following is a reconciliation of the opening and closing balances for the liabilities related to the warrants (Note 11) and derivative liability - non-controlling redeemable preferred shares measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and six months ended June 30, 2023:
| Private warrants |  | Stonepeak and Evolve unvested warrants |  | Institutional/Accredited Investor warrants |  | Non-controlling redeemable preferred shares - derivative liability
Balance at December 31, 2022 | $ | 2,000 |  |  | $ | — |  |  | $ | 218,884 |  |  | $ | 359,225 |
Total (gains) losses for period included in earnings | (1,000) |  |  | — |  |  | 214,758 |  |  | 76,840 |
Balance at March 31, 2023 | $ | 1,000 |  |  | $ | — |  |  | 433,642 |  |  | $ | 436,065 |
Total (gains) losses for period included in earnings | (784) |  |  | — |  |  | (143,010) |  |  | (83,059) |
Balance at June 30, 2023 | $ | 216 |  |  | $ | — |  |  | $ | 290,632 |  |  | $ | 353,006 |
The fair value of the level 3 Private Warrants was estimated at June 30, 2023 using the Black-Scholes model which used the following inputs: term of 2.72 years, risk free rate of 4.60%, no dividends, volatility of 61.0%, and strike price of $11.50. The fair value of the level 3 Private Warrants was estimated at December 31, 2022 using the Black-Scholes model which used the following inputs: term of 3.22 years, risk free rate of 4.20%, no dividends, volatility of 67.0%, and strike price of $11.50. The fair value of the level 3 Institutional/Accredited Investor warrants was estimated at June 30, 2023 using the Black-Scholes model which used the following inputs: term of 4.60 years, risk free rate of 4.21%, no dividends, volatility of 62.0%, common stock price of $0.60, and strike price of $3.75. The fair value of the level 3 Institutional/Accredited Investor Warrants was estimated at December 31, 2022 using the Black-Scholes model which used the following inputs: term of 5.10 years, risk free rate of 3.97%, no dividends, volatility of 62.0%, common stock price of $0.50, and strike price of $3.75. The following table presents the significant unobservable inputs and valuation methodologies used for the Company’s fair value measurements of non-recurring (level 3) Stonepeak and Evolve unvested warrants at June 30, 2023:
|  | Series C Unvested Warrants |  | Series D Unvested Warrants |  | Series E Unvested Warrants |  | Series F Unvested Warrants
Fair value (in millions) |  | $— |  | $— |  | $— |  | $—
Valuation methodology |  | Monte Carlo Simulation & Black Scholes |  | Monte Carlo Simulation & Black Scholes |  | Monte Carlo Simulation & Black Scholes |  | Monte Carlo Simulation & Black Scholes
Capital expenditure forecast (in millions) |  | $— |  | $— |  | $— |  | $—
Probability of warrants vesting (a) |  | —% |  | —% |  | —% |  | —%
__________________ (a) During the second quarter ended June 30, 2022, the Company significantly lowered its forecast of Levo's capital deployments due to the passage by the United States Congress of the Infrastructure Investment and Jobs Act bill, and the related unveiling of the Environmental Protection Agency’s 2022 Clean School Bus rebates. The resulting lower forecast of capital deployments reduced the probabilities of the future vesting of the unvested warrants. Therefore, at June 30, 2023, the Company has determined that it is unlikely that the unvested warrants will vest. The following table presents the significant unobservable inputs and valuation methodologies used for the Company’s fair value measurements of non-recurring (level 3) Stonepeak and Evolve unvested warrants at June 30, 2022:
|  | Series C Unvested Warrants |  | Series D Unvested Warrants |  | Series E Unvested Warrants |  | Series F Unvested Warrants
Fair value (in millions) |  | $— |  | $— |  | $— |  | $—
Valuation methodology |  | Monte Carlo Simulation & Black Scholes |  | Monte Carlo Simulation & Black Scholes |  | Monte Carlo Simulation & Black Scholes |  | Monte Carlo Simulation & Black Scholes
Term (years) |  | 8.90 |  | 8.90 |  | 8.90 |  | 8.90
Risk free rate |  | 3.0% |  | 3.0% |  | 3.0% |  | 3.0%
Exercise price |  | $15.0 |  | $20.0 |  | $30.0 |  | $40.0
Volatility |  | 56.0% |  | 56.0% |  | 56.0% |  | 56.0%
Capital expenditure forecast (in millions) |  | $125.0 |  | $250.0 |  | $375.0 |  | $500.0
Probability of warrants vesting (a) |  | —% |  | —% |  | —% |  | —%
__________________ (a) During the second quarter ended June 30, 2022, the Company significantly lowered its forecast of Levo's capital deployments due to the passage by the United States Congress of the Infrastructure Investment and Jobs Act bill, and the related unveiling of the Environmental Protection Agency’s 2022 Clean School Bus rebates. The resulting lower forecast of capital deployments reduced the probabilities of the future vesting of the unvested warrants. Therefore, at June 30, 2022, the Company has determined that it is unlikely that the unvested warrants will vest. The fair value of the level 3 derivative liability - non-controlling redeemable preferred shares are estimated at June 30, 2023 using the M onte Carlo Simulation model which used the following inputs: terms range from 1.09 years to 7.0 years, risk free rate of 4.1%, no dividends, volatility of 66.0% and probability of redemptions triggered of 75.0%. The fair value of the level 3 derivative liability - non-controlling redeemable preferred shares are estimated at December 31, 2022 using the M onte Carlo Simulation model which used the following inputs: terms range from 1.60 years to 7.0 years, risk free rate of 4.0%, no dividends, volatility of 63.0% and probability of redemptions triggered of 75.0%. There were no transfers between Level 1 and Level 2 of the fair value hierarchy in 2023 and 2022. Cash, accounts receivable, accounts payable, and accrued expenses are generally carried on the cost basis, which management believes approximates fair value due to the short-term maturity of these instruments.

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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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