Fair Value of Financial Instruments

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

Fair Value of Financial Instruments

The Company's estimates of fair value for financial assets and liabilities are based on the framework established in ASC 820. The framework is based on the inputs used in valuation and gives the highest priority to quoted prices in active markets and requires that observable inputs be used in the valuations when available. The disclosure of fair value estimates in the ASC 820 hierarchy is based on whether the significant inputs into the valuation are observable. In determining the level of the hierarchy in which the estimate is disclosed, the highest priority is given to unadjusted quoted prices in active markets and the lowest priority to unobservable inputs that reflect the Company’s significant market assumptions. The Company classified its financial instruments measured at fair value on a recurring basis in the following valuation hierarchy. The Company notes that the Company did not hold any financial assets fair valued under ASC 820 as of June 30, 2024 and December 31, 2023, other than the Damon Motors convertible note and warrant.

The Company's assets and liabilities measured at fair value consisted of the following at June 30, 2024 and December 31, 2023:

	Fair Value at June 30, 2024
	Total		Level 1		Level 2		Level 3
Assets:
Notes receivable	$	3,462	$	—	$	—	$	3,462
Warrant asset	424		—		—		424
Total assets	$	3,886	$	—	$	—	$	3,886

	Fair Value at December 31, 2023
	Total		Level 1		Level 2		Level 3
Liabilities:
Warrant liability	$	497	$	—	$	—	$	497
Convertible notes, at fair value	16,804		—		—		16,804
Loan conversion derivatives	333		—		—		333
Total liabilities	$	17,634	$	—	$	—	$	17,634

Refer to Note 24 for discussion of the valuation methodologies used for the Company's Damon Motors convertible note and warrant assets measured at fair value. The fair value of the Level 3 warrant liability was determined using a pricing model with certain significant unobservable market data inputs.

Note 19 - Fair Value of Financial Instruments (continued)

The table below includes a reconciliation of the Level 3 assets and liabilities for which significant unobservable inputs were used to determine fair value for the six months ended June 30, 2024:

	Level 3
	Level 3 Assets				Level 3 Liabilities
Level 3 Assets and Liabilities	Notes receivable		Warrant asset		Warrant liability		Convertible notes, at fair value		Loan conversion derivatives
Balance at January 1, 2024	$	—	$	—	$	497	$	16,804	$	333
Acquired	3,264		448		920		—		—
Change in fair value	—		—		(398)		(12,882)		—
Exchanged / Conversion to Equity	—		—		—		(3,922)		(333)
Balance at March 31, 2024	$	3,264	$	448	$	1,019	$	—	$	—
Change in fair value	$	38	$	(24)	$	679	$	—	$	—
Accrued interest	$	91	$	—	$	—	$	—	$	—
Debt discount recognition	$	49	$	—	$	—	$	—	$	—
Exchanged / Conversion to Equity	$	—	$	—	$	(1,698)	$	—	$	—
Balance at June 30, 2024	$	3,442	$	424	$	—	$	—	$	—

The changes in fair value of the warrant liability, convertible notes, and warrant asset are presented within 'Change in fair value of warrant liability', 'Change in fair value of convertible notes', and 'Other expense', respectively, in the condensed consolidated statements of operations.