Fair Value Measurements

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurements

Fair Value Measurements

Recurring fair value measurements

The following table sets forth by level within the fair value hierarchy, the Company’s liabilities measured at fair value on a recurring basis (in thousands):

	Hierarchy Level	September 30, 2024		December 31, 2023
Securities available-for-sale, current	1	$	708	$	—
Securities available-for-sale, non-current	1	708		—
Total(1)		$	1,416	$	—
5-Year Private Warrants(2)	2	$	10	$	26

(1)     The value of Securities available-for-sale was determined using the closing price on the last day of the period as quoted on the TSX venture Exchange. See Note 5 – Securities Available-For-Sale for additional information.

(2)     The 5-Year Private Warrants are valued using a Black-Scholes model that requires a variety of inputs, including the Company’s stock price, the strike price of the 5-Year Private Warrants, the risk-free rate, and the implied volatility. The terms of the 5-Year Private Warrants are identical to the terms of the 5-Year Public Warrants except that the 5-Year Private Warrants, while held by certain holders or their permitted transferees, are precluded from mandatory redemption and are entitled to be exercised on a “cashless basis” at the holder’s election. The implied volatility used in the Black-Scholes model is calculated using a generalized autoregressive conditional heteroskedasticity model of the 5-Year Public Warrants that factors in the restrictive redemption and cashless exercise features of the 5-Year Private Warrants. The Company updates the fair value calculation at least quarterly, or more frequently when changes in circumstances or assumptions indicate a change from the existing carrying value. See Note 14 – Warrant Liabilities for additional information on the fair value of the Company’s liability classified warrants.

Items disclosed at fair value

The Sprott Credit Agreement and the Subordinated Notes are privately held and, as such, there is no public market or trading information available for such debt instruments. As of September 30, 2024 and December 31, 2023, the estimated fair value of the Company’s debt instruments was $111.3 million and $149.2 million, respectively, compared to the carrying value of $122.1 million and $144.9 million, respectively. The estimated fair value of the principal of the Company’s debt instruments, including capitalized interest, was determined using a market approach in which pricing information for publicly traded, non-convertible debt instruments with speculative ratings was analyzed to derive a mean trading multiple to apply to the September 30, 2024 and December 31, 2023 balances.