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Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2024

The table below summarizes the fair values of certain liabilities that are included within the Company’s accompanying Unaudited Condensed Consolidated Balance Sheets and their designations among the three fair value measurement categories:


	March 31, 2024						December 31, 2023
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Liabilities
Warrants	$	—	$	49	$	24,512	$	—	$	55	$	27,406
Embedded derivatives	$	—	$	—	$	3,889	$	—	$	—	$	4,423

Schedule of Assumptions used to Determine Fair Value of Warrants and Embedded Derivative Liabilities

The IPO warrants are classified as Level 2 financial instruments in the table above. They are valued on the basis of the quoted price of the Company’s public warrants, adjusted for insignificant difference between the public warrants and the private placement warrants.

The April 2023 warrants, May 2023 warrants and December 2023 warrants are classified as Level 3 financial instruments in the table above. The Company estimated the fair value of these warrants using the Black-Scholes model at inception and on subsequent valuation dates. This model incorporates inputs such as the stock price of the Company, risk-free interest rate, volatility and time to expiration. The volatility involves unobservable inputs classified as Level 3 of the fair value hierarchy.

The inputs used to determine the fair value of the April 2023 warrants, May 2023 warrants and the December 2023 warrants are as follows:


April 2023 warrants	March 31, 2024			December 31, 2023
Time to expiration	4.54 years			4.79 years
Common stock price	$	1.03		$	1.09
Risk-free interest rate	4.2		%	3.8		%
Volatility	70.0		%	70.0		%

May 2023 warrants	March 31, 2024			December 31, 2023
Time to expiration	4.29 years			4.54 years
Common stock price	$	1.03		$	1.09
Risk-free interest rate	4.2		%	3.8		%
Volatility	70.0		%	70.0		%

December 2023 warrants	March 31, 2024			December 31, 2023
Time to expiration	4.71 years			4.96 years
Common stock price	$	1.03		$	1.09
Risk-free interest rate	4.2		%	3.8		%
Volatility	70.0		%	70.0		%

The inputs used to determine the fair value of the embedded derivative liabilities are as follows:


2021 Convertible Note Payable	March 31, 2024		December 31, 2023
Term	2.25 years		2.5 years
Dividend yield	—	%	—	%
Risk-free interest rate	4.5	%	4.1	%
Volatility	70.0	%	70.0	%
Effective debt yield	40.0	%	40.0	%

AFG Convertible Notes Payable	March 31, 2024		December 31, 2023
Term	2.25 years		2.5 years
Dividend yield	—	%	—	%
Risk-free interest rate	4.5	%	4.1	%
Volatility	70.0	%	70.0	%
Effective debt yield	40.0	%	40.0	%

Schedule of Liabilities Measured at Fair Value

The following table summarizes the changes in the fair value of liabilities that are included within the Company’s accompanying Unaudited Condensed Consolidated Balance Sheets and are designated as Level 3:


	Three Months Ended March 31,
	2024		2023
Embedded derivatives
Balance at beginning of the period	$	4,423	$	1,945
Additions	—		14,799

Change in fair value of derivatives - related parties1	(534)		4,511
Balance at end of the period	$	3,889	$	21,255

Warrants
Balance at beginning of the period	$	27,406	$	—
Additions	—		—
Change in fair value of warrants	(2,894)		—
Balance at end of the period	$	24,512	$	—

1 Includes loss on debt extinguishment from Yorkville Promissory Note Conversions for the three months ended March 31, 2023.

Schedule of Estimated Fair Value of Financial Instruments Not Carried at Fair Value

The estimated fair value of financial instruments not carried at fair value in the Unaudited Condensed Consolidated Balance Sheets was as follows:


	Level in Fair Value Hierarchy	March 31, 2024				December 31, 2023
		Carrying Value		Fair Value		Carrying Value		Fair Value
Notes receivable	3	$	827	$	721	$	863	$	719
2021 Convertible Note*	3	96,033		63,034		94,386		57,998
Senior Secured Term Loan	3	86,756		64,117		85,624		61,360
AFG Convertible Notes*	3	17,917		19,076		18,139		18,352
Equipment financing facility	3	4,924		4,261		5,710		4,826
Total		$	206,457	$	151,209	$	204,722	$	143,255

*Includes the embedded derivative liabilities.