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Fair Value Measurement
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurement Fair Value Measurement
Accounting standards establish a hierarchy, which prioritizes the inputs used to measure fair value into three levels and bases the categorization within the hierarchy upon the lowest level of input that is available and significant to the fair value measurement:
Level 1 - Quoted prices in active markets for identical assets or liabilities.
Level 2 - Observable inputs other than quoted prices in active markets for identical assets and liabilities, quoted prices for identical or similar assets or liabilities in inactive markets, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3 - Inputs that are generally unobservable and typically reflect management’s estimate of assumptions that market participants would use in pricing the asset or liability.
The carrying value of cash and cash equivalents, restricted cash, accounts receivable, contract assets, contract liabilities and accounts payable are considered to be representative of their fair value due to the short maturity of these instruments.
The following tables set forth the Company's financial liabilities measured at fair values based on the fair value hierarchy, as described above. These should also be read with Note 2, Summary of Significant Accounting Policies, in the Company’s Annual Report on Form 10-K for the year ended December 31, 2023.
June 30, 2024
December 31, 2023
Level 1Level 2Level 3Level 1Level 2Level 3
Liabilities
SPA Warrant (a)
$— $— $49,032 $— $— $— 
Contingent warrants (a)
$— $— $92,264 $— $— $— 
IPO, April, May and December 2023 Warrants (b)
$— $52 $32,450 $— $55 $27,406 
Delayed Draw Term Loan$— $— $25,893 $— $— $— 
Embedded derivatives
$— $— $5,414 $— $— $4,423 
Total liabilities
— $52 $205,053 $— $55 $31,829 
(a) Included in Warrants liability - Related party on the Unaudited Condensed Consolidated Balance Sheets.
(b) All these instruments are Level 3, except for the IPO warrants (Level 2). These are included in Warrants liability on the Unaudited
Condensed Consolidated Balance Sheets.
Each of the following recurring level 2 and level 3 instruments’ valuation model used to determine fair value is disclosed in the Company’s Annual Report on the Form 10-K for the year ended December 31, 2023.
IPO Warrants
The IPO warrants 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.
April 2023 warrants, May 2023 warrants and December 2023 warrants
The April 2023 warrants, May 2023 warrants and December 2023 warrants all are valued 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 is a significant unobservable input classified as Level 3 of the fair value hierarchy.
Embedded derivatives
The Company estimated the fair value of the embedded conversion features in the 2021 Convertible Note and the AFG Convertible Notes using a binomial lattice model at inception and on subsequent measurement dates. This model incorporates significant inputs such as the stock price of the Company, dividend yield, risk-free interest rate, debt yield and expected volatility. The volatility and debt yield are significant unobservable inputs classified as Level 3 of the fair value hierarchy.
Accounting for instruments resulting from the Credit and Securities Purchase Transaction
The Loan commitment assets, were measured at fair value as of June 21, 2024 (see Note 3, Credit and Securities Purchase Transaction). The fair value was $76,091 calculated using the discounted cash flow model. They will not be subsequently remeasured at fair value.
The following instruments , which were subsequently measured at fair value were recognized at fair value as of June 21, 2024 (see Note 3, Credit and Securities Purchase Transaction):
•Delayed Draw Term Loan
•SPA Warrant
•Contingent Warrants
The fair value of the Delayed Draw Term Loan was estimated using a discounted cash flow (“DCF”) method, based on the contractual cash flows discounted at a debt yield and considering the probability of achieving certain milestones.
The fair value for the SPA warrant is estimated based on its intrinsic value, using the Eos common stock closing price adjusted by a discount for lack of marketability (“DLOM”), less the exercise price of $0.01 for the SPA Warrant. A DLOM was applied considering the underlying shares of the SPA Warrants are unregistered.
The fair value of the Contingent Warrants is estimated based on the underlying Eos common stock closing price adjusted by a DLOM and an allowance for certain redemption features using Black-Scholes option pricing model, considering the probability of achieving certain milestones. A DLOM was applied considering the underlying shares of the Contingent Warrants are unregistered.
The fair value for all the above instruments are designated as level 3 measurements as they rely on significant unobservable inputs. The significant unobservable inputs for each of these instruments are disclosed in the tables below. All other inputs used are observable.

Quantitative information about all significant unobservable inputs used in the fair value measurement for non-recurring level 3 measurements:

Loan Commitment Assets:
June 21, 2024
Milestones achievement expectations
Very high probability
Debt yield
47.5 %


Quantitative information about all significant unobservable inputs used in the fair value measurement for recurring level 3 measurements:

Delayed Draw Term Loan
June 21, 2024
June 30, 2024
Debt yield
47.5 %47.5 %
Contingent Warrants- all tranches
June 21, 2024
June 30, 2024
Milestones achievement expectations
Very high probabilityVery high probability
Volatility
70.0 %70.0 %
SPA Warrant
June 21, 2024
June 30, 2024
Discount for lack of marketability (“DLOM”)
10.0 %10.0 %
Level 3 Rollforward for Liabilities Measured at Fair Value on a Recurring Basis
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 June 30,
Six Months Ended June 30,
2024
2023
2024
2023
Delayed Draw Term Loan
Balance at beginning of the period$— $— $— $— 
Additions25,653 — 25,653 — 
Change in fair value of Term Loan240 — 240 — 
Balance at end of the period$25,893 $— $25,893 $— 
SPA Warrant and Contingent Warrants
Balance at beginning of the period$— $— $— $— 
Additions95,094 — 95,094 — 
Change in fair value of warrants46,202 — 46,202 — 
Balance at end of the period$141,296 $— $141,296 $— 
April, May, and December 2023 Warrants
Balance at beginning of the period$24,512 $— $27,406 $— 
Additions— 29,553 — 29,553 
Change in fair value of warrants7,938 27,352 5,044 27,352 
Balance at end of the period$32,450 $56,905 $32,450 $56,905 
Embedded derivatives
Balance at beginning of the period$3,889 $21,255 $4,423 $1,945 
Additions— 15,820 — 42,191 
Change in fair value of derivatives - related parties1
1,525 5,692 991 (1,369)
Balance at end of the period$5,414 $42,767 $5,414 $42,767 
1 Includes loss on debt extinguishment from Yorkville Promissory Note Conversions for the three and six months ended June 30, 2023.

The estimated fair value of financial instruments not carried at fair value in the Unaudited Condensed Consolidated Balance Sheets was as follows:
June 30, 2024
December 31, 2023
Carrying ValueFair ValueCarrying ValueFair Value
Notes receivable$847 $705 $863 $719 
Loan commitment assets
76,091 76,217 — — 
2021 Convertible Note*101,256 61,764 94,386 57,998 
Senior Secured Term Loan — — 85,624 61,360 
AFG Convertible Notes*22,023 20,285 18,139 18,352 
Equipment financing facility4,109 3,499 5,710 4,826 
Series A-1 Preferred Stock40,117 38,167 — — 
  Total$244,443 $200,637 $204,722 $143,255 
*Includes the embedded derivative liabilities.