Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2024

Schedule of Fair Value of Financial Assets and Liabilities

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 1		Level 2		Level 3		Level 1		Level 2		Level 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.

Schedule of Assumptions used to Determine Fair Value of Warrants and and Debt Instruments

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 probability		Very 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	%

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 June 30,				Six Months Ended June 30,
	2024		2023		2024		2023
Delayed Draw Term Loan
Balance at beginning of the period	$	—	$	—	$	—	$	—
Additions	25,653		—		25,653		—
Change in fair value of Term Loan	240		—		240		—
Balance at end of the period	$	25,893	$	—	$	25,893	$	—

SPA Warrant and Contingent Warrants
Balance at beginning of the period	$	—	$	—	$	—	$	—
Additions	95,094		—		95,094		—
Change in fair value of warrants	46,202		—		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 warrants	7,938		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.

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:


	June 30, 2024				December 31, 2023
	Carrying Value		Fair Value		Carrying Value		Fair 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 facility	4,109		3,499		5,710		4,826
Series A-1 Preferred Stock	40,117		38,167		—		—
Total	$	244,443	$	200,637	$	204,722	$	143,255

*Includes the embedded derivative liabilities.