Fair Value Measurements

3 Months Ended

Mar. 31, 2023

The following table presents information about the Company's assets and liabilities measured and reported in the financial statements at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value.


	March 31, 2023
	Level 1		Level 2		Level 3		Balance
Assets:
Money market funds	$	23,963	$	—	$	—	$	23,963
Total assets	$	23,963	$	—	$	—	$	23,963
Liabilities:
SBG Public Warrants	$	445	$	—	$	—	$	445
SBG Private Placement Warrants	—		255		—		255
February 2023 Warrants	—		—		24,245		24,245
Total liabilities	$	445	$	255	$	24,245	$	24,945

	December 31, 2022
	Level 1		Level 2		Level 3		Balance
Assets:
Money market funds	$	11,070	$	—	$	—	$	11,070
Total assets	$	11,070	$	—	$	—	$	11,070
Liabilities:
SBG Public Warrants	$	460	$	—	$	—	$	460
SBG Private Placement Warrants	—		264		—		264
Total liabilities	$	460	$	264	$	—	$	724

Money market funds are included within Level 1 of the fair value hierarchy because they are valued using quoted market prices. The SBG Public Warrants as of March 31, 2023 are also included within Level 1 of the fair value hierarchy because they are valued using quoted market prices. The SBG Private Placement Warrants are included within Level 2 of the fair value hierarchy as the Company determined that the SBG Private Placement Warrants are economically equivalent to the SBG Public Warrants and estimated the fair value of the SBG Private Placement Warrants based on the quoted market price of the SBG Public Warrants.

The February 2023 Warrants are presented as Level 3 measurements, relying on unobservable inputs reflecting the Company's own assumptions. Level 3 measurements, which are not based on quoted prices in active markets, introduce a higher degree of subjectivity and may be more sensitive to fluctuations in stock price, volatility rates, and U.S. Treasury Bond rates.

The Company measured the fair value of the February 2023 Warrants at issuance and again as of March 31, 2023, using the Black-Scholes option pricing model with the following assumptions:


February 2023 Warrants - Black-Scholes Inputs	February 17, 2023			March 31, 2023
OWLT stock price	$	0.341		$	0.324
Exercise price of warrants	$	0.333		$	0.333
Term in years	5.00			4.88
Risk-free interest rate	4.10		%	3.61		%
Volatility	85.00		%	85.00		%

The following table presents a reconciliation of the Company’s February 2023 Warrants measured at fair value on a recurring basis as of March 31, 2023:


	February 2023 Warrants
Balance as of December 31, 2022	$	—
Issuance of February 2023 Warrants	26,133
Change in fair value included within common stock warrant liability adjustment	$	(1,888)
Balance as of March 31, 2023	$	24,245

There were no transfers between Level 1 and Level 2 in the periods reported. There were no transfers into or out of Level 3 in the period reported.

The Company measured the fair value of the SVB Warrants (see Note 4) at issuance as of March 27, 2023, using the Black-Scholes option pricing model with the following assumptions:


SVB Warrants - Black-Scholes Inputs	March 27, 2023
OWLT stock price	$	0.330
Exercise price of warrants	$	0.380
Term in years	12.00
Risk-free interest rate	3.60		%
Volatility	85.00		%

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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