Fair Value Measurements

3 Months Ended

Mar. 31, 2024

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, 2024
	Level 1		Level 2		Level 3		Balance
Assets:
Money market funds	$	17,917	$	—	$	—	$	17,917
Total assets	$	17,917	$	—	$	—	$	17,917
Liabilities:
SBG Public Warrants	$	—	$	—	$	21	$	21
SBG Private Placement Warrants	—		—		12		12
Series A Warrants	—		—		20,876		20,876
Series B Warrants	—		—		4,548		4,548
Total liabilities	$	—	$	—	$	25,457	$	25,457

	December 31, 2023
	Level 1		Level 2		Level 3		Balance
Assets:
Money market funds	$	16,489	$	—	$	—	$	16,489
Total assets	$	16,489	$	—	$	—	$	16,489
Liabilities:
SBG Public Warrants	$	—	$	—	$	61	$	61
SBG Private Placement Warrants	—		—		35		35
Series A Warrants	$	—	$	—	$	27,685	$	27,685
Total liabilities	$	—	$	—	$	27,781	$	27,781

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 and SBG Private Placement Warrants as of March 31, 2024 and December 31, 2023 are presented in Level 3 of the fair value hierarchy. On June 15, 2023, the Company received notice from the New York Stock Exchange (the “NYSE”) that the NYSE had halted trading in the SBG Public Warrants due to the low trading price of those warrants. On June 16, 2023, the NYSE provided written notice to the Company and publicly announced that NYSE Regulation had determined to commence proceedings to delist the SBG Public Warrants and that such warrants were no longer suitable for listing based on “abnormally low” price levels, pursuant to Section 802.01D of the NYSE Listed Company Manual. As such, these instruments are no longer valued using quoted market prices and correspondingly, the SBG Private Placement Warrants can no longer be valued based on a quoted market price of the SBG Public Warrants. The Company measured the fair value of both the SBG Public Warrants and the SBG Private Placement Warrants as of March 31, 2024 and December 31, 2023 using the Black-Scholes option pricing model with the following assumptions:


SBG Common Stock Warrants - Black-Scholes Inputs	March 31, 2024			December 31, 2023
OWLT stock price	$	4.31		$	5.28
Exercise price of warrants	$	161.00		$	161.00
Term in years	2.29			2.54
Risk-free interest rate	4.53		%	4.11		%
Volatility	85.00		%	85.00		%

The Series A 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 Series A Warrants as of March 31, 2024 and December 31, 2023, using the Black-Scholes option pricing model with the following assumptions:


Series A Warrants - Black-Scholes Inputs	March 31, 2024			December 31, 2023
OWLT stock price	$	4.31		$	5.28
Exercise price of warrants	$	4.66		$	4.66
Term in years	3.88			4.13
Risk-free interest rate	4.32		%	3.91		%
Volatility	85.00		%	85.00		%

The Series B 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 Series B Warrants at issuance and again as of March 31, 2024, using the Black-Scholes option pricing model with the following assumptions:


Series B Warrants - Black-Scholes Inputs	March 31, 2024			February 29, 2024
OWLT stock price	$	4.31		$	5.68
Exercise price of warrants	$	7.71		$	7.71
Term in years	4.91			5.00
Risk-free interest rate	4.22		%	4.26		%
Volatility	85.00		%	90.00		%

The following table presents a reconciliation of the Company’s SBG Public Warrants, SBG Private Placement Warrants, Series A Warrants, and Series B Warrants (together, the “Level 3 Warrants”) measured at fair value on a recurring basis as of March 31, 2024:


	Level 3 Warrants
Balance as of December 31, 2023	$	27,781
Issuance of Series B Warrants	6,855
Change in fair value included within common stock warrant liability adjustment	(9,179)
Balance as of March 31, 2024	$	25,457

There were no transfers between Level 1 and Level 2 in the periods reported. The SBG Public Warrants and SBG Private Placement Warrants were transferred into Level 3 in 2023, as discussed above.

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	$	4.62
Exercise price of warrants	$	5.32
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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