XML 34 R18.htm IDEA: XBRL DOCUMENT v3.25.0.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The Company’s assets and liabilities measured and reported in the financial statements at fair value on a recurring basis were as follows (in thousands):
December 31, 2024
Level 1Level 2Level 3Balance
Assets:
Money market funds$8,223$—$—$8,223
Total assets$8,223$—$—$8,223
Liabilities:
SBG Public Warrants$— $— $5 $5 
SBG Private Placement Warrants— — 2 2 
Series A Warrants——20,75020,750
Series B Warrants——4,5864,586
Total liabilities$—$—$25,343$25,343
December 31, 2023
Level 1Level 2Level 3Balance
Assets:
Money market funds$16,489 $— $— $16,489 
Total assets$16,489$—$—$16,489
Liabilities:
SBG Public Warrants$— $— $61 $61 
SBG Private Placement Warrants——3535
Series A Warrants——27,68527,685
Total liabilities$—$—$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 December 31, 2024 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 December 31, 2024 and December 31, 2023, using the Black-Scholes option pricing model with the following assumptions:

SBG Common Stock Warrants - Black-Scholes InputsDecember 31, 2024December 31, 2023
OWLT stock price$4.45 $5.28 
Exercise price of warrants$161.00 $161.00 
Term in years1.542.54
Risk-free interest rate4.21 %4.11 %
Volatility90.00 %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 as of December 31, 2024 and December 31, 2023, using the Black-Scholes option pricing model with the following assumptions:

Series A Warrants - Black-Scholes InputsDecember 31, 2024December 31, 2023
OWLT stock price$4.45 $5.28 
Exercise price of warrants$4.66 $4.66 
Term in years3.134.13
Risk-free interest rate4.28 %3.91 %
Volatility90.00 %85.00 %

The Series B Warrants are presented as Level 3 measurements, relying on unobservable inputs reflecting the Company’s own assumptions. The Company measured the fair value of the Series B Warrants at issuance and again as of December 31, 2024 using the Black-Scholes option pricing model with the following assumptions:

Series B Warrants - Black-Scholes InputsDecember 31, 2024February 29, 2024
OWLT stock price$4.45 $5.68 
Exercise price of warrants$7.71 $7.71 
Term in years4.165.00
Risk-free interest rate4.33 %4.26 %
Volatility90.00 %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 December 31, 2024 (in thousands):
Level 3 Warrants
Balance as of December 31, 2023$27,781 
Issuance of Series B Warrants6,855 
Change in fair value included within common stock warrant liability adjustment(9,293)
Balance as of December 31, 2024$25,343 

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.

Equity-Classified Warrants

The fair value of the Titan Warrants at issuance on September 11, 2024 was $382. The Company measured the fair value of the Titan Warrants at issuance on September 11, 2024, using the Black-Scholes option pricing model with the following assumptions:

Titan Warrants - Black-Scholes Inputs
September 11, 2024
OWLT stock price$4.35 
Exercise price of warrants$4.63 
Term in years5.50
Risk-free interest rate3.47 %
Volatility85.00 %

Mezzanine-Classified Redeemable Common Stock

As described in Note 6, the vested shares issued to WTI are contingently redeemable at the option of the holder during the put period and are recorded in mezzanine equity on the consolidated balance sheets. The vested redeemable shares of common stock were recorded at their fair value of $7.66 per share, which was an aggregate value of $4,308. The value of the redeemable shares of common stock was determined using a combination of the value of the Company's stock on the date of issuance and the theoretic value of a stand-alone put option valued using
a Black-Scholes put option model discounted by a present value factor that considers the credit spread between an estimated Company specific discount rate and the risk-free rate of return. The valuation model used the following assumptions:
Redeemable Common Stock - Valuation InputsSeptember 11, 2024
Common stock value per share$4.35 
Put price$8.40 
Term in years5.00
Risk-free interest rate3.42 %
Volatility85.00 %
Credit spread9.27 %
Present value discount63.49 %