XML 26 R15.htm IDEA: XBRL DOCUMENT v3.25.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2025
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):
September 30, 2025
Level 1Level 2Level 3Balance
Assets:
Money market funds$8,167$—$—$8,167
Total assets$8,167$—$—$8,167
Liabilities:
SBG Public Warrants$— $— $— $— 
SBG Private Placement Warrants— — — — 
Series A Warrants——38,80238,802
Series B Warrants——8,5848,584
Total liabilities$—$—$47,386$47,386
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 $5 
SBG Private Placement Warrants——22
Series A Warrants——20,75020,750
Series B Warrants——4,5864,586
Total liabilities$—$—$25,343$25,343

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 September 30, 2025 and December 31, 2024 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.

In June 2023, 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. 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 September 30, 2025 and December 31, 2024 using the Black-Scholes option pricing model with the following assumptions:
SBG Common Stock Warrants - Black-Scholes InputsSeptember 30, 2025December 31, 2024
OWLT stock price$8.47 $4.45 
Exercise price of warrants$161.00 $161.00 
Term in years0.791.54
Risk-free interest rate3.74 %4.21 %
Volatility75.00 %90.00 %

The Series A Warrants presented as Level 3 measurements rely on unobservable inputs reflecting the Company’s own assumptions.

The Series A Warrants presented as Level 3 measurements at September 30, 2025 include 7,215,737 warrants that are subject to the Exchange Agreement, and represent a liability for 4,412,930 common shares to be contingently issued as part of that agreement, and 265,597 warrants that are not subject to the Exchange Agreement (see Note 7 and Note 12).

Prior to the execution of the Exchange Agreement, the Series A warrants were valued using the Black-Scholes option pricing model. Due to the terms of the Exchange Agreement and the modification of the warrants to a liability to be settled in a fixed number of shares, the Company determined that the value of those shares covered by the agreement should represent the fair value of the shares to be issued as of the date of the exchange and subsequently remeasured to fair value at the end of each reporting period. The value of the shares was determined using a probability-weighted model whose primary inputs were the number of shares to be issued under the Exchange Agreement, or 4,412,930 shares, the price of the Company's publicly traded shares at September 30, 2025, or $8.47, and the Company's assessment of the probability that the exchange would be approved by the Company's shareholders. Due to 44% of the voting shares being contractually obligated to vote in favor of the agreement, and due to the significant economic conditions favoring the approval for other shareholders, the Company assessed that at September 30, 2025 the probability that the Exchange Agreement would be approved was effectively 100%.

As noted above, the Company continued to measure the fair value of the 265,597 Series A Warrants not subject to the Exchange Agreement as of September 30, 2025 and all Series A Warrants as of December 31, 2024, using the Black-Scholes option pricing model with the following assumptions:

Series A Warrants - Black-Scholes InputsSeptember 30, 2025December 31, 2024
OWLT stock price$8.47 $4.45 
Exercise price of warrants$4.66 $4.66 
Term in years2.383.13
Risk-free interest rate3.60 %4.28 %
Volatility78.00 %90.00 %

The value of the Series A warrant liability as of September 30, 2025 was $38,802, with a total decrease in fair value of $2,824 being recorded in the common stock warrant liability adjustment for the three months ended September 30, 2025.

The Series B Warrants presented as Level 3 measurements rely on unobservable inputs reflecting the Company’s own assumptions.

All of the Series B Warrants outstanding at September 30, 2025 were subject to the Exchange Agreement, and represent a liability to 1,013,499 common shares to be contingently issued as part of that agreement (see Note 7 and Note 12).

Prior to the execution of the Exchange Agreement, the Series B warrants were valued using the Black-Scholes option pricing model. Due to the terms of the Exchange Agreement and the modification of the warrants to a liability to be settled in a fixed number of shares, the Company determined that the value of those shares covered by the agreement should represent the fair value of the shares to be issued as of the date of the exchange and subsequently remeasured to fair value at the end of each reporting period. The value of the shares was determined using a probability-weighted model whose primary inputs were the number of shares to be issued under the Exchange Agreement, or 1,013,499 shares, the price of the Company's publicly traded shares at September 30, 2025, or $8.47, and the Company's assessment of the probability that the exchange would be approved by the Company's shareholders, which as discussed in Series A Warrant section above was deemed to be effectively 100%.

The value of the Series B warrant liability as of September 30, 2025 was $8,584, with a total decrease in fair value of $1,442 being recorded in the common stock warrant liability adjustment for the three months ended September 30, 2025.

The Company measured the fair value of the Series B Warrants as of December 31, 2024 using the Black-Scholes option pricing model with the following assumptions:
Series B Warrants - Black-Scholes InputsDecember 31, 2024
OWLT stock price$4.45 
Exercise price of warrants$7.71 
Term in years4.16
Risk-free interest rate4.33 %
Volatility90.00 %

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 September 30, 2025 (in thousands):
Level 3 Warrants
Balance as of December 31, 2024$25,343 
Change in fair value included within common stock warrant liability adjustment23,800 
Exercise of common stock warrants(1,757)
Balance as of September 30, 2025$47,386 

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 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 InputsSeptember 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 4, 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 unaudited condensed consolidated balance sheets. The vested redeemable common shares were recorded at their fair value of $7.66 per share, which was an aggregate value of 4,308. The value of the redeemable common shares was determined using a combination of the value of the Company's stock on the date of issuance and the theoretical 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 %