In connection with Loan Agreement the Company entered into with Horizon which provided for a term loan facility in an aggregate principal amount of up to $25.0 million, $15.0 million of which was borrowed at the closing (See Note 10). The Company issued warrants for both the $15.0 million loan drawn at the closing and the remaining $10.0 million available commitment which had different terms and conditions. In conjunction with the $10.0 million available commitment, the Company made available Horizon a warrant to purchase up 57,034 shares, of which 28,517 shares of the Company’s common stock were issued at an exercise price per share of $5.26. These warrants are recognized as liabilities on the condensed consolidated balance sheets and were measured at their inception date fair value and subsequently remeasured at each reporting period with changes recorded as a component of other income in the Company’s condensed consolidated statements of operations. The warrants issued for the $10.0 million available commitment was summarized below as a liability classified Common Stock Warrant.

Warrant Class

Shares

Fair Value

Issuance Date

Exercise Price

Expiration Date

Common stock

28,517

249

January 19, 2022

5.26

The earlier of March 29, 2031 or the date of a qualifying acquisition

The warrant’s fair value upon issuance and as of March 31, 2022 was estimated to be approximately $0.2 million, and was measured using a probability weighted Black-Scholes option-pricing model with the following assumptions:


Valuation Assumptions	AT ISSUANCE (AS OF JANUARY 19, 2022)			AS OF MARCH 31, 2022
Fair value of common stock	$	5.89		$	9.63
Risk free interest rate		1.50	%		2.39	%
Expected volatility		59.60	%		59.60	%
Expected term (in years)		10.50			10.00

The Private Placement Warrants may not be redeemed by the Company so long as the Private Placement Warrants are held by the initial purchasers, or such purchasers’ permitted transferees. The Private Placement Warrants have terms and provisions identical to those of the Public Warrants which are discussed below, including as to exercise price, exercisability, and exercise period, except if the Private Placement Warrants are held by someone other than the initial purchasers’ permitted transferees, then the Private Placement Warrants are redeemable by the Company and exercisable by such holders on the same basis as the Public Warrants. On the Closing Date and as of March 31, 2022, there were 2,062,500 Private Warrants issued and outstanding. These warrants are recognized as liabilities on the condensed consolidated balance sheets and were measured at their inception date fair value and subsequently remeasured at each reporting period with changes recorded as a component of other income in the Company’s condensed consolidated statements of operations.

Warrant Class

Shares

Fair Value

Initial Recognition Date

Exercise Price

Expiration Date

Private Placement Warrants

2,062,500

1,341

February 2, 2022

11.50

March 2, 2027

The fair value of the Private Placement Warrant upon initial recognition and as of March 31, 2022 was estimated to be approximately $1.3 million and $1.6 million respectively, and was measured using a Black-Scholes option-pricing model with the following assumptions:


Valuation Assumptions	INITIAL RECOGNITION (AS OF FEBRUARY 2, 2022)			AS OF MARCH 31, 2022
Fair value of common stock	$	8.82		$	9.63
Risk free interest rate		1.59	%		2.39	%
Implied volatility (1)		15.9	%		12.0	%
Expected term (in years)		5.00			4.85

(1) The implied volatility considers the trading price of the public warrants and calculated value of the public warrants based on a Monte Carlo simulation model.

In connection with the Loan Agreement the Company entered into with Horizon in December 2021, the Company issued the warrants to Horizon to purchase 85,552 shares of the Company’s common stock at an exercise price per share of $5.26 for the $15.0 million drawn commitment. Upon the issuance during January 2022, the Company reassessed for the classification of these warrants, and noted that there were no variability on the number of shares or the exercise price of the settlement. The Company determined that the Warrants met the requirements for equity classification and the fair value of $0.4 million was reclassified to equity during the period.

Warrant Class

Shares

Issuance Date

Exercise Price per Share

Expiration Date

Common stock warrant

85,552

January 19, 2022

5.26

January 19, 2032

The warrant’s fair value upon issuance was estimated to be approximately $0.4 million, and was measured using a Black-Scholes option-pricing model with the following assumptions:


Valuation Assumptions	AT ISSUANCE (AS OF JANUARY 19, 2022)
Fair value of common stock	$	5.89
Risk free interest rate		1.50	%
Expected volatility		59.60	%
Expected term (in years)		10.00

Each Public Warrant entitles the holder to the right to purchase one share of common stock at an exercise price of $11.50 per share. No fractional shares will be issued upon exercise of the Public Warrants. The Company may elect to redeem the Public Warrants subject to certain conditions, in whole and not in part, at a price of $0.01 per Public Warrant if (i) 30 days’ prior written notice of redemption is provided to the holders, and (ii) the last reported sale price of the Company’s common stock equals or exceeds $18.00 per share (as adjusted for stock splits, stock dividends, reorganizations, recapitalizations and the like) for any 20 trading days within a 30-trading day period ending on the third business day prior to the date on which the Company sends the notice of redemption to the warrant holders. Upon issuance of a redemption notice by the Company, the warrant holders have a period of 30 days to exercise for cash, or on a cashless basis. On the Closing Date, there were 10,350,000 Public Warrants issued and outstanding.

In March 2022, 105,210 of the Public Warrants were exercised into shares of the Company's common stock for a total exercise price of $1.2 million in cash.

The following table presents a roll-forward of the Company’s warrants from December 31, 2021 to March 31, 2022:


	COMMON STOCK WARRANTS			PREFERRED STOCK WARRANTS
Warrants Outstanding, December 31, 2021 (1)		207,376			635,404
Exercised in the business combination (1)		(207,376	)		(635,404	)
Issued (1)		75,924			-
Assumed in the business combination		12,412,500			-
Exercised subsequent to the business combination		(105,120	)		-
Warrants Outstanding, March 31, 2022		12,383,304			-

(1) Number of warrants have been adjusted to reflect the exchange for New GreenLight warrants at an exchange ratio of approximately 0.6656 as a result of the Business Combination. See Note 3 for further information.