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Sponsor Earnout Shares (Tables)
 6 Months Ended
Jul. 31, 2023
Sponsor Earnout Shares [Line Items]  
Summary of Assumptions, Inputs, and Fair Value Results

The fair value of the Stifel Warrant was determined using a Black-Scholes model. The assumptions used in estimating the fair value of the Stifel Warrant are included in the table below. There are no values as of January 31, 2023, as the warrant was issued on April 21, 2023.

 

 

July 31, 2023

 

Asset price

 

$

1.15

 

Exercise price of the warrant

 

$

1.36

 

Contractual term

 

 

9.7

 

Volatility

 

 

65.00

%

Dividend yield

 

 

0.00

%

Risk-free rate

 

 

4.00

%
The fair value of the Stifel Warrant was determined to be $0.1 million at July 31, 2023.
Sponsor Earnout Shares [Member]  
Sponsor Earnout Shares [Line Items]  
Summary of Assumptions, Inputs, and Fair Value Results The table below documents the Monte Carlo assumptions, inputs, and the fair value results at each balance sheet date:

 

 

July 31, 2023

 

 

January 31, 2023

 

 

 

 

 

 

 

 

Per Share Price of Company Common Stock

 

$

1.15

 

 

$

3.62

 

Annual Equity Volatility

 

 

80.00

%

 

 

65.00

%

Risk-Free Rate of Return

 

 

4.34

%

 

 

3.70

%

 

 

 

 

 

 

 

Fair Value per Share Tranche I

 

$

0.43

 

 

$

2.12

 

Fair Value per Share Tranche II

 

$

0.38

 

 

$

1.88

 

Fair Value per Share Tranche III

 

$

0.36

 

 

$

1.67

 

 

 

 

 

 

 

 

Aggregate Fair Value (in thousands)

 

$

504

 

 

$

2,445