Fair Value of Financial Instruments

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

Fair Value of Financial Instruments

Cash and cash equivalents, accounts receivable, prepaid expenses and other current assets, accounts payable, short-term debt, including the current portion of long-term debt, accrued liabilities and other current liabilities are reflected on the consolidated balance sheets at amounts that approximate fair value because of the short-term nature of these financial assets and liabilities.

Warrants that were issued at BigBear.ai’s initial public offering (“IPO warrants”), warrants issued in BigBear.ai’s 2023 and 2024 private placement warrants (“PIPE warrants”), and warrants issued in BigBear.ai’s 2023 and 2024 registered direct offering warrants (“RDO warrants”) are valued using a modified Black-Scholes option pricing model (“OPM”), which is considered to be a Level 3 fair value measurement. See Note 15—Warrants for information on the Level 3 inputs used to value the IPO warrants, PIPE warrants and RDO warrants.

The table below presents the financial assets and liabilities measured at fair value :

		June 30, 2024
	Balance Sheet Caption	Level 1		Level 2		Level 3		Total
Recurring fair value measurements:
2023 PIPE warrants	Derivative liabilities	$	—	$	—	$	—	$	—
2023 RDO warrants	Derivative liabilities	—		—		—		—
IPO warrants	Derivative liabilities	—		—		28		28
2024 PIPE warrants	Derivative liabilities	—		—		10,260		10,260
2024 RDO warrants	Derivative liabilities	—		—		6,786		6,786
Total recurring fair value measurements:						17,074		17,074
Nonrecurring fair value measurement:
Goodwill(1)	Goodwill	—		—		118,621		118,621
		December 31, 2023
	Balance Sheet Caption	Level 1		Level 2		Level 3		Total
2023 PIPE warrants	Derivative liabilities	$	—	$	—	$	22,778	$	22,778
2023 RDO warrants	Derivative liabilities	—		—		15,018		15,018
IPO warrants	Derivative liabilities	—		—		66		66
2024 PIPE warrants	Derivative liabilities	—		—		—		—
2024 RDO warrants	Derivative liabilities	—		—		—		—
Nonrecurring fair value measurement:
Goodwill	Goodwill	—		—		48,683		48,683

(1) As of March 31, 2024, in accordance with Subtopic 350-20, goodwill with a carrying amount of $204.8 million was written down to its implied fair value of $119.8 million, resulting in an impairment charge of $85.0 million, which was included in earnings during the first quarter. Differences between the implied fair value of $119.8 million and the balance as of June 30, 2024 relate to subsequent measurement period adjustments.

The changes in the fair value of the Level 3 liabilities are as follows:

	2023 PIPE warrants		2023 RDO warrants		IPO warrants		2024 PIPE warrants		2024 RDO warrants
December 31, 2023	$	22,778	$	15,018	$	66	$	—	$	—
Additions	—		—		—		27,990		15,196
Changes in fair value	37,361		15,551		(35)		(17,730)		(8,410)
Settlements	(60,139)		(30,569)		(3)		—		—
June 30, 2024	$	—	$	—	$	28	$	10,260	$	6,786