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Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2023
Summary of financial instruments at fair value based on the fair value hierarchy or each class of instrument

The following tables summarize the Company’s financial instruments at fair value based on the fair value hierarchy for each class of instrument (in thousands):

 

 

Fair Value Measurement

 

December 31, 2022

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

Money market account

 

$

38

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

 

 

$

 

 

$

(247

)

Warrant commitment liability

 

 

 

 

 

 

 

 

(320

)

Mudrick convertible notes

 

 

 

 

 

 

 

 

(56,743

)

 

 

Fair Value Measurement

 

March 31, 2023

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

Money market account

 

$

19,367

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

 

 

$

 

 

$

(249

)

Warrant commitment liability

 

 

 

 

 

 

 

 

(329

)

Mudrick convertible notes

 

 

 

 

 

 

 

 

(53,823

)

Warrant [Member]  
Schedule of binomial lattice model for initial measurement of private placement warrants

The Company calculated the estimated fair value of the warrant commitment liability and private warrants as of March 31, 2023 and December 31, 2022, respectively, using the following assumptions:

 

 

 

March 31, 2023

 

Stock price

 

$

0.29

 

Exercise price

 

$

11.50

 

Risk-free interest rate

 

 

3.60

%

Time to expiration (years)

 

 

4.69

 

Expected volatility

 

 

106.67

%

Fair value per warrant

 

$

0.05

 

 

 

 

December 31, 2022

 

Stock price

 

$

0.65

 

Exercise price

 

$

11.50

 

Risk-free interest rate

 

 

3.96

%

Time to expiration (years)

 

 

4.94

 

Expected volatility

 

 

70.70

%

Fair value per warrant

 

$

0.05

 

 

Schedule of changes in the level 3 warrant liability measured at fair value

The following table presents changes in the Level 3 liabilities measured at fair value for the periods indicated (in thousands):

 

 

March 31, 2023

 

 

Warrant Commitment Liability

 

 

Warrant Liability

 

Balance (beginning of period)

 

$

320

 

 

$

247

 

Additions

 

 

 

 

 

 

Fair value measurement adjustments

 

 

9

 

 

 

2

 

Exercised

 

 

 

 

 

 

Balance (end of period)

 

$

329

 

 

$

249

 

 

Convertible Promissory Notes And Securities [Member]  
Schedule of binomial lattice model for initial measurement of private placement warrants

The Company calculated the estimated fair value of the Mudrick Convertible Notes as of March 31, 2023 and December 31, 2022, respectively, using the following assumptions:

 

 

March 31, 2023

 

 

December 31, 2022

 

 

 

Mudrick Convertible Notes

 

Issuance date

 

12/8/2022

 

 

12/8/2022

 

Maturity date

 

12/8/2027

 

 

12/8/2027

 

Interest rate (PIK)

 

 

9.50

%

 

 

9.50

%

Expected volatility factor

 

 

100.50

%

 

 

95.23

%

Risk-free interest rate

 

 

3.60

%

 

 

4.00

%

Estimated market yield

 

 

30.00

%

 

 

30.00

%

 

Schedule of changes in the level 3 convertible promissory notes and securities measured at fair value

The following table presents changes in the Level 3 convertible promissory notes measured at fair value for the periods indicated (in thousands):

 

 

March 31, 2023

 

 

Mudrick Convertible Notes

 

Balance (beginning of period)

 

$

56,743

 

Additions

 

 

 

Fair value measurement adjustments

 

 

(2,920

)

Exercised

 

 

 

Balance (end of period)

 

$

53,823