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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 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

 

September 30, 2023

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

Money market account

 

$

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

 

 

$

 

 

$

(78

)

Warrant commitment liability

 

 

 

 

 

 

 

 

 

Mudrick convertible notes

 

 

 

 

 

 

 

 

(48,880

)

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 September 30, 2023 and December 31, 2022, respectively, using the following assumptions:

 

 

 

September 30, 2023

 

 

Stock price

 

$

0.35

 

 

Exercise price

 

$

11.50

 

 

Risk-free interest rate

 

 

4.63

%

 

Time to expiration (years)

 

 

4.19

 

 

Expected volatility

 

 

78.62

%

 

Fair value per warrant

 

$

0.02

 

 

 

 

 

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):

 

 

September 30, 2023

 

 

Warrant Commitment Liability

 

 

Private
Warrants

 

Balance (beginning of period)

 

$

320

 

 

$

247

 

Additions

 

 

 

 

 

 

Fair value measurement adjustments

 

 

(40

)

 

 

(169

)

Exercised

 

 

(280

)

 

 

 

Balance (end of period)

 

$

 

 

$

78

 

 

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 and Mudrick Super Priority Note as of September 30, 2023 and December 31, 2022, respectively, using the following assumptions:

 

 

September 30, 2023

 

 

December 31, 2022

 

 

 

Mudrick Convertible Note

 

Issuance date

 

12/8/2022

 

 

12/8/2022

 

Maturity date

 

12/8/2027

 

 

12/8/2027

 

Interest rate (PIK)

 

 

9.75

%

 

 

9.50

%

Expected volatility factor

 

 

90.40

%

 

 

95.23

%

Risk-free interest rate

 

 

4.70

%

 

 

4.00

%

Estimated market yield

 

 

50.00

%

 

 

30.00

%

 

 

September 30, 2023

 

 

 

Mudrick Super Priority Note

 

Inception date

 

9/8/2023

 

Valuation date

 

9/30/2023

 

Maturity date

 

8/7/2024

 

Interest rate

 

 

15.00

%

Estimated market yield

 

 

30.00

%

Discount period (years)

 

 

0.86

 

Discount factor

 

 

0.79

 

 

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):

 

 

September 30, 2023

 

 

Mudrick Convertible Notes

 

 

Mudrick Super Priority Note

 

Balance (beginning of period)

 

$

56,743

 

 

$

 

Additions

 

 

 

 

 

14,416

 

Fair value measurement adjustments

 

 

7,765

 

 

 

245

 

OCI - Change in fair value of the convertible instrument liability

 

 

(15,628

)

 

 

 

Exercised

 

 

 

 

 

 

Balance (end of period)

 

$

48,880

 

 

$

14,661

 

 

The change in fair value of the convertible instrument liability classified in OCI is a result of a change to instrument specific credit risk.