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Fair Value

3 Months Ended

12 Months Ended

Mar. 31, 2023

Dec. 31, 2022

The following table presents the Company’s fair value hierarchy for its assets and liabilities measured at fair value as of March 31, 2023 and December 31, 2022 (in thousands):


	Fair Value Measurement as of
	March 31, 2023
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents	$	31,397	$	—	$	—	$	31,397
Prepaid forward contract	—		—		15,954		15,954
Total assets	$	31,397	$	—	$	15,954	$	47,351

Liabilities:
Fixed Maturity Consideration	$	—	$	—	$	6,967	$	6,967
Shortfall Warrants	—		—		5,104		5,104
Brookfield SAFE liability	—		—		19,400		19,400
Private placement warrants	—		—		2,626		2,626
Public warrants	2,189		—		—		2,189
Total liabilities	$	2,189	$	—	$	34,097	$	36,286


	Fair Value Measurement as of
	December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents	$	523	$	—	$	—	$	523

Liabilities:
Warrants on preferred shares	—		—		2,119		2,119
Brookfield SAFE liability	—		—		50,000		50,000
AM SAFE warrant	—		—		1,989		1,989
AM SAFE liability	—		—		28,986		28,986
Total Liabilities	$	—	$	—	$	83,094	$	83,094

Forward Purchase Agreement

The fair value upon issuance of the FPA (both the prepaid forward contract and Fixed Maturity Consideration) and the change in fair value from issuance to March 31, 2023 is included in other expense, net in the condensed consolidated statements of operations and comprehensive loss. The fair value of the FPA was estimated using a Monte-Carlo Simulation in a risk-neutral framework. Specifically, the future stock price is simulated assuming a Geometric Brownian Motion (“GBM”). For each simulated path, the forward purchase value is calculated based on the contractual terms and then discounted back to present. Finally, the value of the forward is calculated as the average present value over all simulated paths. The Fixed Maturity Consideration was also valued as part of this model as the timing of the payment of the Fixed Maturity Consideration may be accelerated if the Maturity Date is accelerated.

The following table represents the weighted average inputs used in calculating the fair value of the prepaid forward contract and the Fixed Maturity Consideration as of March 31, 2023:


	March 31, 2023
Stock price	$	3.88
Term (in years)	2.86
Expected volatility	55.0		%
Risk-free interest rate	3.81		%
Expected dividend yield	—		%

Warrants on preferred shares

The fair value of the warrants on preferred shares was estimated using a Black-Scholes option pricing model. Since the warrants were exercised on February 8, 2023 (see Note 8 - Warrants, for a description of the valuation on

that date), the following table represents the weighted average inputs used in calculating the fair value of the preferred share warrants outstanding as of December 31, 2022:


	December 31, 2022
Stock price	$	5.21
Weighted average exercise price	$	3.96
Term (in years)	1.1
Expected volatility	73.4		%
Risk-free interest rate	4.47		%
Expected dividend yield	—		%

Shortfall Warrants

The fair value of the Shortfall Warrants was estimated using a Black-Scholes option pricing model. The following table represents the weighted average inputs used in calculating the fair value of the Shortfall Warrants outstanding as of March 31, 2023:


	March 31, 2023
Stock price	$	3.88
Weighted average exercise price	$	10.00
Term (in years)	5.0
Expected volatility	68.0		%
Risk-free interest rate	3.59		%
Expected dividend yield	—		%

SAFE Liabilities and AM SAFE Warrant

The change in fair value between reporting periods for the Brookfield SAFE liability is included in other expense, net in the condensed consolidated statements of operations and comprehensive loss for the three months ended March 31, 2023. The change in fair value between December 31, 2022 and the Closing Date for the AM SAFE liability is included in other expense, net in the condensed consolidated statements of operations and comprehensive loss for the three months ended March 31, 2023. See Note 7 - AM SAFE for more details. See Note 8 - Warrants for further details on the AM SAFE warrant.

The Company’s AM SAFE liability (until conversion to shares on the Closing Date), AM SAFE warrant (until conversion to an equity classified warrant on the Closing Date) and Brookfield SAFE liability are mark-to-market liabilities and are classified within Level 3 of the fair value hierarchy as the Company is using a scenario-based approach which allowed the Company to estimate the implied value of the business based on the terms of the SAFE. Significant unobservable inputs included probability and expected term. Probability was based upon the likelihood of the Company closing a transaction with a special purpose acquisition company. The expected term was based on the anticipated time until the SAFE investments would have a conversion event.

At conversion, the AM SAFE liability was valued as described in Note 7 - AM SAFE. Significant inputs for Level 3 AM SAFE liability fair value measurement at December 31, 2022 are as follows:


	Near Term		Long-Term
Key assumptions:
Probability weighting	61	%	39	%
Time to conversion (in years)	0.1		0.8
Liquidity price	100	%	90	%
Discount rate	24.7	%	24.7	%

At conversion to equity classification on February 8, 2023, the AM SAFE warrant was valued using a Black-Scholes option pricing model as the warrant became exercisable for a fixed number of shares at a fixed price as described in Note 8 - Warrants. The following table represents the weighted average inputs used in calculating the fair value of the preferred share warrants outstanding at conversion to equity on February 8, 2023:


	February 8, 2023
Stock price	$	9.91
Term (in years)	5.00
Expected volatility	70.0		%
Risk-free interest rate	3.82		%
Expected dividend yield	—		%

Significant inputs for Level 3 AM SAFE warrant fair value measurement at December 31, 2022 are as follows:


	Near Term		Long-Term
Key assumptions:
Probability weighting	61	%	39	%
Remaining life (in years)	5.0		5.0
Volatility	75	%	75	%
Interest rate	3.99	%	3.99	%
Time to conversion (in years)	0.1		0.8
Risk-free interest rate	4.12	%	4.75	%
Dividend yield	—	%	—	%

Significant inputs for Level 3 Brookfield SAFE liability fair value measurement at December 31, 2022 are the timing and likelihood of project financings under the Brookfield Framework Agreement. The Brookfield SAFE is legal form debt that the Company has elected to measure using the FVO under ASC 825. As of March 31, 2023, no part of the Brookfield SAFE has converted to Company common shares as a qualifying financing had not yet occurred and no project investments were presented. There were no cash flows associated with the Brookfield SAFE in the three months ended March 31, 2023.

As of its issuance date, the fair value of the Brookfield SAFE is equal to the investment amount of $50,000 based on the orderly nature of the transaction. The value as of December 31, 2022 remains the same due to the proximity of the valuation date to the issuance date (i.e., less than two months) and the absence of events which would indicate a change in expected payoffs to the investor. As of December 31, 2022 the same expectations about sufficient projects meeting the agreed-upon investment criteria pursuant to the Brookfield Framework Agreement are maintained. As such the Brookfield SAFE’s fair value is estimated to be $50,000, as of December 31, 2022.

As of March 31, 2023, the Company expects to present sufficient projects to Brookfield to result in the Brookfield SAFE being automatically converted into shares. Since the liquidity price is not expected to change

during the life of the Brookfield SAFE, the number of shares that Brookfield receives is fixed. Based on this expectation, the value of the Brookfield SAFE is equal to the Brookfield SAFE's as-converted value, which is the initial purchase amount, divided by the liquidity price, times the stock price, resulting in an estimated fair value of $19,400 recorded on the condensed consolidated balance sheet.

Significant inputs for Level 3 Brookfield SAFE measurement at March 31, 2023 are as follows:


	March 31, 2023
Initial purchase amount	$	50,000
Liquidity price	10.00
Stock price	3.88

Public Warrants and Private Placement Warrants

For the Public Warrants, the Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value and recognized a decrease in the fair value of the liability of approximately $286 on the condensed consolidated statements of operations and comprehensive loss within other expense, net representing the change in fair value from the Closing Date to March 31, 2023.

The fair value of the Private Placement Warrants was estimated using a Black-Scholes option pricing model. For the three months ended March 31, 2023, the Company recognized an increase in the fair value of liabilities of approximately $477 on the condensed consolidated statements of operations and comprehensive loss within other expense, net representing the change in fair value from the Closing Date to March 31, 2023.

The following table represents the weighted average inputs used in calculating the fair value of the Private Placement Warrants outstanding as of March 31, 2023 and at the time of the Business Combination:


	March 31, 2023			February 8, 2023
Stock price	$	3.88		$	9.91
Exercise price	$	11.50		$	11.50
Term (in years)	4.86			5.00
Expected volatility	45.0		%	2.0		%
Risk-free interest rate	3.60		%	3.82		%
Expected dividend yield	—		%	—		%

The following tables represent reconciliations of the fair value measurements of the assets and liabilities using significant unobservable inputs (Level 3) (in thousands):


	Prepaid forward contract		Fixed Maturity Consideration		Shortfall Warrants		Warrants on Preferred Shares		AM SAFE liability		AM SAFE warrant		Brookfield SAFE		Private placement warrants
Balance as of January 1, 2023	$	—	$	—	$	—	$	(2,119)	$	(28,986)	$	(1,989)	$	(50,000)	$	—
Recognized as a result of the Business Combination	—		—		—		—		—		—		—		(2,148)
Initial Prepayment Amount	60,096		—		—										—
(Loss) gain recognized in other expense, net on the condensed consolidated statement of operations and comprehensive loss	(44,142)		(6,967)		(5,104)		(3,770)		(744)		189		30,600		(477)
Conversion of warrants to preferred shares	—		—		—		5,889		—		—		—		—
Conversion of SAFE liability	—		—		—		—		29,730		—		—		—
Conversion of AM SAFE warrant to equity classification	—		—		—		—		—		1,800		—		—

Balance as of March 31, 2023	$	15,954	$	(6,967)	$	(5,104)	$	—	$	—	$	—	$	(19,400)	$	(2,625)


	Warrants on Preferred Shares		AM SAFE liability		AM SAFE warrant


Balance as of January 1, 2022	$	(1,145)	$	(28,271)	$	(1,729)
Gain (loss) recognized in other expense, net on the condensed consolidated statement of operations and comprehensive loss	41		148		(129)
Balance as of March 31, 2022	$	(1,104)	$	(28,123)	$	(1,858)

Fair Value

The following table presents the Company’s fair value hierarchy for its assets and liabilities measured at fair value as of December 31, 2022 and December 31, 2021 (in thousands):


	Fair Value Measurement as of
	December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents	$	523	$	—	$	—	$	523

Liabilities:
Warrants on preferred shares	$	—	$	—	$	2,119	$	2,119
Brookfield SAFE liability	—		—		50,000		50,000
AM SAFE warrant	—		—		1,989		1,989
AM SAFE liability	—		—		28,986		28,986
Total liabilities	$	—	$	—	$	83,094	$	83,094


	Fair Value Measurement as of
	December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents	$	516	$	—	$	—	$	516

Liabilities:
Warrants	—		—		1,145		$	1,145
AM SAFE warrant	—		—		1,729		1,729
AM SAFE liability	—		—		28,271		28,271
Total Liabilities	$	—	$	—	$	31,145	$	31,145

Warrants

The Company has warrants to purchase preferred shares outstanding as of December 31, 2022 and December 31, 2021 representing 985,278 preferred shares, for each period respectively, which warrants expire at various dates through December 31, 2027. The exercise prices of the warrants range from $3.36 to $4.56 as of each of December 31, 2022 and December 31, 2021.

The warrants are accounted for as liabilities in accordance with ASC 480, and are presented within other accrued liabilities on the consolidated balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the consolidated statements of operations and comprehensive loss.

The fair value of the warrants was calculated using the Black-Scholes Option Pricing Model. For the years ended December 31, 2022 and 2021, the Company recognized a change in the fair value of liabilities of approximately $(974) and $(563), respectively, on the consolidated statements of operations and comprehensive loss within other expense, net.

The estimated fair value of the warrants is determined using Level 3 inputs. Inherent in the Black-Scholes Option Pricing Model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on implied volatility from the Company’s warrants and from historical volatility of select peer companies that match the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

The following table represents the weighted average inputs used in calculating the fair value of the preferred share warrants outstanding as of December 31, 2022 and December 31, 2021:


	December 31, 2022			December 31, 2021
Stock price	$	5.21		$	3.15
Weighted average exercise price	3.96			3.96
Term (in years)	1.1			2.8
Expected volatility	73.4		%	70.6		%
Risk-free interest rate	4.5		%	0.8		%
Expected dividend yield	—		%	—		%

SAFE Liabilities and AM SAFE Warrant

The change in fair value between reporting periods for both the SAFE liabilities and SAFE warrant is included in other expense, net in the consolidated statements of operations and comprehensive loss.

The Company’s AM SAFE liability, Brookfield SAFE liability and AM SAFE warrant are mark-to-market liabilities and are classified within Level 3 of the fair value hierarchy as the Company is using a scenario-based approach which allowed the Company to estimate the implied value of the business based on the terms of the SAFE. Significant unobservable inputs included probability and expected term. Probability is based upon the likelihood of the Company closing a transaction with a special purpose acquisition company. The expected term was based on the anticipated time until the SAFE investments would have a conversion event.

Significant inputs for Level 3 AM SAFE liability fair value measurement at December 31, 2022 are as follows:


	Near Term		Long-Term
Key assumptions:
Probability weighting	61	%	39	%
Time to conversion (in years)	0.1		0.8
Liquidity price	100	%	90	%
Discount rate	24.7	%	24.7	%

Significant inputs for Level 3 SAFE warrant fair value measurement at December 31, 2022 are as follows:


	Near Term		Long-Term
Key assumptions:
Probability weighting	61	%	39	%
Remaining life (in years)	5.0		5.0
Volatility	75	%	75	%
Interest rate	3.99	%	3.99	%
Time to conversion (in years)	0.1		0.8
Risk-free interest rate	4.12	%	4.75	%
Dividend yield	—	%	—	%

Significant inputs for Level 3 Brookfield SAFE liability fair value measurement at December 31, 2022 are the timing and likelihood of project financings under the Brookfield Framework Agreement. As of its issuance date, the fair value of the Brookfield SAFE is equal to the investment amount of $50,000 based on the orderly nature of the transaction. The value as of December 31, 2022 remains the same due to the proximity of the valuation date to the issuance date (i.e., less than two months) and the absence of events which would indicate a change in expected payoffs to the investor. As of December 31, 2022 the same expectations about sufficient projects meeting the agreed-upon investment criteria pursuant to the Brookfield Framework Agreement are maintained. As such the Brookfield SAFE’s fair value is estimated to be $50,000, as of December 31, 2022.

The following tables represent reconciliations of the fair value measurements of the liabilities associated with our SAFE and warrant obligations using significant unobservable inputs (Level 3) (in thousands):


	Warrants		AM SAFE liability		AM SAFE warrant		Brookfield SAFE
Balance as of January 1, 2022	$	1,145	$	28,271	$	1,729	$	—
Issuance of Brookfield SAFE liability	—		—		—		50,000
Loss recognized in consolidated statement of operations and comprehensive loss	974		715		260		$	—
Balance as of December 31, 2022	$	2,119	$	28,986	$	1,989	$	50,000


	Warrants		AM SAFE liability		AM SAFE warrant		Brookfield SAFE


Balance as of January 1, 2021	$	582	$	—	$	—	$	—
Issuance of SAFE liability and warrant	—		28,271		1,729		—
Loss recognized in consolidated statement of operations and comprehensive loss	563		—		—		—
Balance as of December 31, 2021	$	1,145	$	28,271	$	1,729	$	—

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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