XML 70 R53.htm IDEA: XBRL DOCUMENT v3.23.1
Fair Value (Tables)
 3 Months Ended 12 Months Ended
Mar. 31, 2023
Dec. 31, 2022
Fair Value Disclosures [Abstract]    
Summary of assets and liabilities that are measured at fair value on a recurring basis
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 1Level 2Level 3Total
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 warrants2,189 — — 2,189 
Total liabilities
$2,189 $— $34,097 $36,286 
Fair Value Measurement as of
 December 31, 2022
 Level 1 Level 2 Level 3Total
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 
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 1Level 2Level 3Total
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 3Total
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 
Summary of quantitative information regarding Level 3 fair value measurement inputs
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 volatility55.0 %
Risk-free interest rate3.81 %
Expected dividend yield— %
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 volatility73.4 %
Risk-free interest rate4.47 %
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 volatility68.0 %
Risk-free interest rate3.59 %
Expected dividend yield— %
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 TermLong-Term
Key assumptions:
Probability weighting61 %39 %
Time to conversion (in years)0.10.8
Liquidity price100 %90 %
Discount rate24.7 %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 volatility70.0 %
Risk-free interest rate3.82 %
Expected dividend yield— %
Significant inputs for Level 3 AM SAFE warrant fair value measurement at December 31, 2022 are as follows:
Near TermLong-Term
Key assumptions:
Probability weighting61 %39 %
Remaining life (in years)5.05.0
Volatility75 %75 %
Interest rate3.99 %3.99 %
Time to conversion (in years)0.10.8
Risk-free interest rate4.12 %4.75 %
Dividend yield— %— %
Significant inputs for Level 3 Brookfield SAFE measurement at March 31, 2023 are as follows:
March 31, 2023
Initial purchase amount$50,000 
Liquidity price10.00 
Stock price3.88 
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, 2023February 8, 2023
Stock price$3.88$9.91
Exercise price$11.50$11.50
Term (in years)4.865.00
Expected volatility45.0 %2.0 %
Risk-free interest rate3.60 %3.82 %
Expected dividend yield— %— %
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, 2022December 31, 2021
Stock price$5.21 $3.15 
Weighted average exercise price3.96 3.96 
Term (in years)1.12.8
Expected volatility73.4 %70.6 %
Risk-free interest rate4.5 %0.8 %
Expected dividend yield— %— %
Significant inputs for Level 3 AM SAFE liability fair value measurement at December 31, 2022 are as follows:
Near TermLong-Term
Key assumptions:
Probability weighting61 %39 %
Time to conversion (in years)0.10.8
Liquidity price100 %90 %
Discount rate24.7 %24.7 %
Significant inputs for Level 3 SAFE warrant fair value measurement at December 31, 2022 are as follows:
Near TermLong-Term
Key assumptions:
Probability weighting61 %39 %
Remaining life (in years)5.05.0
Volatility75 %75 %
Interest rate3.99 %3.99 %
Time to conversion (in years)0.10.8
Risk-free interest rate4.12 %4.75 %
Dividend yield— %— %
Summary of change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs
The following tables represent reconciliations of the fair value measurements of the assets and liabilities using significant unobservable inputs (Level 3) (in thousands):
Prepaid forward contractFixed Maturity ConsiderationShortfall WarrantsWarrants on Preferred SharesAM SAFE liabilityAM SAFE warrantBrookfield SAFEPrivate placement warrants
Balance as of January 1, 2023$— $— $— $(2,119)$(28,986)$(1,989)$(50,000)$— 
Recognized as a result of the Business Combination— — — — — — — (2,148)
Initial Prepayment Amount60,096 — — — 
(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 SharesAM SAFE liabilityAM SAFE warrant
Balance as of January 1, 2022$(1,145)$(28,271)$(1,729)
Gain (loss) recognized in other expense, net on the condensed consolidated statement of operations and comprehensive loss41 148 (129)
Balance as of March 31, 2022$(1,104)$(28,123)$(1,858)
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):
WarrantsAM SAFE liabilityAM SAFE warrantBrookfield 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 loss974 715 260 $— 
Balance as of December 31, 2022$2,119 $28,986 $1,989 $50,000 
WarrantsAM SAFE liabilityAM SAFE warrantBrookfield 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 loss563 — — — 
Balance as of December 31, 2021$1,145 $28,271 $1,729 $—