Fair Value Measurement (Tables)
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9 Months Ended |
Sep. 30, 2024 |
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| Fair Value Disclosures [Abstract] |
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| Schedule of Fair Value of Financial Assets and Liabilities |
The following tables set forth the Company's financial liabilities measured at fair values based on the fair value hierarchy, as described above. These should also be read with Note 2, Summary of Significant Accounting Policies, in the Company’s Annual Report on Form 10-K for the year ended December 31, 2023. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2024 | | December 31, 2023 | | Level 1 | | Level 2 | | Level 3 | | Level 1 | | Level 2 | | Level 3 | | Liabilities | | | | | | | | | | | | SPA Warrant (a) | $ | — | | | $ | — | | | $ | 115,244 | | | $ | — | | | $ | — | | | $ | — | | Contingent warrants (a) | $ | — | | | $ | — | | | $ | 151,805 | | | $ | — | | | $ | — | | | $ | — | | IPO, April, May and December 2023 Warrants (b) | $ | — | | | $ | 54 | | | $ | 98,917 | | | $ | — | | | $ | 55 | | | $ | 27,406 | | | Delayed Draw Term Loan | $ | — | | | $ | — | | | $ | 46,099 | | | $ | — | | | $ | — | | | $ | — | | Embedded derivatives | $ | — | | | $ | — | | | $ | 18,009 | | | $ | — | | | $ | — | | | $ | 4,423 | | Total liabilities | — | | | $ | 54 | | | $ | 430,074 | | | $ | — | | | $ | 55 | | | $ | 31,829 | |
(a) Included in Warrants liability - Related party on the Unaudited Condensed Consolidated Balance Sheets. (b) All these instruments are Level 3, except for the IPO warrants (Level 2). These are included in Warrants liability on the Unaudited Condensed Consolidated Balance Sheets.
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| Schedule of Instruments Initially and Subsequently Measured at Fair Value |
The following table summarizes instruments that were initially and subsequently measured at fair value. (see Note 3, Credit and Securities Purchase Transaction): | | | | | | | | | | Instrument | | Initial measurement date | | Initial Draw of the Delayed Draw Term Loan | | 6/21/2024 | | SPA Warrant | | 6/21/2024 | | Contingent Warrants | | 6/21/2024 | | August Draw of the Delayed Draw Term Loan | | 8/29/2024 |
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| Schedule of Assumptions used to Determine Fair Value of Warrants and and Debt Instruments |
Quantitative information about all significant unobservable inputs used in the fair value measurement for non-recurring level 3 measurements:
| | | | | | | | | Loan Commitment Assets: | | June 21, 2024 | Milestones achievement expectations | | Very high probability | Debt yield | | 47.5 | % |
Quantitative information about all significant unobservable inputs used in the fair value measurement for recurring level 3 measurements:
| | | | | | | | | | | | | | | | | | | | Delayed Draw Term Loan Initial Tranche | | June 21, 2024 | | September 30, 2024 | Debt yield | | 47.5 | % | | 42.5 | % | | | | | | Contingent Warrants- all tranches | | June 21, 2024 | | September 30, 2024 | Milestones achievement expectations | | Very high probability | | Very high probability | Volatility | | 70.0 | % | | 65.0 | % | Discount for lack of marketability (“DLOM”) | | 10.0 | % | | 10.0 | % | | | | | | SPA Warrant | | June 21, 2024 | | September 30, 2024 | Discount for lack of marketability (“DLOM”) | | 10.0 | % | | 10.0 | % |
| | | | | | | | | | | | | | | Delayed Draw Term Loan August Draw | | August 31, 2024 | | September 30, 2024 | Debt yield | | 42.5 | % | | 42.5 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| Schedule of Liabilities Measured at Fair Value |
The following table summarizes the changes in the fair value of liabilities that are included within the Company’s accompanying Unaudited Condensed Consolidated Balance Sheets and are designated as Level 3: | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | 2024 | | 2023 | | 2024 | | 2023 | | Delayed Draw Term Loan | | | | | | | | | Balance at beginning of the period | 25,893 | | | $ | — | | | — | | | $ | — | | Additions- August Draw | 12,528 | | | — | | | 38,181 | | | — | | | Change in fair value of Term Loan | 7,678 | | | — | | | 7,918 | | | — | | | Balance at end of the period | $ | 46,099 | | | $ | — | | | $ | 46,099 | | | $ | — | | | | | | | | | | SPA Warrant and Contingent Warrants | | | | | | | | | Balance at beginning of the period | $ | 141,296 | | | $ | — | | | $ | — | | | $ | — | | | Additions | — | | | — | | | 95,094 | | | — | | Conversion to preferred stock | (74,686) | | | — | | | (74,686) | | | — | | | Change in fair value of warrants | 200,439 | | | — | | | 246,641 | | | — | | | Balance at end of the period | $ | 267,049 | | | $ | — | | | $ | 267,049 | | | $ | — | | | | | | | | | | | April, May, and December 2023 Warrants | | | | | | | | | Balance at beginning of the period | $ | 32,450 | | | $ | 56,905 | | | $ | 27,406 | | | $ | — | | | Additions | — | | | — | | | — | | | 29,553 | | | Change in fair value of warrants | 66,466 | | | (34,065) | | | 71,510 | | | (6,713) | | | Balance at end of the period | $ | 98,916 | | | $ | 22,840 | | | $ | 98,916 | | | $ | 22,840 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | Embedded derivatives | | | | | | | | | Balance at beginning of the period | $ | 5,414 | | | $ | 42,767 | | | $ | 4,423 | | | $ | 1,945 | | | Additions | — | | | — | | | — | | | 42,191 | | Change in fair value of derivatives - related parties1 | 12,595 | | | (27,398) | | | 13,586 | | | (28,767) | | | Balance at end of the period | $ | 18,009 | | | $ | 15,369 | | | $ | 18,009 | | | $ | 15,369 | |
1 Includes loss on debt extinguishment from Yorkville Promissory Note conversions for the nine months ended September 30, 2023.
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| Schedule of Estimated Fair Value of Financial Instruments Not Carried at Fair Value |
The estimated fair value of financial instruments not carried at fair value in the Unaudited Condensed Consolidated Balance Sheets was as follows: | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2024 | | December 31, 2023 | | Carrying Value | | Fair Value | | Carrying Value | | Fair Value | | Notes receivable | $ | 847 | | | $ | 743 | | | $ | 863 | | | $ | 719 | | Loan commitment assets | 58,525 | | | 53,274 | | | — | | | — | | | 2021 Convertible Note* | 103,469 | | | 72,680 | | | 94,386 | | | 57,998 | | | Senior Secured Term Loan | — | | | — | | | 85,624 | | | 61,360 | | | AFG Convertible Notes* | 34,598 | | | 35,103 | | | 18,139 | | | 18,352 | | | Equipment financing facility | 3,262 | | | 2,918 | | | 5,710 | | | 4,826 | | Preferred Stock | 156,069 | | | 168,668 | | | — | | | — | | | Total | $ | 356,770 | | | $ | 333,386 | | | $ | 204,722 | | | $ | 143,255 | |
*Includes the embedded derivative liabilities.
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