| Fair Value |
15. Fair Value
The following table presents information about Nxu’s liabilities that are measured at estimated fair value on a recurring basis at September 30, 2024 and December 31, 2023, and indicates the fair value hierarchy of the valuation inputs Nxu utilized to determine such fair value (in thousands).
|
Description:
|
|
Level
|
|
September 30,
2024
|
|
December 31,
2023
|
|
Convertible Notes
|
|
3
|
|
$
|
10 |
|
$
|
10 |
|
Warrant liability
|
|
3
|
|
|
6 |
|
|
55 |
|
Convertible Notes and warrant liability, at fair value
|
|
|
|
$
|
16 |
|
$
|
65 |
Convertible Notes
The following table provides the estimated fair value and contractual principal balance outstanding of the Convertible Notes accounted for under the fair value option as of September 30, 2024 and December 31, 2023:
|
|
|
September 30,
2024
|
|
December 31,
2023
|
|
Convertible Notes fair value
|
|
$
|
10 |
|
$
|
10 |
|
Convertible Notes, contractual principal outstanding
|
|
|
10 |
|
|
10 |
|
Fair value less unpaid principal balance
|
|
$
|
—
|
|
$
|
—
|
As of September 30, 2024 and December 31, 2023, the Second Tranche of Convertible Notes was fully converted, and a nominal amount of the First Tranche was outstanding.
Warrant Liability
The following tables provide quantitative information regarding Level 3 fair value measurements for Common Stock Warrants as of September 30, 2024 and December 31, 2023.
| | | September 30, 2024 | | | | First
Tranche | | Purchase
Agreement
Amendment | | Second
Tranche | | Series B
Warrants | | August
2023 | | GEM
Warrants | | Risk-free interest rate | | | 4.33 | % | | | 4.33 | % | | | 4.33 | % | | | 4.46 | % | | | 4.33 | % | | | 4.33 | % | | Time to expiration (in years) | | | 3.34 | | | | 3.51 | | | | 3.51 | | | | 3.64 | | | | 2.11 | | | | 1.16 | | | Expected volatility | | | 85 | % | | | 85 | % | | | 85 | % | | | 85 | % | | | 85 | % | | | 85 | % | | Dividend yield | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | Stock price | | $ | 0.37 | | | $ | 0.37 | | | $ | 0.37 | | | $ | 0.37 | | | $ | 0.37 | | | $ | 0.37 | | | Exercise price | | $ | 88.65 | | | $ | 87.38 | | | $ | 103.68 | | | $ | 234.00 | | | $ | 45.00 | | | $ | 26.54 | | | | | December 31, 2023 | | | | First
Tranche | | Purchase
Agreement
Amendment | | Second
Tranche | | Series B
Warrants | | August
2023 | | GEM
Warrants | | Risk-free interest rate | | | 3.84 | % | | | 3.84 | % | | | 3.84 | % | | | 3.91 | % | | | 3.84 | % | | | 3.84 | % | | Time to expiration (in years) | | | 3.84 | | | | 4.01 | | | | 4.01 | | | | 4.14 | | | | 2.61 | | | | 1.66 | | | Expected volatility | | | 90 | % | | | 90 | % | | | 90 | % | | | 125 | % | | | 85 | % | | | 90 | % | | Dividend yield | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | Stock price | | $ | 2.30 | | | $ | 2.30 | | | $ | 2.30 | | | $ | 2.30 | | | $ | 2.30 | | | $ | 2.30 | | | Exercise price | | $ | 88.65 | | | $ | 87.38 | | | $ | 103.68 | | | $ | 234.00 | | | $ | 45.00 | | | $ | 26.54 | |
|
14. Fair Value
The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2023 and 2022 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value (in thousands):
|
|
|
Level
|
|
As of December 31,
|
|
2023
|
|
2022
|
|
Convertible Notes
|
|
3
|
|
$
|
10 |
|
$
|
10,911 |
|
Warrant liability
|
|
3
|
|
|
55 |
|
|
374 |
|
Convertible Notes and warrant Liability, at fair value
|
|
|
|
$
|
65 |
|
$
|
11,285 |
Convertible Notes
As of December 31, 2023, the Second Tranche of Convertible Notes was fully converted, and a nominal amount of the First Tranche was outstanding. Therefore, no fair value estimate was calculated on the Convertible Notes as of December 31, 2023. The following table provides the fair value and contractual principal balance outstanding of the Convertible Notes accounted for under the fair value option as of December 31, 2023 and 2022 (in thousands):
|
|
|
As of December 31,
|
| |
|
2023
|
|
2022
|
|
Convertible Notes fair value
|
|
$
|
10 |
|
$
|
10,911 |
|
Convertible Notes, contractual principal outstanding
|
|
|
10 |
|
|
10,000 |
|
Fair value less unpaid principal balance
|
|
$
|
—
|
|
$
|
911 |
The estimated fair value of the Convertible Notes as of December 31, 2022 was based on the following significant inputs:
|
|
|
December 31,
2022
|
| |
|
First
Tranche
|
|
Risk-free interest rate
|
|
|
4.46 |
%
|
|
Time to expiration (in years)
|
|
|
1.84 |
|
|
Expected volatility
|
|
|
85 |
%
|
|
Dividend yield
|
|
|
—
|
|
|
Stock price
|
|
$
|
3.25 |
|
|
Original face value
|
|
$
|
10,000,000 |
|
|
Fixed conversion rate
|
|
$
|
15.00 |
|
|
Roll-forward discount rate
|
|
|
5.11 |
%
|
Warrant Liability
The following table provides quantitative information regarding Level 3 fair value measurements for Common Stock Warrants as of December 31, 2023 and 2022:
|
|
|
December 31,
2023
|
|
December 31,
2022
|
| |
|
First
Tranche
|
|
Purchase
Agreement
Amendment
|
|
Second
Tranche
|
|
Series B
Warrants
|
|
August
2023
|
|
GEM
Warrants
|
|
First
Tranche
|
|
Risk-free interest rate
|
|
|
3.84 |
%
|
|
|
3.84 |
%
|
|
|
3.84 |
%
|
|
|
3.91 |
%
|
|
|
3.84 |
%
|
|
|
3.84 |
%
|
|
|
4.46 |
%
|
|
Time to expiration (in years)
|
|
|
3.84 |
|
|
|
4.01 |
|
|
|
4.01 |
|
|
|
4.14 |
|
|
|
2.61 |
|
|
|
1.66 |
|
|
|
1.84 |
|
|
Expected volatility
|
|
|
90 |
%
|
|
|
90 |
%
|
|
|
90 |
%
|
|
|
125 |
%
|
|
|
85 |
%
|
|
|
90 |
%
|
|
|
85 |
%
|
|
Dividend yield
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
Stock price
|
|
$
|
2.3 |
|
|
$
|
2.30 |
|
|
$
|
2.30 |
|
|
$
|
2.30 |
|
|
$
|
2.30 |
|
|
$
|
2.30 |
|
|
$
|
3.25 |
|
|
Exercise price
|
|
$
|
88.65 |
|
|
$
|
87.38 |
|
|
$
|
103.68 |
|
|
$
|
234.00 |
|
|
$
|
45.00 |
|
|
$
|
26.54 |
|
|
$
|
15 |
|
|