v3.24.4
Fair Value (Tables)
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Fair Value [Abstract]    
Schedule of Liabilities that are Measured at 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
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
Schedule of Fair Value and Contractual Principal Balance Outstanding 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

  

$

—

  

$

—
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
Schedule of Fair Value of the Convertible Notes   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

%
Schedule of Fair Value Measurements for Common Stock Warrants 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

 
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