v3.25.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The Company’s assets and liabilities measured and reported in the financial statements at fair value on a recurring basis were as follows (in thousands):

March 31, 2025
Level 1Level 2Level 3Balance
Assets:
Money market funds$9,104$—$—$9,104
Total assets$9,104$—$—$9,104
Liabilities:
SBG Public Warrants$— $— $1 $1 
SBG Private Placement Warrants— — 1 1 
Series A Warrants——15,26315,263
Series B Warrants——3,3913,391
Total liabilities$—$—$18,656$18,656
December 31, 2024
Level 1Level 2Level 3Balance
Assets:
Money market funds$8,223 $— $— $8,223 
Total assets$8,223$—$—$8,223
Liabilities:
SBG Public Warrants$— $— $5 $5 
SBG Private Placement Warrants——22
Series A Warrants——20,75020,750
Series B Warrants——4,5864,586
Total liabilities$—$—$25,343$25,343

Money market funds are included within Level 1 of the fair value hierarchy because they are valued using quoted market prices.

The SBG Public Warrants and SBG Private Placement Warrants as of March 31, 2025 and December 31, 2024 are presented in Level 3 of the fair value hierarchy. On June 15, 2023, the Company received notice from the New York Stock Exchange (the “NYSE”) that the NYSE had halted trading in the SBG Public Warrants due to the low trading price of those warrants. On June 16, 2023, the NYSE provided written notice to the Company and publicly announced that NYSE Regulation had determined to commence proceedings to delist the SBG Public Warrants and that such warrants were no longer suitable for listing based on “abnormally low” price levels, pursuant to Section 802.01D of the NYSE Listed Company Manual. As such, these instruments are no longer valued using quoted market prices and correspondingly, the SBG Private Placement Warrants can no longer be valued based on a quoted market price of the SBG Public Warrants. The Company measured the fair value of both the SBG Public Warrants and the SBG Private Placement Warrants as of March 31, 2025 and December 31, 2024 using the Black-Scholes option pricing model with the following assumptions:

SBG Common Stock Warrants - Black-Scholes InputsMarch 31, 2025December 31, 2024
OWLT stock price$3.68 $4.45 
Exercise price of warrants$161.00 $161.00 
Term in years1.291.54
Risk-free interest rate3.99 %4.21 %
Volatility90.00 %90.00 %

The Series A Warrants are presented as Level 3 measurements, relying on unobservable inputs reflecting the Company’s own assumptions. Level 3 measurements, which are not based on quoted prices in active markets, introduce a higher degree of subjectivity and may be more sensitive to fluctuations in stock price, volatility rates, and U.S. Treasury Bond rates.
The Company measured the fair value of the Series A Warrants as of March 31, 2025 and December 31, 2024, using the Black-Scholes option pricing model with the following assumptions:

Series A Warrants - Black-Scholes InputsMarch 31, 2025December 31, 2024
OWLT stock price$3.68 $4.45 
Exercise price of warrants$4.66 $4.66 
Term in years2.883.13
Risk-free interest rate3.89 %4.28 %
Volatility90.00 %90.00 %

The Series B Warrants are presented as Level 3 measurements, relying on unobservable inputs reflecting the Company’s own assumptions. The Company measured the fair value of the Series B Warrants as of March 31, 2025 and December 31, 2024, using the Black-Scholes option pricing model with the following assumptions:

Series B Warrants - Black-Scholes InputsMarch 31, 2025December 31, 2024
OWLT stock price$3.68 $4.45 
Exercise price of warrants$7.71 $7.71 
Term in years3.914.16
Risk-free interest rate3.92 %4.33 %
Volatility90.00 %90.00 %

The following table presents a reconciliation of the Company’s SBG Public Warrants, SBG Private Placement Warrants, Series A Warrants, and Series B Warrants (together, the “Level 3 Warrants”) measured at fair value on a recurring basis as of March 31, 2025 (in thousands):
Level 3 Warrants
Balance as of December 31, 2024$25,343 
Change in fair value included within common stock warrant liability adjustment(6,687)
Balance as of March 31, 2025$18,656 

There were no transfers between Level 1 and Level 2 in the periods reported. The SBG Public Warrants and SBG Private Placement Warrants were transferred into Level 3 in 2023, as discussed above.

Equity-Classified Warrants

The fair value of the Titan Warrants on September 11, 2024 was $382. The Company measured the fair value of the Titan Warrants at issuance on September 11, 2024, using the Black-Scholes option pricing model with the following assumptions:

Titan Warrants - Black-Scholes InputsSeptember 11, 2024
OWLT stock price$4.35 
Exercise price of warrants$4.63 
Term in years5.50
Risk-free interest rate3.47 %
Volatility85.00 %

Mezzanine-Classified Redeemable Common Stock

As described in Note 4, the vested shares issued to WTI are contingently redeemable at the option of the holder during the put period and are recorded in mezzanine equity on the unaudited condensed consolidated balance sheets. The vested redeemable common shares were recorded at their fair value of $7.66 per share, which was an aggregate value of 4,308. The value of the redeemable common shares was determined using a combination of the value of the Company's stock on the date of issuance and the theoretical value of a stand-alone put option valued using a Black-Scholes put option model discounted by a present value factor that considers the credit
spread between an estimated Company specific discount rate and the risk-free rate of return. The valuation model used the following assumptions:
Redeemable Common Stock - Valuation InputsSeptember 11, 2024
Common stock value per share$4.35 
Put price$8.40 
Term in years5.00
Risk-free interest rate3.42 %
Volatility85.00 %
Credit spread9.27 %
Present value discount63.49 %