v3.25.1
Fair Value (Tables)
3 Months Ended
Mar. 31, 2025
Fair Value  
Schedule of financial assets and liabilities measured at fair value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in thousands)

 

March 31, 2025

 

 

 

 

 

 

 


 

 

Cash and Cash Equivalents - Money Market Funds
$ 552

$


$

$ 552
Cash and Cash Equivalents - Available-for-sale debt securities with fair value option election




146,910





146,910
Short term investments - Available-for-sale debt securities with fair value option election




37,986





37,986

Private Placement Warrants

 


 

 


 

 


21,425

 

 


21,425

 

Derivative Liability - Conversion Option







56,522


56,522

















December 31, 2024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and Cash Equivalents - Money Market Funds
$ 151

$

$

$ 151
Cash and Cash Equivalents - Available-for-sale debt securities with fair value option election




34,485





34,485
Short term investments - Available-for-sale debt securities with fair value option election




40,785





40,785

Private Placement Warrants

 

$

 

 

$

 

 

$

28,707

 

 

$

28,707

 

Schedule of fair value analysis of warrants, valuation assumptions

 

 

March 31, 2025

 

 

December 31, 2024

 

 

 

Values

 

 

Values

 

Stock Price

 

$

12.17

 

 

$

15.56

 

Strike price

 

$

11.50

 

 

$

11.50

 

Holding Period/Term (years)

 

 

1.58

 

 

 

1.82

 

Volatility

 

 

82.30

%

 

 

55.90

%

Expected dividends

 

 

None

 

 

 

None

 

Risk-Free Rate

 

 

3.95

%

 

 

4.23

%

Fair value of Private Placement Warrants

 

$

5.31

 

 

$

6.77

 

Schedule of reconciliation of warrant liabilities measured at fair value using significant unobservable inputs


 

(in thousands)

 

Balance as of December 31, 2024

 

$

28,707

 

Fair value adjustment of Private Placement Warrants

 

 

(6,041

)
Reclassification of warrant liability to common stock warrants

(1,241 )

Balance as of March 31, 2025

 

$

21,425

 

Schedule of fair value analysis of derivative liability related to the conversion option, valuation assumptions


March 12,
March 31,


2025
2025
Stock price volatility (transaction-calibrated)

20.4 %

20.4 %
Expected terms

3.3 years

3.2 years
Stock price 
$ 10.27

$ 12.17
Risk-free interest rate

4.0 %

3.9 %
Credit rate

CCC-


CCC-
Debt yield (transaction-calibrated)

12.7 %

13.6 %
Schedule of reconciliation of conversion option derivative liabilities measured at fair value using significant unobservable inputs


(in thousands)

Balance as of December 31, 2024
$ -
Initial recognition of derivative liability

31,999
Loss (gain) in fair value

24,523
Balance as of March 31, 2025
$ 56,522