v3.25.2
FAIR VALUE MEASUREMENTS
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 4. FAIR VALUE MEASUREMENTS

Assets and liabilities recorded at fair value on a recurring basis in the balance sheets are categorized based upon the level of judgment associated with the inputs used to measure their fair values. Fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. Valuation techniques used to measure fair value must maximize the use of observable inputs and minimize the use of unobservable inputs. The standard describes a fair value hierarchy based on three levels of inputs, of which the first two are considered observable and the last unobservable, as follows:

Level 1: Valuations based on quoted prices for identical assets and liabilities in active markets.

Level 2: Valuations based on observable inputs other than quoted prices included in Level 1, such as quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets and liabilities in markets that are not active, or other inputs that are observable or can be corroborated by observable market data.

Level 3: Valuations based on unobservable inputs reflecting our own assumptions, consistent with reasonably available assumptions made by other market participants. These valuations require significant judgment.

An asset's or liability’s fair value measurement level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.

The Company’s financial instruments that are carried at fair value consist of Level 1 and Level 3 assets and liabilities:

•
Level 1:
o
Level 1 assets include highly liquid bank deposits and money market funds, which were not material in either period as of March 31, 2025 and December 31, 2024.
o
Level 1 liabilities include the Public Warrants, which are classified as Level 1 due to the use of an observable market quote in an active market, however, were determined to have no value as of March 31, 2025 and December 31, 2024 due to a notification from the New York Stock Exchange American (“NYSE American”) in December 2023 that the NYSE American had determined to (a) commence proceedings to delist the Company’s Public Warrants, each whole warrant exercisable to purchase one share of the Company’s common stock, par value $0.0001 per share, at a price of $11.50 per share, and listed to trade on the NYSE American under the symbol “BURU.WS”, and (b) immediately suspend trading in the Public Warrants due to “abnormally low” trading price levels.
•
Level 3:
o
Level 3 assets include the Convertible Loan Receivable (as defined and described in Note 5, Convertible Loan Receivable), which is classified as Level 3 due to the use of unobservable inputs in the valuation of the asset. There were no transfers between Level 1, Level 2, and Level 3 in any periods presented.
o
Level 3 liabilities include (i) the Junior Note Warrants (as defined and described in Note 8, Notes and Convertible Notes Payable, and Note 10, Warrants), (ii) the Indigo Capital Convertible Notes (as defined and described in Note 8, Notes and Convertible Notes Payable), and (iii) through early March 2025, the August 2024 Convertible Note Derivative Liability (as defined and described in Note 8, Notes and Convertible Notes Payable), each of which is classified as Level 3 due to the use of unobservable inputs in the valuation of the liability. Gains or losses from the remeasurement of (i) the Junior Note Warrants are recorded as part of change in fair value of warrant liabilities, (ii) the Indigo Capital Convertible Notes are recorded as part of change in fair value of debt and (iii) the August 2024 Convertible Note Derivative Liability are recorded as part of change in fair value of derivative liability in the condensed consolidated statements of operations. There were no transfers between Level 1, Level 2, and Level 3 in any periods presented.

The following tables set forth the fair value of the Company’s financial assets and liabilities by level within the fair value hierarchy as of March 31, 2025 and December 31, 2024:

 

 

At March 31, 2025

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Convertible Note Receivable

 

$

—

 

 

$

—

 

 

$

260,000

 

 

$

260,000

 

Total assets

 

$

—

 

 

$

—

 

 

$

260,000

 

 

$

260,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

1,315

 

 

$

1,315

 

Indigo Capital Convertible Notes

 

 

—

 

 

 

—

 

 

 

4,047,000

 

 

 

4,047,000

 

Total liabilities

 

$

—

 

 

$

—

 

 

$

4,048,315

 

 

$

4,048,315

 

 

 

 

At December 31, 2024

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

128,615

 

 

$

128,615

 

Convertible note derivative liability (1)

 

$

—

 

 

$

—

 

 

$

37,900

 

 

$

37,900

 

 

(1)
Represents the August 2024 Convertible Note Derivative Liability, as defined and described in Note 8, Notes and Convertible Notes Payable. In March 2025, the remaining August 2024 Convertible Notes were purchased by Indigo Capital and subsequently extinguished. For additional information, see Note 8.

Level 3 Financial Assets

Convertible Loan Receivable

The following table sets forth a summary of the changes in fair value of the Company's Convertible Loan Receivable:

 

 

Three Months Ended March 31,

 

 

 

2025

 

Fair value, beginning balance

 

$

—

 

Fair value at issuance

 

 

260,000

 

Change in fair value

 

 

—

 

Fair value, ending balance

 

$

260,000

 

 

The aggregate fair value of the Convertible Loan Receivable was estimated using a Monte Carlo simulation based approach, a Level 3 valuation. The significant inputs to the calculation of the fair value of the Convertible Loan Receivable were as follows:

 

 

Three Months Ended March 31,

 

 

2025

Convertible Note Receivable

 

 

Stock price

£

0.000035

Expected term (in years)

 

1.25

Expected volatility

 

157.7%

Risk-free interest rate

 

4.2%

Expected dividend yield

 

0.0%

 

Level 3 Financial Liabilities

Junior Note Warrants

The following table sets forth a summary of the changes in fair value of the Company's Junior Note Warrants issued in November 2023:

 

 

Three Months Ended March 31,

 

 

 

2025

 

 

2024

 

Fair value, beginning balance

 

$

128,615

 

 

$

2,238,519

 

Change in fair value

 

 

(127,300

)

 

 

(3,311

)

Fair value, ending balance

 

$

1,315

 

 

$

2,235,208

 

The aggregate fair value of the Junior Note Warrants was estimated using a Monte Carlo simulation based approach, a Level 3 valuation. The significant inputs to the calculation of the fair value of the Junior Note Warrant liability were as follows:

 

 

 

Three Months Ended March 31,

 

 

 

2025

 

 

2024

Junior Note Warrants:

 

 

 

 

 

 

Stock price

 

$

0.19

 

$

0.14

Expected term (in years)

 

 

3.7 - 4.4

 

 

4.7

Expected volatility

 

 

62.4% - 65.2%

 

 

69.8%

Risk-free interest rate

 

 

3.9%

 

 

4.2%

Expected dividend yield

 

 

0.0%

 

 

0.0%

Indigo Capital Convertible Notes

The following table sets forth a summary of the changes in fair value of the Company's Indigo Capital Convertible Notes:

 

 

Three Months Ended March 31,

 

 

 

2025

 

 

 

(As Restated)

 

Fair value, beginning balance

 

$

—

 

Fair value at issuance

 

 

5,211,100

 

Fair value of debt converted

 

 

(907,578

)

Change in fair value

 

 

(256,522

)

Fair value, ending balance

 

$

4,047,000

 

The aggregate fair value of the Indigo Capital Convertible Notes was estimated using a Monte Carlo simulation based approach, a Level 3 valuation. The significant inputs to the calculation of the fair value of the Indigo Capital Convertible Notes during the three months ended March 31, 2025 were as follows:

 

 

Three Months Ended March 31,

 

 

2025

Indigo Capital Convertible Notes:

 

 

Stock price

$

0.19 - 0.26

Expected term (in years)

 

0.92 - 0.99

August 2024 Convertible Note Derivative Liability

In March 2025, the remaining August 2024 Convertible Notes were purchased by Indigo Capital and subsequently extinguished. For additional information, see Note 8.

The following table sets forth a summary of the changes in fair value of the Company's August 2024 Convertible Note Derivative Liability:

 

 

Three Months Ended March 31,

 

 

 

2025

 

 

2024

 

Fair value, beginning balance

 

$

37,900

 

 

$

—

 

Extinguishment of August 2024 Convertible Notes

 

 

(37,900

)

 

 

—

 

Fair value, ending balance

 

$

—

 

 

$

—