Company: SATLW
Filing Date: 2025-08-12
Form Type: 10-Q
Source: 0001874315-25-000014
Chunk: 50

Company: Satellogic Inc.
Filing Date: 2025-08-12
Form: 10-Q
Item: Item 1
Chunk 50
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 and guideline public companies’ stock prices and the risk free rate of return assumption is based on market rates. An increase in volatility and or the risk free rate of return would result in higher values for the Company’s stock warrants, the OS stock warrants.•The fair values of the OS stock warrant investment assets have been estimated using the Black-Scholes model. Significant unobservable inputs include:◦Time to expiry: 0.5 years◦Volatility: 29.4%◦Risk free rate of return: 4.3%

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Table of ContentsSATELLOGIC INC. Notes to Condensed Consolidated Financial Statements (in thousands of U.S. dollars, except share and per share information, unless otherwise stated) 

•The fair values of the $8.63 Warrants were determined using the quoted prices in the active warrant market.•The fair values of the PIPE Warrant have been estimated using the Black-Scholes model. Significant unobservable inputs include:◦Time to expiry: 1.6 years◦Volatility: 85%◦Risk free rate of return: 3.8%•The fair values of the Liberty Warrants and Liberty Advisory Fee Warrant have been estimated using the Black-Scholes model. Significant unobservable inputs include:◦Time to expiry: 1.6 years◦Volatility: 85.0%◦Risk free rate of return: 3.8%•The fair value of the Sponsor Earnout has been estimated using the Monte Carlo model. Significant unobservable inputs include:◦Time to expiry: 1.6 years◦Volatility: 85%◦Risk free rate of return: 3.8%•The fair values of the Secured Convertible Notes is determined by using the “with” method. At each measurement date we valued the Secured Convertible Notes with the conversion option. The difference between the aggregate fair value of the Secured Convertible Notes and the unpaid principal balance was $67.7 million at June 30, 2025. Inputs used for the fair value measurement include:◦Credit spread – 25.00% to 37.50%◦Volatility: 50%◦Risk free rate of return: 3.7%Changes in the fair value of Level 3 assets during the three months ended June 30, 2025 were as follows:OS warrantsAt December 31, 2024$322