Company: LIDRW
Filing Date: 2025-05-12
Form Type: 10-Q
Source: 0001437749-25-015868
Chunk: 78

Company: AEye, Inc.
Filing Date: 2025-05-12
Form: 10-Q
Item: Part I, Item 1
Chunk 78
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—  $—  $— 
 Level 3                     
 Derivative warrant liability   —   —   26   —   — 
 Total financial liabilities  $—  $—  $26  $—  $— 

   The Company’s financial assets and liabilities subject to fair value procedures were comprised of the following:
    
   Money Market Funds: The Company holds financial assets consisting of money market funds. These securities are valued using observable inputs, such as quoted prices in active markets for identical assets or liabilities.

       11

   Marketable Securities: The Company holds financial assets consisting of fixed-income U.S. government agency securities, corporate bonds, and commercial paper. The securities are valued using prices from independent pricing services based on quoted prices of identical instruments in less active or inactive markets. Additionally, quoted prices of similar instruments in active market or industry models using data inputs such as interest rates and prices that can be directly observed or corroborated in active markets are used to value marketable securities.
    
   2025 Convertible Note: In  January 2025, the Company entered into a convertible note agreement with a face value of $3,240 (the "2025 Note"). The Company elected the fair value option to account for the 2025 Note. The fair value estimate of the 2025 Note is based on a binomial-lattice model, which represents Level 3 measurements. Significant assumptions include the discount rate used in the model, remaining term, stock price, and volatility. The changes in fair value are recognized in other income (expense), net for each reporting period. See Note 7 for details of the terms and conditions of the 2025 Note.
    
   Derivative Warrant Liabilities: On  September 15, 2022, the Company entered into a convertible note agreement with a face value of $10,500 (the "2022 Note"). The Company issued warrants as part of the 2022 Note. The warrants are recorded on the condensed consolidated balance sheets at fair value. The fair value is based on unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. The fair value estimate of the warrants was based on a Monte-Carlo simulation model. Inherent in a Monte-Carlo simulation model are assumptions related to price, volatility, risk-free interest rate, term to expiration, and dividend yield. Changes in fair value are recognized in other