Company: LIDRW
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0001437749-25-033677
Chunk: 82

Company: AEye, Inc.
Filing Date: 2025-11-07
Form: 10-Q
Item: Part I, Item 1
Chunk 82
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 are assumptions related to price, volatility, risk-free interest rate, term to expiration, and dividend yield. Changes in fair value are recognized in other income (expense) for each reporting period. Derivative Warrant Liability is included within other noncurrent liabilities on the condensed consolidated balance sheets.
    
   Private Placement Warrant Liability: The Private Placement Warrants are recorded on the condensed consolidated balance sheets at fair value. The fair value is based on observable Level 2 inputs, specifically, the observable input of the Company's public warrants, as terms of both warrants are substantially similar. Any changes in the fair value of the liability are reflected in other income (expense), net, on the condensed consolidated statements of operations and comprehensive loss. Private Placement Warrant liability is included within other noncurrent liabilities on the condensed consolidated balance sheets.
    
   For the nine months ended  September 30, 2025, there were no net transfers between Level 1 and Level 2 inputs.
    
   The following table presents a summary of the changes in fair value of the Company’s Level 3 financial instruments for the nine months ended  September 30, 2025 (in thousands):

       Derivative Warrant Liabilities    2025 Note    Total  
 Balance at December 31, 2024  $26  $—  $26 
 Additions   1,945   3,266   5,211 
 Change in fair value included in other income (expense), net   1,809   314   2,123 
 Payments and conversions   —   (3,474)  (3,474)
 Extinguishment and exercise   (2,992)  —   (2,992)
 Balance at September 30, 2025  $788  $106  $894 

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   The key inputs into the Black-Scholes model for the derivative warrant liability from the 2025 Note as of the exercise date of  July 28, 2025 are as follows:

       July 28, 2025  
 Expected term (years)   3.9 
 Expected volatility   144.3%
 Risk-free interest rate   3.9%
 Dividend yield   —%
 Exercise price  $2.22 

   The key inputs into the Black-Scholes model for the derivative warrant issued as a result of