Company: REE
Filing Date: 2025-05-15
Form Type: 20-F
Source: 0001628280-25-025661
Chunk: 208

Company: REE Automotive Ltd.
Filing Date: 2025-05-15
Form: 20-F
Item: Item 19
Chunk 208
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 the historical volatility of the Company's own publicly traded shares.

The following table provides the inputs used for Level 3 fair value measurements of warrants liability:

                       December 31, 2024                   December 31, 2023              
 ──────────────────────────────────────────────────────────────────────────────────────────
  Stock price                     $ 8.83                              $ 5.14              
  Strike price                    $ 4.42       $ 5.74                 $ 4.97      $ 5.74  
  Term (in years)                    1.5          2.5                    1.5         2.5  
  Volatility                      97.80%      116.20%                 57.77%      59.65%  
  Risk-free rate                   4.19%        4.30%                  4.15%       4.34%  
  Dividend yield                    0.0%                                0.0%              

The pre-funded warrants mentioned in Note 13 are classified as Level 2 due to the use of observable market data for similar instruments. The fair value of the pre-funded warrants is determined to be consistent with the fair value of the Company's Class A Ordinary share due to the nominal exercise price.

F-36

Table of Contents

REE AUTOMOTIVE LTD. AND ITS SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

DECEMBER 31, 2024

U. S. dollars in thousands (except share and per share data)

NOTE 15. FAIR VALUE MEASUREMENTS(cont.)

Derivative liability at fair value

Derivative liability at fair value was valued using a Monte-Carlo simulation, which was considered to be a Level 3 fair value measurement. The Monte-Carlo simulation primary input utilized in determining the fair value of the Derivative liability was the expected volatility of the Class A ordinary shares. The expected volatility was based on the historical price of the Company’s Class A ordinary shares.

The following table provides the inputs used for Level 3 fair value measurements of derivative liability:

                         December 31, 2024                  December 31, 2023              
 ───────────────────────────────────────────────────────────────────────────────────────────
  Stock price                       $ 8.83                             $ 5.14              
  Term (in years)                      1.5         2.5                    1.5         2