Company: LIDRW
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0001437749-25-004906
Chunk: 619

Company: AEye, Inc.
Filing Date: 2025-02-24
Form: 10-K
Item: Item 4
Chunk 619
---
35,968  $16,377  $19,591 
 Liabilities                     
 Level 2                     
 Private placement warrant liability  $—  $—  $—  $—  $— 
 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.
    
   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.
    
   Derivative Warrant Liability: On  September 15, 2022, the Company entered into a convertible note agreement with a face value of $10,500 (the "2022 Note"). The Company’s derivative warrant liability includes the warrants that were issued by the Company as part of the 2022 Note. The warrants are recorded on the 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. The price is based on the publicly traded price of the Company's common stock as of the measurement date. The Company estimated the volatility for the warrants based on the historical and implied volatilities of the Company's publicly traded common stock. The risk-free interest rate is based on interpolated U.S. Treasury rates, commensurate with a similar term to the warrants. The term to expiration was calculated as the contractual term of the warrants of four years. Finally, the Company does not currently anticipate paying a dividend.