Company: GROVW
Filing Date: 2025-03-19
Form Type: 10-K
Source: 0001628280-25-013839
Chunk: 209

Company: Grove Collaborative Holdings, Inc.
Filing Date: 2025-03-19
Form: 10-K
Item: Item 8
Chunk 209
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 3 and their value was determined by using a Black-Scholes Model with the following assumptions on a pre-reverse split basis:Year Ended December 31,20242023Fair value of common stock$0.28$0.35Exercise Price$11.50$11.50Expected term (in years)2.53.5Risk-free interest rate4.26%3.93%Volatility79.86%71.77%Dividend yield——The Earn-Out Shares are classified as Level 3 and their fair values were estimated using a Monte Carlo options pricing model utilizing assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the expected volatility assumption using an average of the implied volatility of its common stock and an implied volatility based on its peer companies.The Structural Derivative Liability was a compound embedded derivative related to features within the Structural Debt Facility, including an increase in interest rate upon an event of default and the contingent issuance of the Structural Subsequent Shares as defined in Note 5, Debt and mandatory and voluntary prepayment features. This liability was classified as Level 3 and was valued using a risk-neutral income approach related to an event of default occurring and expected cash flows in such a scenario and an income and Black-Scholes pricing model for the contingent issuance of the Structural Subsequent Shares utilizing assumptions related to expected stock price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the expected volatility assumption using an average of the implied volatility of its common stock and an implied volatility based on its peer companies. 

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Table of ContentsGrove Collaborative Holdings, Inc.Notes to Consolidated Financial Statements (continued)

The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis as of December 31, 2024 and December 31, 2023 by level within the fair value hierarchy (in thousands):December 31, 2024Level 1Level 2Level 3TotalFinancial Assets:Cash equivalents: Money market funds$17,625 $— $— $17,625 Total$17,625 $— $— $17,625 Financial Liabilities:Earn-Out Shares$— $— $1,258 $1,258 Public Warrants— — 9 9 Private Placement Warrants— — 8 8 Total$— $— $1,275 $1