Company: SATLW
Filing Date: 2025-03-26
Form Type: 10-K
Source: 0001628280-25-014951
Chunk: 36

Company: Satellogic Inc.
Filing Date: 2025-03-26
Form: 10-K
Item: Item 8
Chunk 36
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◦Time to expiry: 2.1 years◦Volatility: 82.5%◦Risk free rate of return: 4.2%•The fair values of the Liberty Warrants and Liberty Advisory Fee Warrant have been estimated using the Black-Scholes model. Significant unobservable inputs include:◦Time to expiry: 2.1 years◦Volatility: 82.5%◦Risk free rate of return: 4.2%•The fair value of the Sponsor Earnout has been estimated using the Monte Carlo model. Significant unobservable inputs include:◦Time to expiry: 2.1 years◦Volatility: 82.5%◦Risk free rate of return: 4.2%•The fair values of the Secured Convertible Notes is determined by using the “with” method. At each measurement date we valued the Secured Convertible Notes with the conversion option. The difference between the aggregate fair value of the Secured Convertible Notes and the unpaid principal balance was $50.6 million at December 31, 2024. Inputs used for the fair value measurement include:◦Credit spread – 23.60% to 36.10%◦Volatility: 50%◦Risk free rate of return: 4.3%Changes in the fair value of Level 3 assets during the years ended December 31, 2024 and 2023 were as follows:OS warrantsAt December 31, 2023$— Remeasurement gain/(loss)(1)322 At December 31, 2024$322 (1)Recognized in the Consolidated Statements of Operations and Comprehensive Loss for the years ended December 31, 2024.Changes in the fair value of Level 3 liabilities during the years ended December 31, 2024 and 2023 were as follows:Liberty Warrants and Liberty Advisory Fee WarrantPIPE WarrantSponsor EarnoutSecured Convertible NotesAt January 1, 2023$6,191 $311 $1,353 $— Remeasurement (gain)/loss(1)(4,174)(214)(934)— At December 31, 20232,017 97 419 — Issues— — — 30,000 Interest payments— — — (1,525)Remeasurement (gain)/loss(1