Company: MVIS
Filing Date: 2025-03-26
Form Type: 10-K
Source: 0001641172-25-000783
Chunk: 217

Company: MICROVISION, INC.
Filing Date: 2025-03-26
Form: 10-K
Item: Item 1C
Chunk 217
---
- 
  
    Total 
    $14,581  
    $- 

    50

Unrealized
gains and losses associated with derivatives not designated as hedging instruments are as follows:

 SCHEDULE OF UNREALIZED GAIN AND LOSS INSTRUMENTS

    (in thousands) 
    2024  
    2023  
    2022 

    Year Ended December 31, 
  
    (in thousands) 
    2024  
    2023  
    2022 
  
    Unrealized loss on derivative liability 
    $(8,866) 
    $-  
    $- 
  
    Total 
    $(8,866) 
    $-  
    $- 

Fair
Value Measurements

The
fair value of the derivative liability is determined utilizing a “with and without” method, in which the fair value is calculated
as the difference in the fair value of the entire hybrid instrument and the fair value of the instrument excluding the bifurcated derivative
features.

The
fair value of the hybrid instrument is estimated using a binomial lattice model, which projects future movements of the underlying instrument
over the remaining term. The model then calculates the fair value of the instrument by discounting projected cash flows based on the
optimal action at each point in time. Optimal actions for both the Company and the Holder are determined by the projected stock price
at a point in time, in addition to the probabilities of the occurrence of certain events. At initial measurement on October 23, 2024,
a Monte Carlo simulation was further incorporated in order to simulate the Company’s share price as of the registration date, which
occurred on November 21, 2024.

The
fair value of the host contract excluding embedded derivative features is estimated using a debt discounted cash flow model, which assumes
that the contract is a debt instrument with only the option to redeem partial principal payments prior to maturity. Projected cash flows
are based on the assumption that the Holder will fully exercise early redemption options, based on the estimated internal rate of return
for the Holder resulting from early redemption as compared to redemption at maturity. The debt discount rate is estimated based on the
rate of similar non-convertible debt instruments reflecting the Company’s credit risk.

The
valuation inputs hierarchy classification for liabilities measured at fair value on a recurring basis are summarized below as of December
31, 2024 and 2023 (