Tailwind Two Acquisition Corp. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Warrants and Derivatives

Warrants and Derivatives

3 Months Ended

Mar. 31, 2023

Disclosure of Warrants and Derivatives [Abstract]

Note 6 Warrants and Derivatives

The Company’s warrants and derivatives consist of freestanding financial instruments and embedded derivatives requiring bifurcation issued in connection with the Company’s debt and equity financing transactions. The Company does not have any derivatives designated as hedging instruments.

The Company evaluates whether each warrant or derivative represents a liability-classified financial instrument within the scope of ASC 480, or either a liability-classified or equity-classified financial instrument within the scope of ASC 815, Derivatives and Hedging (“ASC 815”).

Warrants and derivatives classified as liabilities are recognized at fair value in the condensed consolidated balance sheets and are remeasured at fair value as of each reporting period with changes in fair value recorded in the condensed consolidated statements of operations and comprehensive loss. Warrants and derivatives classified as equity are recognized at fair value in additional paid-in capital in the condensed consolidated balance sheets and are not subsequently remeasured.

Liability-classified Warrants and Derivatives

The fair values of liability-classified warrants and derivatives recorded in warrant and derivative liabilities on the condensed consolidated balance sheets as of the presented dates were as follows:


(in thousands, except share and per share amounts)	Number of Issuable Shares as of March 31, 2023		Issuance	Maturity	Exercise/Conversion Price		March 31, 2023		December 31, 2022
Public Warrants		19,221,960	March 2021	March 2027	$	11.50	$	4,998	$	1,922
Private Placement Warrants		78,000	March 2021	March 2027	$	11.50		20		8
FP Combination Warrants		8,291,704	March 2022	March 2027	$	10.00		19,486		18,573
2027 Warrants		17,253,279	October 2022	October 2027	$	2.898		16,369		13,707
Conversion Option Derivative		35,956,013	October 2022	October 2027	$	2.898		8,532		5,740
Warrant and derivative liabilities		80,800,956					$	49,405	$	39,950

There were no changes in the Company’s liability-classified warrants and derivatives during the three months ended March 31, 2023, except for changes in fair value.

The changes in liability-classified warrants and derivatives during the three months ended March 31, 2022 were predominately related to the Tailwind Two Merger and were as follows:


(in thousands)	Current Warrant and Derivative Liabilities			Warrant and Derivative Liabilities			Total
Balance as of December 31, 2021	$	68,518		$	5,631		$	74,149
Initial recognition from Tailwind Two Merger		-			13,124			13,124
Change in fair value of warrant and derivative liabilities		13,342			(1,489	)		11,853
Reclassification of current warrant and derivative liabilities to warrant and derivative liabilities		(25,966	)		25,966			-
Reclassification of liability-classified warrants and derivatives to equity-classified		(11,007	)		-			(11,007	)
Net settlement of liability-classified warrants into common stock		-			(7,616	)		(7,616	)
Issuance of contingently issuable shares		(44,887	)		-			(44,887	)
Balance as of March 31, 2022	$	-		$	35,616		$	35,616

Equity-classified Warrants and Derivatives

In connection with the Tailwind Two Merger, the Company issued 2.8 million warrants to Lockheed Martin and Beach Point Capital at a strike price of $10.00 per share expiring on March 25, 2027 (the “Combination Warrants”). The Combination Warrants remained outstanding as of March 31, 2023 and December 31, 2022.