Aeva Technologies, Inc. Fair Value Disclosure
Note 3. Financial Instruments
The following tables summarize the Company’s financial assets and liabilities measured at fair value on a recurring basis by level within the fair value hierarchy:
|
|
December 31, 2025 |
|
|||||||||||||||||||||
|
|
Adjusted Cost |
|
|
Unrealized Gain |
|
|
Unrealized Losses |
|
|
Fair Value |
|
|
Cash and Cash Equivalent |
|
|
Marketable Securities |
|
||||||
|
|
(in thousands) |
|
|||||||||||||||||||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Cash |
|
$ |
16,690 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
16,690 |
|
|
$ |
16,690 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Level 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Money market funds |
|
|
16,977 |
|
|
|
— |
|
|
|
— |
|
|
|
16,977 |
|
|
|
16,977 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Level 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
U.S. Government securities |
|
|
20,818 |
|
|
|
3 |
|
|
|
(2 |
) |
|
|
20,819 |
|
|
|
3,984 |
|
|
|
16,835 |
|
U.S. Treasury securities |
|
|
13,460 |
|
|
|
— |
|
|
|
(2 |
) |
|
|
13,458 |
|
|
|
7,989 |
|
|
|
5,469 |
|
Commercial paper |
|
|
45,480 |
|
|
|
2 |
|
|
|
(4 |
) |
|
|
45,478 |
|
|
|
26,651 |
|
|
|
18,827 |
|
Corporate bonds |
|
|
8,478 |
|
|
|
1 |
|
|
|
(2 |
) |
|
|
8,477 |
|
|
|
— |
|
|
|
8,477 |
|
Subtotal |
|
|
88,236 |
|
|
|
6 |
|
|
|
(10 |
) |
|
|
88,232 |
|
|
|
38,624 |
|
|
|
49,608 |
|
Total assets |
|
$ |
121,903 |
|
|
$ |
6 |
|
|
$ |
(10 |
) |
|
$ |
121,899 |
|
|
$ |
72,291 |
|
|
$ |
49,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Convertible notes |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
100,958 |
|
|
|
— |
|
|
|
— |
|
Warrant liabilities |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
29,711 |
|
|
|
— |
|
|
|
— |
|
Total liabilities |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
130,669 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
December 31, 2024 |
|
|||||||||||||||||||||
|
|
Adjusted Cost |
|
|
Unrealized Gain |
|
|
Unrealized Losses |
|
|
Fair Value |
|
|
Cash and Cash Equivalent |
|
|
Marketable Securities |
|
||||||
|
|
(in thousands) |
|
|||||||||||||||||||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Cash |
|
$ |
14,237 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
14,237 |
|
|
$ |
14,237 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Level 1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Money market funds |
|
|
10,645 |
|
|
|
— |
|
|
|
— |
|
|
|
10,645 |
|
|
|
10,645 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Level 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
U.S. Government securities |
|
|
17,492 |
|
|
|
14 |
|
|
|
(2 |
) |
|
|
17,504 |
|
|
|
— |
|
|
|
17,504 |
|
U.S. Treasury securities |
|
|
10,957 |
|
|
|
6 |
|
|
|
- |
|
|
|
10,963 |
|
|
|
2,000 |
|
|
|
8,963 |
|
Commercial paper |
|
|
12,711 |
|
|
|
9 |
|
|
|
(4 |
) |
|
|
12,716 |
|
|
|
1,982 |
|
|
|
10,734 |
|
Corporate bonds |
|
|
45,918 |
|
|
|
31 |
|
|
|
(7 |
) |
|
|
45,942 |
|
|
|
— |
|
|
|
45,942 |
|
Subtotal |
|
|
87,078 |
|
|
|
60 |
|
|
|
(13 |
) |
|
|
87,125 |
|
|
|
3,982 |
|
|
|
83,143 |
|
Total assets |
|
$ |
111,960 |
|
|
$ |
60 |
|
|
$ |
(13 |
) |
|
$ |
112,007 |
|
|
$ |
28,864 |
|
|
$ |
83,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Warrant liabilities |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
8,258 |
|
|
|
— |
|
|
|
— |
|
Total liabilities |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
8,258 |
|
|
$ |
— |
|
|
$ |
— |
|
Warrant liabilities
The fair value of the private placement warrants and Series A Warrants is based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. In determining the fair value of the warrant liabilities, the Company used the Black-Scholes option-pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate, and dividend yield.
The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments (in thousands):
|
|
December 31, 2025 |
|
|
December 31, 2024 |
|
||
Fair value, beginning balance |
|
$ |
8,258 |
|
|
$ |
6,772 |
|
Change in the fair value of Series A warrants included in other income |
|
|
21,479 |
|
|
|
1,500 |
|
Change in the fair value of private placement warrants included |
|
|
(26 |
) |
|
|
(14 |
) |
Fair value, closing balance |
|
$ |
29,711 |
|
|
$ |
8,258 |
|
The key inputs into the Black-Scholes option pricing model for the private warrants were as follows for the relevant periods:
|
|
December 31, 2025 |
|
|
December 31, 2024 |
|
||
Expected term (years) |
|
|
0.2 |
|
|
|
1.2 |
|
Expected volatility |
|
|
101.0 |
% |
|
|
90.0 |
% |
Risk-free interest rate |
|
|
3.67 |
% |
|
|
4.21 |
% |
Dividend yield |
|
|
0 |
% |
|
|
0 |
% |
Exercise Price |
|
$ |
57.50 |
|
|
$ |
57.50 |
|
The key inputs into the Black-Scholes option pricing model for the Series A warrants were as follows for the relevant periods:
|
|
December 31, 2025 |
|
|
December 31, 2024 |
|
||
Expected term (years) |
|
|
2.0 |
|
|
|
3.0 |
|
Expected volatility |
|
|
101.0 |
% |
|
|
90.0 |
% |
Risk-free interest rate |
|
|
3.48 |
% |
|
|
4.23 |
% |
Dividend yield |
|
|
0 |
% |
|
|
0 |
% |
Exercise Price |
|
$ |
5.00 |
|
|
$ |
5.00 |
|
Convertible notes
As of December 31, 2025, the fair value of the Company’s convertible notes was $101.0 million. The Company measures the fair value of its convertible notes for disclosure purposes. The fair value was determined based on the Lattice model and has been classified as Level 3 in the fair value hierarchy. See Note 10 “Financing transactions” for information regarding the Company’s convertible notes as of December 31, 2025. The key inputs into the Lattice model for the Convertible notes were as follows:
|
|
December 31, 2025 |
|
|
Expected term (years) |
|
|
6.9 |
|
Expected volatility |
|
|
87.7 |
% |
Risk-free interest rate |
|
|
3.90 |
% |
Conversion rate |
|
$ |
15.87 |
|
Share price |
|
$ |
13.28 |
|
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 20, 2026 | Showing above |
| 2024 | Mar 21, 2025 | |
| 2020 | Mar 11, 2021 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.