AEON Biopharma, Inc. - 10-Q filing on 2023-07-21

RECURRING FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2023

Schedule of Company's gross holding gains and fair value of held-to-maturity securities


					Gross
			Amortized		Holding
	Held-To-Maturity	Level	Cost		Gain		Fair Value
December 31, 2022	U.S. Treasury Bill (Matures on 01/05/2023)	1	$	279,339,034	$	40,537	$	279,379,571

Schedule of Company's liabilities that were measured at fair value on a recurring basis

The following table presents information about the Company’s liabilities that were measured at fair value on a recurring basis as of June 30, 2023 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.


	Level 1		Level 2		Level 3
Liabilities:
Private Placement Warrants	$	—	$	—	$	508,725
Public Warrants	$	828,000	$	—	$	—

The following table presents information about the Company’s liabilities that were measured at fair value on a recurring basis as of December 31, 2022 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.


	Level 1		Level 2		Level 3
Liabilities:
Private Placement Warrants	$	—	$	—	$	250,239
Public Warrants	$	—	$	419,520	$	—

Schedule of key inputs


	December 31,			June 30,
Input	2022			2023
Risk-free interest rate		4.75	%		5.45	%
Expected term (years)		5.71			5.06
Expected volatility		9.8	%		40	%
Dividend rate		0.0	%		0.0	%
Exercise price	$	11.50		$	11.50
Market implied likelihood of IBC		8.9	%		11.0	%

Schedule of reconciliation of changes in fair value of the assets and liabilities classified as level 3


Fair Value at December 31, 2022	$	250,239
Change in fair value		56,372
Fair Value at March 31, 2023		306,611
Change in fair value		202,114
Fair Value at June 30, 2023	$	508,725


Fair Value at December 31, 2021	$	2,692,800
Change in fair value		(1,100,880)
Fair Value at March 31, 2022		1,591,920
Change in fair value		(793,893)
Fair Value at June 30, 2022	$	798,027