Derivatives (Tables)

9 Months Ended

Sep. 30, 2025

Warrants and Rights Note Disclosure [Abstract]

Schedule of Derivatives Fair Value Assumptions

The table below presents the value of the 2026 Notes Conversion Option under the Binomial Lattice Model using the following assumptions as of the following dates:


	September 30, 2025		December 31, 2024
Value of 2026 Notes Conversion Option	$	2,326	$	322
Conversion price (in dollars)	$	10.61	$	10.61
Common stock price (in dollars)	$	6.52	$	4.45
Expected option term (years)	1.2		1.9
Expected volatility	100.00%		40.00%
Risk-free rate of return	3.60%		4.25%
Expected annual dividend yield	—%		—%

The table below presents the value of the 2029 Notes Conversion Option under the Binomial Lattice Model using the following assumptions as of the following dates:


	September 30, 2025		December 31, 2024
Value of 2029 Notes Conversion Option	$	144,436	$	115,831
Conversion price (in dollars)	$	3.55	$	3.55
Common stock price (in dollars)	$	6.52	$	4.45
Expected option term (years)	4.2		5.0
Expected volatility	75.00%		37.60%
Risk-free rate of return	3.70%		4.30%
Expected annual dividend yield	—%		—%

The table below presents the value of the 2024 RDO warrants under the Black-Scholes OPM using the following assumptions as of the following dates:


	December 31 2024
Value of each 2024 RDO warrant (in dollars)	$	3.73
Exercise price (in dollars)	$	3.78
Common stock price (in dollars)	$	4.45
Expected option term (years)	4.7
Expected volatility	120.00%
Risk-free rate of return	4.31%
Expected annual dividend yield	—%

The table below presents the value of the 2025 RDO warrants under the Black-Scholes OPM using the following assumptions as of the following dates:


	September 30, 2025		February 6, 2025
Value of each 2025 RDO warrant (in dollars)	$	5.34	$	4.93
Exercise price (in dollars)	$	9.00	$	9.00
Common stock price (in dollars)	$	6.52	$	6.77
Expected option term (years)	4.8		5.5
Expected volatility	125.00%		95.00%
Risk-free rate of return	3.70%		4.25%
Expected annual dividend yield	—%		—%

The table below presents the value of the 2024 PIPE warrants under the Black-Scholes OPM using the following assumptions as of the following dates:


	December 31, 2024
Value of each 2024 PIPE warrant (in dollars)	$	3.64
Exercise price (in dollars)	$	4.75
Common stock price (in dollars)	$	4.45
Expected option term (years)	4.7
Expected volatility	120.00%
Risk-free rate of return	4.32%
Expected annual dividend yield	—%

The table below presents the value of the IPO private warrants under the Black-Scholes OPM using the following assumptions as of the following dates:


	September 30, 2025		December 31, 2024
Fair value of each IPO private warrant (in dollars)	$	2.44	$	1.84
Exercise price (in dollars)	$	11.50	$	11.50
Common stock price (in dollars)	$	6.52	$	4.45
Expected option term (in years)	1.2		2.2
Expected volatility	125.00%		93.30%
Risk-free rate of return	3.63%		3.60%
Expected annual dividend yield	—%		—%

Schedule of Warrants Issued and Outstanding

The table below presents the Company’s IPO public warrants issued and outstanding as of the following periods:


	September 30, 2025	December 31, 2024
IPO public warrants issued	12,251,606	12,168,378
IPO public warrants outstanding	12,251,606	12,168,378

The table below presents the Company’s IPO private warrants issued and outstanding as of the following periods:


	September 30, 2025	December 31, 2024
IPO private warrants issued	74,166	157,394
IPO private warrants outstanding	74,166	157,394

Schedule of Derivatives Change in Fair Value

The following was recognized as a result of the change in fair value for the three and the nine months ended September 30, 2025 and September 30, 2024 and is presented in net (decrease) increase in fair value of derivatives on the condensed consolidated statements of operations:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2025		2024		2025		2024
Loss on change in fair value of IPO private warrants	$	(39)	$	(4)	$	(109)	$	(39)

BigBear.ai Holdings, Inc. 10-Q