Current report of foreign issuer pursuant to Rules 13a-16 and 15d-16 Amendments

FAIR VALUE MEASUREMENTS (Tables)

v3.22.2.2
FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of assets and liabilities at fair value on a recurring basis
June 30, 2022
  
(Unaudited)
  
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Marketable securities
  
$
-
    
$
49,189
    
$
-
    
$
49,189
  
 
                                
Total financial assets
  
$
-
    
$
49,189
    
$
-
    
$
49,189
  
                                 
Liabilities:
                                
Warrants (1)
  
$
-
    
$
-
    
$
835
    
$
835
  
                                 
Total financial liabilities
  
$
-
    
$
-
    
$
835
    
$
835
  
 
December 31, 2021
  
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Marketable securities
  
$
-
    
$
49,896
    
$
-
    
$
49,896
  
 
                                
Total financial assets
  
$
-
    
$
49,896
    
$
-
    
$
49,896
  
                                 
Liabilities:
                                
Warrants (1)
  
$
-
    
$
-
    
$
1,639
    
$
1,639
  
                                 
Total financial liabilities
  
$
-
    
$
-
    
$
1,639
    
$
1,639
  

 

  (1)

As part of the Transactions (see Note 1c), the Company assumed a derivative warrants liability related to previously issued private placement warrants in connection with Collective Growth’s initial public offering. The Company utilizes a Black-Scholes option pricing model to estimate the fair value of the private placement warrants which is considered a Level 3 fair value measurement. The warrants are measured at each reporting period, with changes in fair value recognized in financing income, net.
     
Schedule of the binomial (lattice) valuation model assumptions used to record the fair value of the warrants
   
Six Months Ended June 30,
  
   
2022
    
2021
  
   
(Unaudited)
  
Balance as of January 1
  
$
1,639
    
$
-
  
Private warrants liability assumed in Transactions
    
-
      
7,291
  
Change in fair value of warrants liability
    
(789
)
    
845
  
Reclassification of warrants liability to equity
    
(15
)
    
-
  
Balance as of June 30
  
$
835
    
$
8,136

 
Schedule of change in the level 3 warrant liability
   
June 30,
    
December 31,
  
   
2022
    
2021
  
   
(Unaudited)
        
Fair vale determined per warrant
  
$
1.80
    
$
3.46
  
Expected volatility
    
95
%
    
90
%
Expected annual dividend yield
    
0
%
    
0
%
Expected term (years)
    
3.8
      
4.3
  
Risk-free rate
    
3.0
%
    
1.2
%