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

FAIR VALUE MEASUREMENTS (Tables)

v3.23.2
FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Summary of assets and liabilities at fair value on a recurring basis
June 30, 2023
  
(Unaudited)
  
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Marketable securities
  
$
-
    
$
32,477
    
$
-
    
$
32,477
  
 
                                
Total financial assets
  
$
-
    
$
32,477
    
$
-
    
$
32,477
  
                                 
Liabilities:
                                
Warrants (1)
  
$
-
    
$
-
    
$
467
    
$
467
  
                                 
Total financial liabilities
  
$
-
    
$
-
    
$
467
    
$
467
  
 
December 31, 2022
  
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Marketable securities
  
$
-
    
$
49,521
    
$
-
    
$
49,521
  
 
                                
Total financial assets
  
$
-
    
$
49,521
    
$
-
    
$
49,521
  
                                 
Liabilities:
                                
Warrants (1)
  
$
-
    
$
-
    
$
720
    
$
720
  
                                 
Total financial liabilities
  
$
-
    
$
-
    
$
720
    
$
720
  
  (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.
Summary of the binomial (lattice) valuation model assumptions used to record the fair value of the warrants
   
Six Months Ended June 30,
 
   
2023
    
2022
  
   
(Unaudited)
  
Balance as of January 1
  
$
720
    
$
1,639
  
Change in fair value of warrants liability
    
(245
)
    
(789
)
Reclassification of warrants liability to equity
    
(8
)
    
(15
)
Balance as of June 30
  
$
467
    
$
835
  
Summary of change in the level 3 warrant liability
   
June 30,
    
December 31,
  
   
2023
    
2022
  
   
(Unaudited)
        
Fair value determined per warrant
  
$
1.03
    
$
1.57
  
Expected volatility
    
105
%
    
92.5
%
Expected annual dividend yield
    
0
%
    
0
%
Expected term (years)
    
2.8
      
3.3
  
Risk-free rate
    
4.6
%
    
4.2
%