Annual and transition report of foreign private issuers pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

v3.24.0.1
FAIR VALUE MEASUREMENTS
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS
NOTE 7: - FAIR VALUE MEASUREMENTS
 
The below table sets forth the Company’s assets and liabilities that were measured at fair value as of December 31, 2023 by level within the fair value hierarchy:
 
   
December 31, 2023
  
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Marketable securities
  
$
-
    
$
18,148
    
$
-
    
$
18,148
  
 
                                
Total financial assets
  
$
-
    
$
18,148
    
$
-
    
$
18,148
  
Liabilities:
                                
Warrants (1)
  
$
-
    
$
-
    
$
240
    
$
240
  
                                 
Total financial liabilities
  
$
-
    
$
-
    
$
240
    
$
240
  
 
The below table sets forth the Company’s assets and liabilities that were measured at fair value as of December 31, 2022 by level within the fair value hierarchy:
 
   
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. The change in the fair value of the derivative private warrants liability for the years ended December 31, 2023, 2022 and 2021 is summarized as follows:
 
   
Year ended December 31,
  
   
2023
    
2022
    
2021
  
Balance at the beginning of the period
  
$
720
    
$
1,639
    
$
-
  
Private warrants liability assumed in Transactions
    
-
      
-
      
7,291
  
Change in fair value of warrants liability
    
(472
)
    
(890
)
    
(1,216
)
Reclassification of warrants liability to equity
    
(8
)
    
(29
)
    
(4,436
)
Balance at the end of the year
  
$
240
    
$
720
    
$
1,639
  
 
The estimated fair value of the private placement warrant derivative liabilities is determined using Level 3 inputs. Inherent in a Black-Scholes option pricing model are assumptions related to expected share price volatility, expiration, risk-free interest rate and dividend yield. The Company estimates the volatility of its private warrants based on implied volatility of the publicly traded warrants and the historical volatility of the company’s share price and of a selected peer companies that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve as of the valuation date for a maturity similar to the expiration of the warrants. The dividend yield is based on the historical rate, which the Company anticipates remaining at zero. The following table provides quantitative information regarding Level 3 fair value measurements inputs as of their measurement dates:
 
   
December 31,
  
   
2023
    
2022
  
Fair value determined per warrant
  
$
0.53
    
$
1.57
  
Expected volatility
    
95
%
    
92.5
%
Expected annual dividend yield
    
0
%
    
0
%
Expected term (years)
    
2.3
      
3.3
  
Risk-free rate
    
4.2
%
    
4.2
%