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

FAIR VALUE MEASUREMENTS (Tables)

v3.24.2.u1
FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Summary of assets and liabilities at fair value on a recurring basis
   
June 30, 2024
  
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Marketable securities
  
$
-
    
$
16,508
    
$
-
    
$
16,508
  
 
                                
Total financial assets
  
$
-
    
$
16,508
    
$
-
    
$
16,508
  
                                 
Liabilities:
                                
Warrants (1)
  
$
-
    
$
-
    
$
91
    
$
91
  
                                 
Total financial liabilities
  
$
-
    
$
-
    
$
91
    
$
91
  
 
    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
  
 
  (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,
  
   
2024
    
2023
  
Balance as of January 1
  
$
240
    
$
720
  
Change in fair value of warrants liability
    
(149
)
    
(245
)
Reclassification of warrants liability to equity
    
-
      
(8
)
Balance as of June 30
  
$
91
    
$
467
  
Summary of change in the level 3 warrant liability
   
June 30,
    
December 31,
  
   
2024
    
2023
  
Fair value determined per warrant
  
$
0.20
    
$
0.53
  
Expected volatility
    
140
%
    
95
%
Expected annual dividend yield
    
0
%
    
0
%
Expected term (years)
    
1.8
      
2.3
  
Risk-free rate
    
4.8
%
    
4.2
%