Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.22.2
FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table provides the fair value measurement hierarchy of the Company’s assets and liabilities, except for those assets and liabilities that are short term in nature and approximate the fair values, as of the periods presented:
Level 1
  
Level 2
  
Level 3
  
Total
As of June 30, 2022
Assets:
Investment – Cansativa —  —  5,747  5,747 
Total Assets $ —  $ —  $ 5,747  $ 5,747 
Liabilities:
Loans and borrowings —  2,135  —  2,135 
Warrant liability —  —  392  392 
Total Liabilities $ —  $ 2,135  $ 392  $ 2,527 
As of December 31, 2021
Assets:
Investment – Cansativa —  —  1,458  1,458 
Total Assets $ —  $ —  $ 1,458  $ 1,458 
Liabilities:
Loans and borrowings —  7,396  —  7,396 
Warrant liability —  —  2,205  2,205 
Convertible notes —  17,699  —  17,699 
Total Liabilities $ —  $ 25,095  $ 2,205  $ 27,300 
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation The following table provides a summary of changes in fair value of the Company’s level 3 investments for the six months ended June 30, 2022:
Level 3
Balance, December 31, 2021 (Measured at equity method) $ 1,458 
Share of Equity investment loss $ (64)
Balance, March 31, 2022 $ 1,394 
Sale on investments $ (515)
Gain due to change in fair value included in earnings $ 4,868 
Balance, June 30, 2022 $ 5,747 
Schedule of Changes in the Fair Value of Warrant Liabilities
The change in fair value of warrant liabilities related to private warrants during the six months ended June 30, 2022, is as follows:
Private Placement Warrants: Total Warrant Liability
Warrant liability at December 31, 2021 $ 2,205 
Change in fair value of warrant liability (490)
Warrant liabilities at March 31, 2022 $ 1,715 
Change in fair value of warrant liability (1,323)
Warrant liabilities at June 30, 2022 $ 392 
Fair Value Measurement Inputs and Valuation Techniques
The Company determined the fair value of its private warrants using the Monte Carlo simulation model. The following assumptions were used to determine the fair value of the Private Warrants as of June 30, 2022 and December 31, 2021:
As of
June 30,
2022		 December 31,
2021
Risk-free interest rate
2.99%
1.11%
Expected volatility
80%
60%
Share Price
$0.98
$3.10
Exercise Price
$11.50
$11.50
Expiration date December 18, 2025 December 18, 2025
The following table presents the weighted-average assumptions used in the Monte Carlo simulation model to determine the fair value of the market-based restricted share units granted in the six months ended June 30, 2022:

Weighted Average Assumptions
Grant date share price $ 2.53 
Risk-free interest rate 1.6  %
Expected dividend yield 0.0  %
Expected volatility 75  %
Expected life (in years)
2.54 - 2.36