Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

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FAIR VALUE MEASUREMENTS
9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTS 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 September 30, 2022
Assets:
Investment – Cansativa —  —  5,406  5,406 
Total Assets $ —  $ —  $ 5,406  $ 5,406 
Liabilities:
Loans and borrowings —  1,903  —  1,903 
Warrant liability —  —  196  196 
Total Liabilities $ —  $ 1,903  $ 196  $ 2,099 
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 

Investment – Cansativa

Our investment in Cansativa’s equity securities that was previously accounted for using the equity method was partially divested during the three months ended June 30, 2022. Given that this investment does not have a “readily determinable fair value,” or is not traded in a verifiable public market, the Company accounted for this investment under ASC 321, Investments - Equity Securities. The Company used the practical expedient available under ASU 2016-01, the cost method investment which presents and carries this investment using the alternative measurement method which is cost minus impairment, if any, plus or minus changes resulting from observable price changes in “orderly transactions,” as defined in ASC 321, for the identical or a similar investment of the same issuer. The Company periodically reviews the investments for other than temporary declines in fair value below cost and more frequently when events or changes in circumstances indicate that the carrying value of an asset may not be recoverable. As of September 30, 2022, the Company believes the carrying value of its cost method investments were recoverable in all material respects. For more information, refer to Note 7 to our interim financial statements for the period ended of September 30, 2022.

The following table provides a summary of changes in fair value of the Company’s Level 3 investments for the nine months ended September 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 
Change in value due to foreign exchange loss $ (341)
Balance, September 30, 2022 $ 5,406 

During the nine months ended September 30, 2022, there were no transfers between fair value measurement levels.

The change in fair value of warrant liabilities related to private warrants during the nine months ended September 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 
Change in fair value of warrant liability (196)
Warrant liabilities at September 30, 2022 $ 196 

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 September 30, 2022 and December 31, 2021:
As of
September 30,
2022
December 31,
2021
Risk-free interest rate
4.23%
1.11%
Expected volatility
95%
60%
Share Price
$0.60
$3.10
Exercise Price
$11.50
$11.50
Expiration date December 18, 2025 December 18, 2025

The risk-free interest rate assumptions are based on U.S. dollar zero curve derived from swap rates at the valuation date, with a term to maturity matching the remaining term of warrants.
The expected volatility assumptions are based on average of historical volatility based on comparable industry volatilities of public warrants.