Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.23.1
FAIR VALUE MEASUREMENTS (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2022
Assets:
Investment – Cansativa —  —  5,679  5,679 
Total Assets $ —  $ —  $ 5,679  $ 5,679 
Liabilities:
Loans and borrowings —  1,530  —  1,530 
Warrant liability —  —  113  113 
Total Liabilities $ —  $ 1,530  $ 113  $ 1,643 
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 year ended December 31, 2022:

Level 3
Balance, December 31, 2021 (Measured at equity method) $ 1,458 
Share of Equity investment loss $ (64)
Partial sale on investments $ (515)
Gain due to change in fair value included in earnings $ 4,868 
Change in value due to foreign exchange loss $ (68)
Balance, December 31, 2022 $ 5,679 
Schedule of Changes in the Fair Value of Warrant Liabilities
The change in fair value of warrant liabilities related to private warrants during the year ended December 31, 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 (2,092)
Warrant liability at December 31, 2022 $ 113 
Fair Value Measurement Inputs and Valuation Techniques The following assumptions were used to determine the fair value of the Private Warrants as of December 31, 2022 and December 31, 2021:
As of
December 31,
2022		 December 31,
2021
Risk-free interest rate 4.23  % 1.11  %
Expected volatility 105  % 60  %
Share Price $ 0.31  $ 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.
The following table represents the weighted-average assumptions used in the Monte Carlo simulation model to determine the fair value of the restricted share units granted during the years ended December 31, 2021 and December 31, 2022.


Weighted Average Assumptions
December 31, 2022 December 31, 2021
Grant date share price $2.53 $13.68
Risk-free interest rate 1.56% 0.52%
Expected dividend yield 0.0% 0.0%
Expected volatility 75% 90%
Expected life (in years)
2.1-2.4
1.3-3.8