Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

v3.22.1
FAIR VALUE MEASUREMENTS
 3 Months Ended
Mar. 31, 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 March 31, 2022
Assets:
Investment – Cansativa —  —  1,394  1,394 
Total Assets $ —  $ —  $ 1,394  $ 1,394 
Liabilities:
Loans and borrowings —  7,455  —  7,455 
Warrant liability —  —  1,715  1,715 
Convertible notes —  15,170  —  15,170 
Total Liabilities $ —  $ 22,625  $ 1,715  $ 24,340 
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 

During the three months ended March 31, 2022, there were no transfers between fair value measurement levels.

The change in fair value of warrant liabilities related to private warrants during the three months ended March 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 (490)
Warrant liabilities at March 31, 2022 $ 1,715 

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 March 31, 2022 and December 31, 2021:
As of
March 31,
2022		 December 31,
2021
Risk-free interest rate
2.44%
1.11%
Expected volatility
65%
60%
Share Price
$2.49
$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.