FAIR VALUE MEASUREMENTS (Tables)
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9 Months Ended |
Sep. 30, 2022 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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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:
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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As of September 30, 2022 |
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Assets: |
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Investment – Cansativa |
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— |
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— |
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5,406 |
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5,406 |
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Total Assets |
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$ |
— |
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$ |
— |
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$ |
5,406 |
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$ |
5,406 |
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Liabilities: |
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Loans and borrowings |
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— |
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1,903 |
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— |
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1,903 |
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Warrant liability |
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— |
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— |
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196 |
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196 |
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Total Liabilities |
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$ |
— |
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$ |
1,903
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$ |
196
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$ |
2,099
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As of December 31, 2021 |
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Assets: |
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Investment – Cansativa |
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— |
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— |
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1,458 |
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1,458 |
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Total Assets |
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$ |
— |
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$ |
— |
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$ |
1,458 |
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$ |
1,458 |
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Liabilities: |
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Loans and borrowings |
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— |
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7,396 |
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— |
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7,396 |
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Warrant liability |
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— |
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— |
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2,205 |
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2,205 |
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Convertible notes |
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— |
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17,699 |
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—
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17,699 |
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Total Liabilities |
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$ |
—
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$ |
25,095
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$ |
2,205
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$ |
27,300
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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 nine months ended September 30, 2022:
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Level 3 |
Balance, December 31, 2021 (Measured at equity method) |
$ |
1,458 |
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Share of Equity investment loss |
$ |
(64) |
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Balance, March 31, 2022 |
$ |
1,394 |
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Sale on investments |
$ |
(515) |
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Gain due to change in fair value included in earnings |
$ |
4,868 |
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Balance, June 30, 2022 |
$ |
5,747 |
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Change in value due to foreign exchange loss |
$ |
(341) |
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Balance, September 30, 2022 |
$ |
5,406 |
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Schedule of Changes in the Fair Value of Warrant Liabilities |
The change in fair value of warrant liabilities related to private warrants during the nine months ended September 30, 2022, is as follows:
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Private Placement Warrants: |
Total Warrant Liability |
Warrant liability at December 31, 2021 |
$ |
2,205 |
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Change in fair value of warrant liability |
(490) |
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Warrant liabilities at March 31, 2022 |
$ |
1,715
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Change in fair value of warrant liability |
(1,323) |
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Warrant liabilities at June 30, 2022 |
$ |
392
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Change in fair value of warrant liability |
(196) |
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Warrant liabilities at September 30, 2022 |
$ |
196
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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 September 30, 2022 and December 31, 2021:
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As of |
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September 30, 2022 |
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December 31, 2021 |
Risk-free interest rate |
4.23% |
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1.11% |
Expected volatility |
95% |
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60% |
Share Price |
$0.60 |
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$3.10 |
Exercise Price |
$11.50 |
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$11.50 |
Expiration date |
December 18, 2025 |
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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 nine months ended September 30, 2022:
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Weighted Average Assumptions |
Grant date share price |
$ |
2.53
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Risk-free interest rate |
1.6
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% |
Expected dividend yield |
0.0
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% |
Expected volatility |
75
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% |
Expected life (in years) |
2.54 - 2.36 |
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