Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

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FAIR VALUE MEASUREMENTS
 3 Months Ended
Mar. 31, 2023
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, 2023
Assets:
Investment – Cansativa —  —  5,753  5,753 
Total Assets $ —  $ —  $ 5,753  $ 5,753 
Liabilities:
Loans and borrowings —  1,477  —  1,477 
Warrant liability —  —  157  157 
Total Liabilities $ —  $ 1,477  $ 157  $ 1,634 
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 

Investment – Cansativa

Our investment in Cansativa's equity securities 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 March 31, 2023, the carrying value of its cost method investments were recoverable in all material respects. For more information, refer to Note 7 to our Financial Statements for the three months ended March 31, 2023.
The following table provides a summary of changes in fair value of the Company’s Level 3 investments for the three months ended March 31, 2023:

Level 3
Balance, December 31, 2022 (Measured at equity method) $ 5,679 
Change in value due to foreign exchange gain 74 
Balance, March 31, 2023 $ 5,753 

During the three months ended March 31, 2023, there were no transfers between fair value measurement levels.


Warrant liability

The change in fair value of warrant liabilities related to private warrants during the three months ended March 31, 2023, is as follows:
Private Placement Warrants: Total Warrant Liability
Warrant liability at December 31, 2022 $ 113 
Change in fair value of warrant liability 44 
Warrant liabilities at March 31, 2023 $ 157 

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, 2023 and December 31, 2022:
As of
March 31,
2023		 December 31,
2022
Risk-free interest rate
3.88%
4.23%
Expected volatility
110%
105%
Share Price
$0.38
$0.31
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.