Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.23.1
FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
Mar. 31, 2023
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 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 
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 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 
Schedule of Changes in the Fair Value of Warrant Liabilities
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 
Fair Value Measurement Inputs and Valuation Techniques 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.
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 three months ended March 31, 2023:

Weighted Average Assumptions
Grant date share price $ 2.53 
Risk-free interest rate 1.6  %
Expected dividend yield 0.0  %
Expected volatility 75  %
Expected life (in years)
2.1 - 2.4