FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2023

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

NOTE 9. – FAIR VALUE MEASUREMENTS

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Fair value measurement standards apply to certain financial assets and liabilities that are measured at fair value on a recurring basis (each reporting period). For the Company, these financial assets and liabilities include its short-term investment securities and equity investments. The Company does not have any nonfinancial assets or liabilities that are measured at fair value on a recurring basis.

The following table presents information about our assets and liabilities measured at fair value at December 31, 2023 and 2022, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:

	Fair Value
	December 31, 2023
	Level 1		Level 2		Level 3		Total
Liabilities
Detachable warrants	$	—	$	—	$	1,350	$	1,350
Derivative liability		—		—		557		557
Total liabilities	$	—	$	—	$	1,907	$	1,907

	Fair Value
	December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets
Money market funds	$	10,163	$	—	$	—	$	10,163
Corporate bonds		—		7,031		—		7,031
U.S. treasury securities		—		999		—		999
Total assets	$	10,163	$	8,030	$	—	$	18,193

Money market mutual funds are valued at their daily closing price as reported by the fund. Money market mutual funds held by the Company are open-end mutual funds that are registered with the SEC that generally transact at a stable $1.00 Net Asset Value (“NAV”) representing its estimated fair value. On a daily basis the fund’s NAV is determined by the fund based on the amortized cost of the funds underlying investments. The Company classifies its money market funds within Level 1 because it uses quoted market prices to determine their fair value. The Company classifies its commercial paper, corporate notes, certificates of deposit, and U.S. government bonds within Level 2 because it uses quoted prices for similar assets or liabilities in active markets and each has a specified term and all level 2 inputs are observable for substantially the full term of each instrument.

Corporate bonds are valued using pricing models maximizing the use of observable inputs for similar securities.

The following tables set forth a summary of the Company’s available-for-sale debt securities from amortized cost basis to fair value as of December 31, 2022:

	Available for Sale Debt Securities
	December 31, 2022
	Amortized		Gross		Gross
	Cost		Unrealized		Unrealized		Fair
	Basis		Gains		Losses		Value
Corporate bonds	$	7,143	$	—	$	(112)	$	7,031

The following table sets forth a summary of the Company’s available-for-sale debt securities at amortized cost basis and fair value by contractual maturity as of December 31, 2022:

	December 31, 2022
	Amortized
	Cost Basis		Fair Value
Due in one year or less	$	7,143	$	7,031

The Company recognized interest income on short-term investment securities recorded in Interest income, net on the Consolidated Statement of Operations and Comprehensive Loss during the years ended December 31, 2023 and 2022 of $52 and $546, respectively.

Detachable Warrants

The following table sets forth a summary of the changes in fair value of the Company’s stock warrants accounted for as liabilities (Level 3 asset) for the period ended December 31, 2023:

Fair value measurement at January 1, 2023	$	—
Initial measurement (see Note 1 and 10)		4,214
Fair value measurement adjustment		(364)
JGB redemption of 166,667 warrants		(2,500)
Fair value measurement at December 31, 2023	$	1,350

The Omnia detachable warrants were measured at December 31, 2023 using a Monte Carlo valuation model with the following assumptions:

Risk-free interest rate per year		4.6	%
Expected volatility per year		90.9	%
Expected dividend yield		—	%
Contractual expiration		6.6	years
Exercise price	$	12.828
Stock price	$	0.19

The detachable warrants are measured at fair value using certain estimated factors which are classified within Level 3 of the valuation hierarchy. Significant unobservable inputs that are used in the fair value measurement of the Company’s detachable warrants include the volatility factor, anti-dilution provisions, and contingent put option. Significant increases or decreases in the volatility factor would have resulted in a significantly higher or lower fair value measurement. Additionally, a change in probability regarding the anti-dilution provision or put option would have resulted in a significantly higher or lower fair value measurement.

Derivative Liability

The derivative liability related to the debentures and embedded conversion option using was measured at December 31, 2023 using a binomial lattice valuation model under a “with and without” approach and contained the following assumptions:

Stock price volatility		104.1	%
Expected term		2.2	years
Stock price as of measurement date (per share)	$	0.19
Risk-free rate		4.3	%
Credit rating		CCC
Market yield (credit risk)		13.8	%

The debentures and derivative liability are measured at fair value using certain estimated factors which are classified within Level 3 of the valuation hierarchy. Significant unobservable inputs that are used in the fair value measurement of the Company’s derivative liability include a decrease/increase in our stock price, stock price volatility, credit rating, and simulated stock price upon conversion could significantly change the fair value measurement as either an increase or decrease.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Fair value standards also apply to certain assets and liabilities that are measured at fair value on a nonrecurring basis. During the years ended December 31, 2023 and 2022, the Company did not have any financial assets or liabilities measured at fair value on a nonrecurring basis.