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FAIR VALUE MEASUREMENTS AND SHORT-TERM INVESTMENTS
6 Months Ended
Jun. 30, 2024
FAIR VALUE MEASUREMENTS AND SHORT-TERM INVESTMENTS  
FAIR VALUE MEASUREMENTS AND SHORT-TERM INVESTMENTS

NOTE 5. – FAIR VALUE MEASUREMENTS AND SHORT-TERM INVESTMENTS

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 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 liabilities measured at fair value as of June 30, 2024 and December 31, 2023, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:

Fair Value

June 30, 2024

    

Level 1

    

Level 2

    

Level 3

    

Total

Liabilities

Omnia 2024 warrants

$

$

$

1,191

$

1,191

Derivative liability

98

98

Total liabilities

$

$

$

1,289

$

1,289

Fair Value

December 31, 2023

    

Level 1

    

Level 2

    

Level 3

    

Total

Liabilities

 

  

 

  

 

  

 

  

Omnia 2023 warrants

$

$

$

1,350

$

1,350

Derivative liability

 

 

 

557

 

557

Total liabilities

$

$

$

1,907

$

1,907

Warrants

The following table sets forth a summary of the changes in fair value of the Company’s common stock warrants accounted for as liabilities (Level 3) for the period ended June 30, 2024:

Fair value measurement at January 1, 2024

$

1,350

Fair value measurement adjustment

Fair value measurement at March 31, 2024

$

1,350

Settlement and release (See Note 6)

(1,350)

Initial measurement (See Note 6)

1,515

Fair value measurement adjustment

(324)

Fair value measurement at June 30, 2024

$

1,191

The Omnia warrants were measured at June 30, 2024 and December 31, 2023 using a Monte Carlo valuation model with the following assumptions:

June 30, 

December 31, 

2024

2023

Omnia 2024 warrants

Omnia 2023 warrants

Risk-free interest rate per year

 

4.3

%

 

4.6

%

Expected volatility per year

 

113.1

%

 

90.9

%

Expected dividend yield

 

%

 

%

Contractual expiration

 

4.8

years

 

6.6

years

Exercise price

$

2.14

$

205.248

Stock price

$

0.75

$

3.04

The 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. The Omnia 2023 warrants were extinguished and the Omnia 2024 warrants were issued in April 2024. See Note 6 for further details.

Derivative Liability

The following table sets forth a summary of the changes in fair value of the Company’s derivative liability accounted for as liabilities (Level 3) as of June 30, 2024:

Fair value measurement at January 1, 2024

$

557

Fair value measurement adjustment

82

Fair value measurement at March 31, 2024

$

639

Fair value measurement adjustment

(541)

Fair value measurement at June 30, 2024

$

98

The derivative liability related to the debentures and embedded conversion option was measured at June 30, 2024 and December 31, 2023 using a binomial lattice valuation model under a “with and without” approach and contained the following assumptions:

June 30, 

December 31, 

2024

2023

Stock price volatility

 

137.3

%

 

104.1

%

Expected term

 

1.6

years

 

2.2

years

Stock price

$

0.75

$

3.04

Risk-free rate

 

4.8

%

 

4.3

%

Credit rating

CCC

CCC

Market yield (credit risk)

19.8

%

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

During the three and six months ended June 30, 2024 and 2023 respectively, the Company did not have any financial assets or liabilities measured at fair value on a nonrecurring basis.