FAIR VALUE MEASUREMENTS AND SHORT-TERM INVESTMENTS |
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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:
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:
The Omnia warrants were measured at June 30, 2024 and December 31, 2023 using a Monte Carlo valuation model with the following assumptions:
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:
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:
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. |