| Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis |
The following table presents information about the Company’s derivative liabilities that are measured at fair value on a recurring basis beginning February 4, 2022 (the date of closing of the Business Combination) when the derivative liabilities were assumed, and discloses the fair value hierarchy level of the valuation inputs the Company utilized to determine such fair value:
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Fair Value at |
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Change in Fair
Value of Derivatives |
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Description |
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Level |
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September 30, 2023 |
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June 30, 2023 |
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December 31, 2022 |
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September 30, 2022 |
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June 30, 2022 |
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Three Months Ended
September 30, 2023 |
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Three Months Ended
September 30, 2022 |
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Nine Months Ended September 30, 2023 |
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Nine Months Ended September 30, 2022 |
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Private Warrants derivative liability |
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3 |
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$ |
113 |
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$ |
121 |
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$ |
182 |
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$ |
662 |
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$ |
3,693 |
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$ |
8 |
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$ |
3,031 |
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$ |
69 |
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$ |
3,254 |
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Forward share purchase agreements derivative liability 1 |
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3 |
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— |
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— |
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— |
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— |
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17,763 |
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— |
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3,940 |
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— |
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346 |
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Escrow Shares derivative liability |
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3 |
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5 |
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6 |
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52 |
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47 |
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3,481 |
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1 |
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3,434 |
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47 |
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6,821 |
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Stockholder earn-out rights derivative liability |
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3 |
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25 |
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30 |
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204 |
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288 |
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12,147 |
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5 |
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11,859 |
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179 |
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25,843 |
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Total |
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$ |
143 |
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$ |
157 |
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$ |
438 |
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$ |
997 |
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$ |
37,084 |
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$ |
14 |
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$ |
22,264 |
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$ |
295 |
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$ |
36,264 |
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1.The forward share purchase agreements were settled effective August 1, 2022, at which time the fair value was $13,824 based on cash settlement.
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| Schedule of Valuation Assumptions |
The Private Warrants were valued using a Black-Scholes model and the following Level 3 inputs:
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September 30, 2023 |
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June 30, 2023 |
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December 31, 2022 |
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September 30, 2022 |
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June 30, 2022 |
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Exercise price |
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$ |
230.00 |
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$ |
230.00 |
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$ |
230.00 |
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$ |
230.00 |
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$ |
230.00 |
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Stock price |
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$ |
6.42 |
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$ |
5.80 |
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$ |
13.00 |
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$ |
13.60 |
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$ |
90.00 |
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Volatility |
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99.9 |
% |
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99.9 |
% |
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75.0 |
% |
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98.0 |
% |
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51.6 |
% |
Term (in years) |
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3.35 |
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3.60 |
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4.09 |
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4.34 |
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4.59 |
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Risk-free rate |
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4.7 |
% |
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4.5 |
% |
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4.1 |
% |
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4.1 |
% |
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3.0 |
% |
Dividend yield |
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0.0 |
% |
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0.0 |
% |
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0.0 |
% |
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0.0 |
% |
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0.0 |
% |
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The FPAs were valued using a Black-Scholes model and the following Level 3 inputs:
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June 30, 2022 |
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Exercise price - one agreement |
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$ |
206.20 |
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Exercise price - three agreements |
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$ |
203.20 |
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Stock price |
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$ |
90.00 |
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Volatility |
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70.4 |
% |
Term (in years) |
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0.09 |
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Risk-free rate |
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1.3 |
% |
Dividend yield |
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0.0 |
% |
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The Escrow Shares derivative liability was calculated using a Monte Carlo simulation and the following Level 3 inputs:
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September 30, 2023 |
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June 30, 2023 |
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December 31, 2022 |
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September 30, 2022 |
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June 30, 2022 |
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First stock price trigger |
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$ |
270.00 |
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$ |
270.00 |
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$ |
270.00 |
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$ |
270.00 |
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$ |
270.00 |
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Second stock price trigger |
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$ |
310.00 |
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$ |
310.00 |
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$ |
310.00 |
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$ |
310.00 |
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$ |
310.00 |
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Stock price |
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$ |
6.42 |
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$ |
5.80 |
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$ |
13.00 |
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$ |
13.60 |
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$ |
90.00 |
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Volatility |
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98.6 |
% |
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98.6 |
% |
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86.0 |
% |
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79.0 |
% |
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68.0 |
% |
Term (in years) |
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1.35 |
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1.60 |
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2.09 |
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2.34 |
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2.59 |
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Risk-free rate |
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5.4 |
% |
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5.1 |
% |
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4.4 |
% |
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4.2 |
% |
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3.0 |
% |
Dividend yield |
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0.0 |
% |
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0.0 |
% |
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0.0 |
% |
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0.0 |
% |
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0.0 |
% |
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The stockholder earn-out rights were valued using a Monte Carlo simulation and the following Level 3 inputs:
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September 30, 2023 |
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June 30, 2023 |
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December 31, 2022 |
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September 30, 2022 |
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June 30, 2022 |
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First stock price trigger |
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$ |
270.00 |
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$ |
270.00 |
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$ |
270.00 |
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$ |
270.00 |
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$ |
270.00 |
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Second stock price trigger |
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$ |
310.00 |
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$ |
310.00 |
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$ |
310.00 |
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$ |
310.00 |
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$ |
310.00 |
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First revenue trigger |
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$ |
65,000 |
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$ |
65,000 |
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$ |
65,000 |
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$ |
65,000 |
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$ |
65,000 |
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Second revenue trigger |
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$ |
101,000 |
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$ |
101,000 |
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$ |
101,000 |
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$ |
101,000 |
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$ |
101,000 |
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Stock price |
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$ |
6.42 |
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$ |
5.80 |
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$ |
13.00 |
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$ |
13.60 |
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$ |
90.00 |
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Base year revenue assumption |
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$ |
42,000 |
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$ |
44,000 |
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$ |
48,000 |
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$ |
47,500 |
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$ |
49,500 |
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Volatility |
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98.6 |
% |
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98.6 |
% |
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86.0 |
% |
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79.0 |
% |
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68.0 |
% |
Term (in years) |
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1.35 |
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1.60 |
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2.09 |
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2.34 |
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2.59 |
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Risk-free rate |
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5.4 |
% |
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5.1 |
% |
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4.4 |
% |
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4.2 |
% |
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3.0 |
% |
Dividend yield |
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|
0.0 |
% |
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|
0.0 |
% |
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0.0 |
% |
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0.0 |
% |
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0.0 |
% |
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