XML 33 R25.htm IDEA: XBRL DOCUMENT v3.24.1.1.u2
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2024
Fair Value Disclosures [Abstract]  
Schedule of fair value assets measured on a recurring basis

The following table presents the Company’s financial assets and liabilities that are measured at fair value on a recurring basis and the level of inputs used in such measurements (in thousands):

 

 

 

March 31, 2024

 

 

 

Balance

 

 

Quoted Prices
in Active
Markets
(Level 1)

 

 

Significant
Other
Observable
Inputs (Level 2)

 

 

Significant Unobservable Inputs (Level 3)

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Oramed Note

 

$

92,923

 

 

$

 

 

$

 

 

$

92,923

 

Derivative liabilities

 

 

6,941

 

 

 

 

 

 

 

 

 

6,941

 

Other long-term liabilities

 

 

182

 

 

 

 

 

 

 

 

 

182

 

Total liabilities measured at fair value

 

$

100,046

 

 

$

 

 

$

 

 

$

100,046

 

 

 

 

December 31, 2023

 

 

 

Balance

 

 

Quoted Prices
in Active
Markets
(Level 1)

 

 

Significant
Other
Observable
Inputs (Level 2)

 

 

Significant
Unobservable
Inputs (Level 3)

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Oramed Note

 

$

104,089

 

 

$

 

 

$

 

 

$

104,089

 

Convertible Debentures

 

 

4,340

 

 

 

 

 

 

 

 

 

4,340

 

Derivative liabilities

 

 

1,518

 

 

 

 

 

 

 

 

 

1,518

 

Other long-term liabilities

 

 

179

 

 

 

 

 

 

 

 

 

179

 

Total liabilities measured at fair value

 

$

110,126

 

 

$

 

 

$

 

 

$

110,126

 

Schedule of the derivative liabilities measured at fair value using significant unobservable inputs Level 3

The following table includes a summary of the derivative liabilities measured at fair value during the three months ended March 31, 2024 (in thousands):

 

 

 

Fair Value

 

Ending Balance as of December 31, 2023

 

$

1,518

 

Change in fair value measurement

 

 

457

 

Issuance of Firm Warrants and Representative Warrants as part of the Bought Deal Offering

 

 

4,966

 

Ending Balance as of March 31, 2024

 

$

6,941

 

Schedule of quantitative information regarding Level 3 fair value measurements

Private Warrants

 

 

 

March 31,

 

 

December 31,

 

 

 

2024

 

 

2023

 

Equity value

 

$

1.59

 

 

$

2.04

 

Exercise price

 

$

11.50

 

 

$

11.50

 

Term, in years

 

 

3.61

 

 

 

3.86

 

Volatility

 

 

90.0

%

 

 

76.0

%

Risk-free rate

 

 

4.30

%

 

 

3.90

%

Dividend yield

 

 

0.0

%

 

 

0.0

%

Call option value

 

$

0.39

 

 

$

0.42

 

 

 

 

Firm Warrants

 

 

 

March 31,

 

 

 

2024

 

Equity value

 

$

1.59

 

Exercise price

 

$

1.70

 

Term, in years

 

 

4.93

 

Volatility

 

 

64.0

%

Risk-free rate

 

 

4.17

%

Dividend yield

 

 

0.0

%

Call option value

 

$

0.88

 

 

Representative Warrants

 

 

 

March 31,

 

 

 

2024

 

Equity value

 

$

1.59

 

Exercise price

 

$

2.13

 

Term, in years

 

 

4.93

 

Volatility

 

 

68.0

%

Risk-free rate

 

 

4.17

%

Dividend yield

 

 

0.0

%

Call option value

 

$

0.76