Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE LIABILITIES (Tables)

v3.22.2.2
DERIVATIVE LIABILITIES (Tables)
 9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Liabilities at Fair Value
The continuities of the Company’s derivative liabilities are as follows:
Total Derivative Liabilities (1)(3)
Carrying amounts as of January 1, 2022 $ 92,435 
Fair value changes (2)
(63,233)
Derivative Warrants exercises (9,401)
Carrying amounts as of September 30, 2022 $ 19,801 
(1)Refer to Note 13 - Equity for the continuity of the number of these warrants outstanding.
(2)Included in other income (expense), net in the consolidated statements of operations and comprehensive income (loss).
(3)Includes mandatory prepayment option on the Senior Notes, which had a fair value of $218 as of September 30, 2022.
Fair Value Measurement Inputs and Valuation Techniques The assumptions used in the fair value calculations as of the balance sheet dates presented include the following:
September 30, 2022 (unaudited) December 31, 2021
Stock price $1.23 $3.25
Risk-free annual interest rate 4.23% 0.97%
Range of estimated possible exercise price $1.25
$0.04 - $1.25
Volatility 72% 73%
Remaining life 2.23 years 3 years
Forfeiture rate 0% 0%
Expected annual dividend yield 0% 0%
For example, the following table illustrates an increase or decrease in certain significant assumptions as of the balance sheet dates:
As of September 30, 2022 As of December 31, 2021
(unaudited)
Input Effect of 10% Increase Effect of 10% Decrease Input Effect of 10% Increase Effect of 10% Decrease
Stock price $ 1.23 $ 3,281  $ (3,144) $ 3.25 $ 12,781  $ (10,834)
Volatility 72  % $ 1,547  $ (1,591) 73  % $ 4,473  $ (3,210)