Annual report pursuant to Section 13 and 15(d)

DERIVATIVE LIABILITIES (Tables)

v3.23.1
DERIVATIVE LIABILITIES (Tables)
 12 Months Ended
Dec. 31, 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)(4)
Carrying amounts as of January 1, 2021 $ 205,361 
Fair value changes (2)
(105,170)
Derivative Warrants exercised and settled (7,756)
Carrying amounts as of December 31, 2021 (4)
$ 92,435 
Derivative Warrants issued (3)
23,205 
Fair value changes (2)
(91,887)
Derivative Warrants exercised and settled (5)
(9,619)
Carrying amounts as of December 31, 2022 $ 14,134 
(1)Refer to Note 15 - 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 fair value of 17,512,280 derivative warrants issued in connection with the Second Lien Notes issuance in December 2022, and 2,000,000 derivative warrants issued relating to the second amendment of the Acquisition Facility in December 2022.
(4)Includes mandatory prepayment option on the Senior Notes, which had a fair value of $174 as of December 31, 2021.
(5)Includes mandatory prepayment option on the Senior Notes of $218, which was settled in December 2022 with the Company’s redemption of the Senior Notes.
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:
December 2022 (New Issuances) As of December 31,
2022 2021
Stock price per share
$1.12 - $2.06
 $0.76 $3.25
Risk-free annual interest rate
3.76% - 3.91%
3.99% - 4.11%
 0.97%
Exercise price $2.086
$1.25 - $2.086
$0.04 - $1.25
Weighted average volatility 77% 79% 73%
Remaining life 4 years
1.98 - 3.96 years
 3 years
Forfeiture rate 0% 0% 0%
Expected annual dividend yield 0% 0% 0%
For example, the following table illustrates an increase or decrease in certain significant assumptions as of the balance sheet dates:
As of December 31, 2022 As of December 31, 2021
Input Effect of 10% Increase Effect of 10% Decrease Input Effect of 10% Increase Effect of 10% Decrease
Stock price per share $ 0.76 $ 2,529  $ (2,396) $ 3.25 $ 12,781  $ (10,834)
Volatility 79  % $ 2,070  $ (2,121) 73  % $ 4,473  $ (3,210)