Annual report pursuant to Section 13 and 15(d)

DERIVATIVE LIABILITIES (Tables)

v3.24.1
DERIVATIVE LIABILITIES (Tables)
 12 Months Ended
Dec. 31, 2023
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)
Balance as of January 1, 2022 $ 92,435 
Derivative Warrants issued (2)
23,205 
Fair value changes
 (91,887)
Derivative Warrants exercised and settled (3)
(9,619)
Balance as of December 31, 2022
 14,134 
Fair value changes
 (9,589)
Reclassification to equity
 (2,050)
Down-round changes
 143 
Balance as of December 31, 2023 $ 2,638 
(1)Refer to Note 14 - Equity for the change in number of warrants outstanding.
(2)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.
(3)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:
As of December 31,
2023 2022
Stock price per share $0.46 $0.76
Risk-free annual interest rate
4.01% - 4.79%
3.99% - 4.11%
Exercise price
$1.00 - $2.086
$1.25 - $2.086
Weighted average volatility 101% 79%
Remaining life
1.00 - 2.90 years
1.98 - 3.96 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 December 31, 2023
As of December 31, 2022
Input Effect of 10% Increase Effect of 10% Decrease Input Effect of 10% Increase Effect of 10% Decrease
Stock price per share $ 0.46 $ 637  $ (574) $ 0.76 $ 2,529  $ (2,396)
Volatility 101  % $ 680  $ (643) 79  % $ 2,070  $ (2,121)