Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2024

Schedule of Fair Value on Recurring Basis

The following table sets forth by level within the fair value hierarchy, the Company’s liabilities measured at fair value on a recurring basis (in thousands):


	Hierarchy Level	September 30, 2024		December 31, 2023
Securities available-for-sale, current	1	$	708	$	—
Securities available-for-sale, non-current	1	708		—
Total(1)		$	1,416	$	—

5-Year Private Warrants(2)	2	$	10	$	26

(1) The value of Securities available-for-sale was determined using the closing price on the last day of the period as quoted on the TSX venture Exchange. See Note 5 – Securities Available-For-Sale for additional information.

(2) The 5-Year Private Warrants are valued using a Black-Scholes model that requires a variety of inputs, including the Company’s stock price, the strike price of the 5-Year Private Warrants, the risk-free rate, and the implied volatility. The terms of the 5-Year Private Warrants are identical to the terms of the 5-Year Public Warrants except that the 5-Year Private Warrants, while held by certain holders or their permitted transferees, are precluded from mandatory redemption and are entitled to be exercised on a “cashless basis” at the holder’s election. The implied volatility used in the Black-Scholes model is calculated using a generalized autoregressive conditional heteroskedasticity model of the 5-Year Public Warrants that factors in the restrictive redemption and cashless exercise features of the 5-Year Private Warrants. The Company updates the fair value calculation at least quarterly, or more frequently when changes in circumstances or assumptions indicate a change from the existing carrying value. See Note 14 – Warrant Liabilities for additional information on the fair value of the Company’s liability classified warrants.