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Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 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):

 

 

 

June 30, 2024

 

 

 

Balance

 

Quoted Prices
in Active
Markets
(Level 1)

 

 

Significant
Other
Observable
Inputs (Level 2)

 

 

Significant Unobservable Inputs (Level 3)

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

Oramed Note

 

$

75,370

 

$

 

 

$

 

 

$

75,370

 

FSF Deposit

 

 

11,727

 

 

 

 

 

 

 

 

11,727

 

Derivative liabilities

 

 

30,005

 

 

 

 

 

 

 

 

30,005

 

Other long-term liabilities

 

 

187

 

 

 

 

 

 

 

 

187

 

Total liabilities measured at fair value

 

$

117,289

 

$

 

 

$

 

 

$

117,289

 

 

 

 

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 six months ended June 30, 2024 (in thousands):

 

 

 

Fair Value

 

Ending Balance as of December 31, 2023

 

$

1,518

 

Change in fair value measurement

 

 

15,741

 

Issuance of Firm Warrants as part of the Bought Deal Offering and RDO Common Warrants as part of the Registered Direct Offering

 

 

12,746

 

Ending Balance as of June 30, 2024

 

$

30,005

 

Schedule of quantitative information regarding Level 3 fair value measurements

 

 

Private Warrants

 

 

Firm Warrants

 

 

RDO Common Warrants

 

 

 

June 30,

 

 

June 30,

 

 

June 30,

 

 

 

2024

 

 

2024

 

 

2024

 

Equity value

 

$

1.93

 

 

$

1.93

 

 

$

1.93

 

Exercise price

 

$

11.50

 

 

$

1.70

 

 

$

1.10

 

Term, in years

 

 

3.36

 

 

 

4.68

 

 

 

4.82

 

Volatility

 

 

99.0

%

 

 

66.0

%

 

 

73.0

%

Risk-free rate

 

 

4.44

%

 

 

4.31

%

 

 

4.30

%

Dividend yield

 

 

0.0

%

 

 

0.0

%

 

 

0.0

%

Call option value

 

$

0.62

 

 

$

1.16

 

 

$

1.40

 

 

 

 

Private Warrants

 

 

 

December 31,

 

 

 

2023

 

Equity value

 

$

1.59

 

Exercise price

 

$

11.50

 

Term, in years

 

 

3.61

 

Volatility

 

 

90.0

%

Risk-free rate

 

 

4.30

%

Dividend yield

 

 

0.0

%

Call option value

 

$

0.39