FAIR VALUE MEASUREMENTS

3 Months Ended

Mar. 31, 2023

FAIR VALUE MEASUREMENTS [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 4:- FAIR VALUE MEASUREMENTS

The Company evaluates assets and liabilities subject to fair value measurements on a recurring basis to determine the appropriate level to classify them for each reporting period. The Company did not have any transfers between fair value measurements levels in the three months ended March 31, 2023.

The following table sets forth the Company’s assets and liabilities that were measured at fair value as of March 31, 2023 and December 31, 2022, by level within the fair value hierarchy:

		Fair value measurements as of
Description	Fair Value Hierarchy	March 31, 2023			December 31, 2022
		Unaudited
Assets:
Cash equivalents:
Money market accounts and funds	Level 1	$	71,717		$	22,583
Short-term investments:
U.S. government treasuries	Level 2	$	17,378		$	46,222
Corporate debt securities	Level 2	$	16,028		$	21,636
U.S. Agency bonds	Level 2	$	15,731		$	20,491
Commercial paper	Level 2	$	6,445		$	8,565
Liabilities:
Warrants liability:
Public Warrants	Level 1	$	(2,364	)	$	(2,856	)
Private Warrants	Level 3	$	(2,716	)	$	(3,900	)
Derivative instruments liability:
Derivative instruments designated as cash flow hedging instruments	Level 2	$	(969	)	$	(313	)

The Company classifies its money market accounts and funds as Level 1 based on quoted market prices in active markets.

The Company classifies its U.S. government treasuries, corporate debt securities, commercial paper, U.S. agency bonds and derivative financial instruments within Level 2 as they are valued using inputs other than quoted prices which are directly or indirectly observable in the market, including readily-available pricing sources for the identical underlying security which may not be actively traded.

The Company measures the fair value for Warrants by using a quoted price for the Public Warrants, which are classified as Level 1, and a Black-Scholes simulation model for the Private Warrants, which are classified as Level 3, due to the use of unobservable inputs.

The key inputs into the Black-Scholes model for the Private Warrants were as follows:

Input	March 31, 2023			December 31, 2022
Risk-free interest rate		3.71% - 3.86	%		4.08% - 4.18	%
Expected term (years)		2.51 - 3.25			2.75 - 3.50
Expected volatility		67.6% - 69.8	%		67.5% - 69.3	%
Exercise price	$	11.50		$	11.50
Underlying Stock Price	$	2.72		$	3.08

The Company’s use of a Black-Scholes model required the use of subjective assumptions:

● The risk-free interest rate assumption was interpolated based on constant maturity U.S. Treasury rates over a term commensurate with the expected term of the Private Warrants.

● The expected term was based on the maturity of the Private Warrants of five years following June 29, 2021, the Business Combination date (as defined in the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, filed with the SEC on March 13, 2023), and for certain Private Warrants the maturity date was determined to be five years from October 1, 2020, ION initial public offering effective date.

● The expected share volatility assumption was based on the implied volatility from a set of comparable publicly-traded companies as determined based on size and proximity.

The following table presents the changes in the fair value of Warrants liability:

	Private			Public			Total
Input	Warrants			Warrants			Warrants
Fair value as of December 31, 2022	$	3,900		$	2,856		$	6,756
Change in fair value		(1,184	)		(492	)		(1,676	)
Fair value as of March 31, 2023 (unaudited)	$	2,716		$	2,364		$	5,080