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Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2023
Fair Value of Financial Assets and Liabilities - Derivative Instruments  
Schedule of Fair Value Measurements

Year Ended

December 31, 2023

Discount rate

21.01%-45.88%

Probabilities of settlement scenarios

0%-85%

Volatility

101.1%-123.6%

Expected term (in years)

0.2-1.5

Risk-free rate

4.62%-5.39%

Schedule of Changes in Fair Value of Liabilities

The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial liabilities (in thousands):

Convertible Loan
Pre Modification

Convertible Loan
Post Modification

Balance at December 31, 2022

$

$

Net proceeds from issuance of the Convertible Loan (1)

29,226

Initial recognition of modified Convertible Loan (1)

35,031

Change in fair value

 

(1,757)

23,602

Convertible Loan exchanged (2)

(31,332)

Loss on extinguishment

3,863

Balance at December 31, 2023

$

$

58,633

(1) The Convertible Loan is carried at fair value in the consolidated balance sheets. As such, the principal and accrued interest are included in the determination of fair value.

(2) The Company concluded that the amendment to the Convertible Loan was an extinguishment for accounting purposes and the amount exchanged was the relative fair value allocated to the Convertible Loan at the extinguishment date (Note 7).