XML 31 R25.htm IDEA: XBRL DOCUMENT v3.24.4

Fair Value Measurements (Tables)

9 Months Ended

Sep. 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):

		September 30, 2024
		Balance			Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Liabilities
Oramed Note		$	69,946		$	—			$	—			$	69,946
FSF Deposit			14,690			—				—				14,690
Derivative liabilities			11,453			—				—				11,453
Other long-term liabilities			155			—				—				155
Total liabilities measured at fair value		$	96,244		$	—			$	—			$	96,244

		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 nine months ended September 30, 2024 (in thousands):

		Fair Value
Ending Balance as of December 31, 2023		$	1,518
Change in fair value measurement			(2,367	)
Issuance of Firm Warrants as part of the Bought Deal Offering, RDO Common Warrants as part of the Registered Direct Offering and Private Warrants as part of Oramed Side Letter			12,302
Ending Balance as of September 30, 2024		$	11,453

Schedule of quantitative information regarding Level 3 fair value measurements

A summary of the inputs used in valuing the derivative warrant liabilities is as follows:

		Private Warrants				Firm Warrants				RDO Common Warrants
		September 30,				September 30,				September 30,
		2024				2024				2024
Equity value		$	0.92			$	0.92			$	0.92
Exercise price		$	11.50			$	1.70			$	1.10
Term, in years			3.11				4.43				4.57
Volatility			111.0	%			82.0	%			81.0	%
Risk-free rate			3.55	%			3.55	%			3.55	%
Dividend yield			0.0	%			0.0	%			0.0	%
Call option value		$	0.23			$	0.48			$	0.57

		Private Warrants
		December 31,
		2023
Equity value		$	2.04
Exercise price		$	11.50
Term, in years			3.86
Volatility			76.0	%
Risk-free rate			3.90	%
Dividend yield			0.0	%
Call option value		$	0.42

X

- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Topic 825
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 21
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482907/825-10-50-21

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Topic 825
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 23
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482907/825-10-50-23

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 20
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482907/825-10-50-20

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 22
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482907/825-10-50-22

+ Details

Name:	us-gaap_FairValueConcentrationOfRiskTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of derivative liabilities at fair value.

+ References

No definition available.

+ Details

Name:	us-gaap_ScheduleOfDerivativeLiabilitiesAtFairValueTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration