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Fair Value Measurements
 12 Months Ended
Dec. 31, 2024
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS:

NOTE 13 - FAIR VALUE MEASUREMENTS:

 

a.Financial instruments measured at fair value on a recurring basis

 

The Company’s assets and liabilities that are measured at fair value as of December 31, 2024, and 2023, are classified in the tables below in one of the three categories described in “Note 2 – Fair value measurement” above:

 

   December 31, 2024 
   Level 1   Level 3   Total 
Financial Assets               
RFI Shares  $3,144        $3,144 
Financial Liabilities               
Warrants and phantom warrants        206    206 
NPA       $17,777   $17,777 

  

   December 31, 2023 
   Level 1   Level 3   Total 
Financial Assets               
RFI Shares  $1,857        $1,857 
Financial Liabilities               
Warrants and phantom warrants        21,566    21,566 
CLAs        55,940    55,940 
NPA        21,976    21,976 
Earn-out liability        2,997    2,997 
Facility loans        23,151    23,151 
Other       $186   $186 

 

The following is a roll forward of the fair value of liabilities classified under Level 3:

 

  

2024

   Warrants and
phantom
warrants		   CLAs   NPAs   Facility loan   Earn-out liability   Other 
January 1 ,2024  $21,566   $55,940   $21,976   $23,151   $2,997   $186 
Issuance   10,445    11,750    18,704    
-
    
-
    
-
 
Payment   (2,813)   
-
    (38,675)   (24,600)   (2,974)   (200)
Conversion to equity   (444)   (69,570)   
-
    
-
    
-
    
-
 
Reclassification to equity   (28,225)   
-
    
-
    
-
    
-
    
-
 
Change in fair value   (323)   1,880    15,772    1,449    (23)   14 
December 31, 2024  $206   $
-
   $17,777   $
-
   $
-
   $
-
 
   2023 
   Warrants and
phantom
warrants		   CLAs   NPA   Facility loan   Earn-out liability   Other 
January 1 ,2023  $8,267   $3,809   $
-
   $29,745   $3,917   $185 
Issuance   14,649    27,225    19,750    
-
    
-
    
-
 
Payment   
-
    
-
    
-
    (5,400)   (1,667)   
-
 
Change in fair value   (1,350)   24,906    2,226    (1,194)   747    1 
December 31, 2023  $21,566   $55,940   $21,976   $23,151   $2,997   $186 

 

The fair value of the Company’s liabilities, based on the Company’s share price, were classified as Level 3. Before the IPO, they were estimated using a hybrid model in order to reflect two scenarios: (1) IPO event and (2) other liquidation events. The IPO scenario was based on the fair value of the Company’s business based on management estimation. The other liquidation events scenario was based on various market indications using an option pricing model (OPM) (income approach-based valuation technique). Application of these approaches and methodologies involves the use of estimates, judgments, and assumptions that are highly complex and subjective, such as those regarding the Company’s expected future revenue, expenses, and future cash flows, discount rates, the selection of comparable public companies, and the probability of and timing associated with possible future events.

 

The following table presents the main assumptions used in the hybrid model for the periods presented:

 

   December 31 
   2023 
Expected volatility   44.87%
Assumptions regarding the price of the underlying shares:     
Probability of an IPO scenario   25%
Expected time to IPO (years)   0.75 
Probability of liquidation events   75%
Expected time to liquidation (years)   2.0 

 

Starting from the closing of the IPO, the Company utilized a Black-Scholes Option Pricing model with Level 3 inputs for the valuation of its liability-classified warrants. Inherent in pricing models are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The underlying stock price input is the closing stock price as of each valuation date and the exercise price is the price as stated in the warrant agreement. The volatility input was determined using the historical volatility of comparable publicly traded companies which operate in a similar industry or compete directly against the Company.

 

Volatility for each comparable publicly traded company is calculated as the annualized standard deviation of daily continuously compounded returns. The Black-Scholes analysis is performed in a risk-neutral framework, which requires a risk-free rate assumption based upon constant-maturity treasury yields, which are interpolated based on the remaining term of the warrants as of each valuation date.

 

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

 

   December 31
   2024
Exercise price  $14.35-$31.08
Share price  $9.91
Volatility  44.49%
Term (years)  3.67 - 4.83
Risk-free interest rate  4.26% - 4.33 %
Dividend yield  0.0%

As of July 2024, the Company paid in full the Earn Out liability totaling to $0.75 million (€0.7 million)

 

The fair value of the 2024 NPA, measured under the fair value option, was measured by discounting the predicted cashflows of the loan using a spread equal to 0.91% above an ilCa USD yield curve.

 

b.Financial instruments measured not at fair value on a recurring basis

 

Financial instruments not recorded at fair value on a recurring basis include cash and cash equivalents, restricted cash, trade receivables, bank deposits, trade and other payables and short-term borrowings. Due to their nature, their fair value approximates their carrying value.

 

The fair value of Vision’s bank loans approximates their carrying value.