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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2020
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | NOTE 7:- FAIR VALUE MEASUREMENTS Financial instruments measured at fair value on a recurring basis include warrants to convertible preferred shares (see Note 9). The warrants are classified as a liability in accordance with ASC 480-10-25. These warrants were classified as level 3 in the fair value hierarchy since some of the inputs used in the valuation (the share price) were determined based on management’s assumptions. To calculate the fair value of the warrants, the Company first calculated the underlying preferred share value by using the income approach and the market approach. Then the equity value was allocated by using the hybrid model method utilizing two scenarios of option pricing model and IPO. Once the preferred shares value was derived from the two scenarios, the Black-Scholes model was utilized to calculate the warrants’ value in each one of the scenarios. 50% probability for each one of the scenarios was applied to derive the weighted average fair value of the warrants. As of December 31, 2019: According to the liquidation scenario the underlying share price was between $13.25 - $13.40 for the Convertible Preferred E-1 shares. The following assumptions were used to estimate the value of the series E-1 Preferred share warrants as of December 31, 2019 (exercise price of $15.95): expected volatility of 69.11%, risk free interest rates of 1.82%, dividend yield of 0%, and expected term of 2.25 years. Under the IPO scenario the underlying share price was $12.18 for the Convertible Preferred E-1 shares. The following assumptions were used to estimate the value of the series E-1 Preferred share warrants as of December 31, 2019 (exercise price of $15.95): expected volatility of 64.03%, risk free interest rates of 1.87%, dividend yield of 0%, and expected term of 0.42 years. Accordingly, the fair value of the series E-1 Preferred share warrants as of December 31, 2019 was $563. According to the liquidation scenario, the underlying share price was $10.29 for the Convertible Preferred D-2 shares. The following assumptions were used to estimate the value of the series D-2 Preferred share warrants as of December 31, 2019 (exercise price of $9.24): expected volatility of 69.11%, risk free interest rates of 1.82%, dividend yield of 0% and expected term of 2.25 years. Under the IPO scenario, the underlying share price was $12.18 for the Convertible Preferred D-2 shares. The following assumptions were used to estimate the value of the series D-2 Preferred share warrants as of December 31, 2019 (exercise price of $9.24): expected volatility of 64.03%, risk free interest rates of 1.87%, dividend yield of 0%, and expected term of 0.42 years. Accordingly, the fair value of the series D-2 Preferred share warrants as of December 31, 2019 was $11,275. According to the liquidation scenario, the underlying share price was $4.35 for the Convertible Preferred A shares. The following assumptions were used to estimate the value of the series A Preferred share warrants as of December 31, 2019 (exercise price of NIS 0.84 ($0.24)): expected volatility of 69.11%, risk free interest rates of 1.82%, dividend yield of 0% and expected term of 2.25 years. Under the IPO scenario, the underlying share price was $12.18 for the Convertible Preferred A shares. The following assumptions were used to estimate the value of the series A Preferred share warrants as of December 31, 2019 (exercise price of NIS 0.84 ($0.24)): expected volatility of 64.03%, risk free interest rates of 1.87%, dividend yield of 0%, and expected term of 0.42 years. Accordingly, the fair value of the series A Preferred share warrants as of December 31, 2019 was $403. As of June 30, 2020: According to the IPO scenario, the underlying share price was $16 for the series E-1 Preferred shares. The following assumptions were used to estimate the value of the series E-1 Preferred share warrants as of June 30, 2020: exercise price of $15.95, expected volatility of 78.07%, risk free interest rates of 0.76%, dividend yield of 0%, and expected term of 4.17 years. Accordingly, the fair value of the series E-1 Preferred share warrants as of June 30, 2020 was $1,868. According to the IPO scenario, the underlying share price was $16 for the series D-2 Preferred shares. The following assumptions were used to estimate the value of the series D-2 Preferred share warrants as of June 30, 2020: exercise price of $9.24, expected volatility of 82.48%, risk free interest rates of 0.46%, dividend yield of 0%, and expected term of 0.6 years. Accordingly, the fair value of the series D-2 Preferred share warrants as of June 30, 2020 was $20,930. As of June 30, 2020, as part of the IPO 1,123,570 Warrants have been exercised on cashless basis into 475,049 Ordinary shares. According to the IPO scenario, the underlying share price was $16 for the series A Preferred shares. The following assumptions were used to estimate the value of the series A Preferred share warrants as of June 30, 2020: exercise price of 0.84 NIS ($0.23) and dividend yield of 0%. Accordingly, the fair value of the series A Preferred share warrants as of June 30, 2020 was $816. As of June 30, 2020, as part of the IPO, 53,775 Warrants have been exercised into 53,775 Ordinary shares. On June 30, 2020, as a result of the IPO, the warrant liability to Convertible Preferred shares has been classified to Warrants to Ordinary shares in equity. The change in the fair value of the Preferred share warrant liability is summarized below:
|  | December 31, |
|  | 2020 |  |  | 2019 |
Beginning of year |  | $ | 12,241 |  |  | $ | 22,926 |
Issuance of warrants |  |  | - |  |  |  | 680 |
Change in fair value |  |  | 11,373 |  |  |  | (11,365 | )
Reclassification of Warrants into equity |  |  | (23,614 | ) |  |  | - |
End of period |  | $ | - |  |  | $ | 12,241 |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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