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FAIR VALUE MEASUREMENTS | 12 Months Ended
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Dec. 31, 2024
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS The following table presents information about the Company’s assets and liabilities fair value at December 31, 2024 and 2023 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
| December 31, 2024
| Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |
Money market fund | $ | 28,843 |  |  | $ | — |  |  | $ | — |
Total | $ | 28,843 |  |  | $ | — |  |  | $ | — |
Amounts included in: |  |  |  |  |
Cash and cash equivalents | $ | 28,843 |  |  | $ | — |  |  | $ | — |
Total | $ | 28,843 |  |  | $ | — |  |  | $ | — |
| December 31, 2024
| Level 1 |  | Level 2 |  | Level 3
Liabilities: |  |  |  |  |
Derivative liabilities at fair value | $ | — |  |  | $ | — |  |  | $ | 12,875 |
Warrants liability | — |  | 32,140 |  |  | 9,010 |
Total | $ | — |  |  | $ | 32,140 |  |  | $ | 21,885 |
NOTE 15. FAIR VALUE MEASUREMENTS (cont.)
| December 31, 2023 |
| Level 1 |  | Level 2 |  | Level 3 |
Assets: |  |  |  |  |  |
Money market fund | $ | 710 |  |  | $ | — |  |  | $ | — |  |
Bank deposits | — |  |  | 44,395 |  |  | — |  |
Total | 710 |  |  | 44,395 |  |  | — |  |
Amounts included in: |  |  |  |  |  |
Cash and cash equivalents | $ | 710 |  |  | $ | — |  |  | $ | — |  |
Short-term investments | — |  |  | 44,395 |  |  | — |  |
Total | $ | 710 |  |  | $ | 44,395 |  |  | $ | — |  |
| December 31, 2023
| Level 1 |  | Level 2 |  | Level 3
Liabilities: |  |  |  |  |
Derivative liabilities at fair value | $ | — |  |  | $ | — |  |  | $ | 4,126 |
Warrants liability | — |  | — |  | 3,400 |
Total | $ | — |  |  | $ | — |  |  | $ | 7,526 |
Fair value of warrants liability The Warrants issued as part of the SPAs mentioned in Note 13 were valued using Black Scholes Option Pricing Model, which is considered to be a Level 3 fair value measurement. As part of the inputs used in the Black-Scholes model to determine the fair value of these Warrants, the expected volatility of the Class A Ordinary shares was estimated based on the historical volatility of the Company's own publicly traded shares. The following table provides the inputs used for Level 3 fair value measurements of warrants liability:
|  | December 31, 2024 |  | December 31, 2023
Stock price |  | $8.83 |  | $5.14
Strike price |  | $4.42 | - | $5.74 |  | $4.97 | - | $5.74
Term (in years) |  | 1.5 | - | 2.5 |  | 1.5 | - | 2.5
Volatility |  | 97.80% | - | 116.20% |  | 57.77% | - | 59.65%
Risk-free rate |  | 4.19% | - | 4.30% |  | 4.15% | - | 4.34%
Dividend yield |  | 0.0% |  | 0.0%
The pre-funded warrants mentioned in Note 13 are classified as Level 2 due to the use of observable market data for similar instruments. The fair value of the pre-funded warrants is determined to be consistent with the fair value of the Company's Class A Ordinary share due to the nominal exercise price. NOTE 15. FAIR VALUE MEASUREMENTS (cont.) Derivative liability at fair value Derivative liability at fair value was valued using a Monte-Carlo simulation, which was considered to be a Level 3 fair value measurement. The Monte-Carlo simulation primary input utilized in determining the fair value of the Derivative liability was the expected volatility of the Class A ordinary shares. The expected volatility was based on the historical price of the Company’s Class A ordinary shares. The following table provides the inputs used for Level 3 fair value measurements of derivative liability:
|  | December 31, 2024 |  | December 31, 2023
Stock price |  | $8.83 |  | $5.14
Term (in years) |  | 1.5 | - | 2.5 |  | 1.5 | - | 2.5
Volatility |  | 95.00% | - | 96.54% |  | 57.77% | - | 59.65%
Risk-free rate |  | 4.48% | - | 4.49% |  | 4.27% | - | 4.34%
Cost of Debt (Rd) |  | 7.64% |  | 7.03% | - | 7.10%
Dividend yield |  | 0.0% |  | 0.0%
Changes in the fair value of Level 3 The following table presents the changes in the fair value of Level 3 warrants and derivative liabilities for the year ended December 31, 2024 and 2023:
| Total Level 3 Financial Liabilities
Balance at December 31, 2023 | $ | 7,526 |
Change in fair value of derivative liabilities at fair value | 9,143 |
Partial conversion of convertible notes | (394) |
Change in fair value of warrants liability | 5,610 |
Balance at December 31, 2024 | $ | 21,885 |
| Total Level 3 Financial Liabilities
Balance at December 31, 2022 | $ | — |
Issuance of derivative liabilities at fair value (Note 13) | 4,366 |
Change in fair value of derivative liabilities at fair value | (240) |
Issuance of warrants (Note 13) | 3,796 |
Change in fair value of warrants liability | (396) |
Balance at December 31, 2023 | $ | 7,526 |

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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/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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