Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.22.4
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2022 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.
Fair Value
Level 1 Level 2 Level 3 Total
$’000 $’000 $’000 $’000
Tradeable Alkuri Warrants — — — —
Non-tradeable Alkuri Warrants — — — —
AlbaCore Warrants
 — — 711 711
Stockholder earnouts — — 646 646
Sponsor earnouts — — 21 21
— — 1,378 1,378
Fair Value, Liabilities Measured On Recurring Basis, Observable And Unobservable Input Reconciliation
The following table presents a reconciliation of the fair values for each level of fair value instruments is below:
Tradeable (Level 1) Non-tradeable (Level 2) Non-tradeable (Level 3) Total
$’000 $’000 $’000 $’000
Balance of Warrant and Earnout liabilities at December 31, 2021 5,865 4,035 185,177 195,077
Fair value of Additional AlbaCore warrants upon issuance — — 3,418 3,418
Fair value remeasurement of Warrant and Earnout liabilities prior to settlement of Alkuri warrants (3,105) (2,136) (173,489) (178,730)
Settlement of Alkuri warrants upon issuance of shares (2,760) (1,899) 291 (4,368)
Fair value remeasurement of Warrant and Earnout liabilities — — (14,019) (14,019)
Balance of Warrant and Earnout liabilities at December 31, 2022 — — 1,378 1,378
Fair Value Measurement Inputs and Valuation Techniques
The key inputs into the Monte Carlo simulation model for the AlbaCore Warrants were as follows on the date of issuance and as of December 31, 2021 and 2022:
As of As of As of
December 31, 2022
 December 31, 2021
November 4, 2021
Underlying stock price (USD)
 $ 6.75  $ 145.75  $ 241.50 
Exercise price (USD) $ 0.00106  $ 0.00106  $ 0.00106 
Volatility 75.7  % 71.6  % 66.7  %
Remaining term (years) 3.85 4.85 5.00
Risk-free rate
 4.0  % 1.2  % 1.1  %

The key inputs into the Monte Carlo simulation model for the Earnout shares were as follows on the date of issuance and as of December 31, 2021 and 2022:
As of As of As of
December 31, 2022
December 31, 2021
 October 21, 2021
Underlying stock price (USD)
 $ 6.75  $ 145.75  272.50
Exercise price (USD) N/A N/A N/A
Volatility 75.2  % 69.5  % 62.6  %
Remaining term (years) 4.56 5.56 5.75
Risk-free rate
 4.0  % 1.3  % 1.3  %