Annual and transition report of foreign private issuers pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.20.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2019
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 3 - FAIR VALUE MEASUREMENTS

 

A. Estimates of fair value

 

The following is an analysis of the financial instruments measured at fair value, according to valuation methods. Inputs for the assets and liabilities that are not based on observable market data (unobservable inputs) (Level 3).

 

The Company's financial liability at fair value through profit or loss is the anti-dilution derivatives, classified as liabilities, and amounted to $68 and $97 as of December 31, 2019 and 2018, respectively.

 

The following table presents the assumptions that were used for the models as of December 31, 2018:

 

    Alpha     Meitav Dash and Ami Sagy*  
             
Probability     5 %     5 %
                 
Expected volatility     57.33 %     53.31 %
Risk free interest rate     0.47 %     0.55 %
Expected term (years)     0.82       0.99  

 

The following table presents the assumptions that were used for the models as of December 31, 2019:

 

    Ami Sagy*     US investors -2019 agreement  
             
Probability     3 %     3 %
                 
Expected volatility     59.58 %     59.58 %
Risk free interest rate     1.62 %     1.62 %
Expected term (years)     2.68       2.68  

 

B. Financial instruments in level 3

 

The following table presents the Level 3 anti-dilution instrument roll-forward:

 

    2017     2018     2019  
Opening balance as of beginning of year     -       (41 )     (97 )
Issuance     (38 )     -       (100 )
Exercise of anti-dilution derivatives     -       -       2,024  
Loss from changes in fair value of financial instruments     (3 )     (56 )     (1,895 )
Closing balance as of end of year     (41 )     (97 )     (68 )

 

The following table presents the Level 3 warrants roll-forward:

 

    2019  
Opening balance as of beginning of year     -  
Classification of warrants from equity to liability     (1,804 )
Loss from changes in fair value of financial instruments     (1,335 )
Classification of warrants from liability to equity     3,139  
Closing balance as of end of year     -