Annual report pursuant to Section 13 and 15(d)

Fair Calue of Bifrucated Convertible Feature of Convertible Bridge Loans (Tables)

v3.21.1
Fair Calue of Bifrucated Convertible Feature of Convertible Bridge Loans (Tables)
12 Months Ended
Dec. 31, 2020
Debt Disclosure [Abstract]  
Summary of Observable Inputs Used in the Valuation of the Convertible Component Liability
C. The following table summarizes the observable inputs used in the valuation of the convertible component liability as of the closing date and December 31, 2020:

 

    Closing Date   As of
December 31, 2020
 
Share price (U.S. dollars)   $ 0.051-$0.125   $ 0.075  
Expected volatility   95.92%-127.53%     128.3%-131.5%  
Risk-free interest rate   0.10%-0.18%     0.08%-0.14%  

Summary of Fair Value of Convertible Component Liability
    Fair value of bifurcated conversion feature liability  
 Balances as of December 31, 2019   $ -  
 Plus: Recognition at the initial date     2,893  
 Less: Partial conversion of convertible bridge loans into equity     (38 )
 Plus: Modification of convertible bridge loans transactions     213  
 Less: Changes in fair value     (568 )
 Balances as of December 31, 2020   $ 2,500