Registration of securities issued in business combination transactions

Fair Value (Tables)

v3.23.3
Fair Value (Tables)
6 Months Ended 12 Months Ended
Jun. 30, 2023
Dec. 31, 2022
Senior Secured Convertible Notes [Member]    
Fair Value (Tables) [Line Items]    
Schedule of Reconciliation of Fair Values   For the 2020 Notes and Senior Convertible Notes, which are measured at fair value categorized within Level 3 of the fair value hierarchy, the following is a reconciliation of the fair values for the periods presented:

2020 Notes

 

 

 

 

Ending fair value balance – December 31, 2020

 

$

13,398,000

 

Principal payments in cash and Common Stock

 

 

(15,172,727

)

Change in fair value reported in the statements of operations

 

 

2,030,904

 

Change in fair value reported in other comprehensive income

 

 

(70,000

)

Gain on extinguishment of debt reported in the statement of operations

 

 

(186,177

)

Ending fair value balance – October 5, 2021

 

$

 

Senior Convertible Notes [Member]    
Fair Value (Tables) [Line Items]    
Schedule of Reconciliation of Fair Values   For the Senior Secured Notes, which are measured at fair value categorized within Level 3 of the fair value hierarchy, the following is a reconciliation of the fair values from October 5, 2021 to December 31, 2022:

Senior Convertible Notes

 

 

 

 

Beginning fair value balance on October 5, 2021

 

$

18,000,000

 

Principal payments in cash and Common Stock

 

 

 

Change in fair value reported in the statements of operations

 

 

(665,000

)

Change in fair value reported in other comprehensive income

 

 

(30,000

)

Ending fair value balance – December 31, 2021

 

$

17,305,000

 

Principal payments in cash and Common Stock

 

 

(5,337,273

)

Change in fair value reported in the statements of operations

 

 

2,884,273

 

Change in fair value reported in other comprehensive income

 

 

(245,000

)

Ending fair value balance – December 31, 2022

 

$

14,607,000

 

Schedule of Fair Value by Using Key Inputs   We determined the fair value of the Senior Convertible Notes by using the following key inputs to the Monte Carlo Simulation Model:
 

As of December 31,

Fair Value Assumptions – Senior Convertible Notes

 

2022

 

2021

Face value principal payable

 

$

14,662,727

 

 

$

20,000,000

 

Conversion prices, as adjusted for the Reverse Stock Split and certain securities offerings

 

$

4.75

 

 

$

4.05

 

Value of Common Stock on measurement date

 

$

0.69

 

 

$

1.75

 

Expected term (years)

 

 

1.8

 

 

 

2.8

 

Volatility

 

 

77

%

 

 

75

%

Market yield (range)

 

 

44.3 to 43.9

%

 

 

37.1 to 0

%

Risk free rate

 

 

4.4

%

 

 

1.0

%

Issue date

 

 

October 5, 2021

 

 

 

October 5, 2021

 

Maturity date

 

 

October 5, 2024

 

 

 

October 5, 2024

 

Private Warrants [Member]    
Fair Value (Tables) [Line Items]    
Schedule of Reconciliation of Fair Values   We estimated the fair value by using the following key inputs:
 

As of December 31,

Fair Value Assumptions – Private Warrants

 

2022

 

2021

Number of Private Warrants

 

 

225,635

 

 

225,635

 

Exercise price, as adjusted for the Reverse Stock Split

 

$

230.00

 

$

230.00

 

Value of Common Stock on measurement date

 

$

0.69

 

$

1.75

 

Expected term (years)

 

 

1.46

 

 

2.46

 

Volatility

 

 

NM

 

 

85.8

%

Risk free rate

 

 

NM

 

 

0.8

%

Schedule of Fair Value by Using Key Inputs   For the Private Warrants, which are classified as derivative liabilities on our consolidated balance sheets and measured at fair value categorized within Level 3 of the fair value hierarchy, the following is a reconciliation of the fair values for the years ended December 31, 2022 and December 31, 2021:
 

Year Ended December 31,

   

2022

 

2021

Fair value balance at beginning of period

 

$

63,178

 

 

$

311,376

 

Change in fair value reported in the statements of operations

 

 

(63,178

)

 

 

(248,198

)

Fair value balance at end of period

 

$

 

 

$

63,178

 

Common Warrants and Underwriter Warrants [Member]    
Fair Value (Tables) [Line Items]    
Schedule of Fair Value Measurement Unit Offering Common and Underwriter Warrants The fair value of the Common Warrants and Underwriter Warrants issued in connection with our 2022 Unit Offering represent a measurement within Level 3 of the fair value hierarchy and were estimated based on the following key inputs as of the date of the 2022 Unit Offering:

Fair Value Assumptions – 2022 Common and Underwriter Warrants

 

July 5,
2022

Exercise price

 

$

4.60

 

Expected term (years)

 

 

5.0

 

Volatility

 

 

136.9

%

The fair value of the Common Warrants and Underwriter Warrants issued in connection with the 2022 Unit Offering represent a measurement within Level 3 of the fair value hierarchy and were estimated based on the following key inputs as of the date of the 2022 Unit Offering:

Fair Value Assumptions – 2022 Common and Underwriter Warrants

 

July 5,
2022

Exercise price as adjusted for the Reverse Stock Split

 

$

4.60

 

Expected term (years)

 

 

5.0

 

Volatility

 

 

136.9

%

Convertible Debt [Member]    
Fair Value (Tables) [Line Items]    
Schedule of Fair Value by Using Key Inputs We estimated the fair value by using the following key inputs to the Monte Carlo Simulation Models:

Fair Value Assumptions – Convertible Notes

 

June 30,
2023

 

December 31,
2022

Face value principal payable

 

$

8,233,271

 

 

$

14,662,727

 

Original conversion price

 

$

4.75

 

 

$

4.75

 

Value of Common Stock

 

$

0.605

 

 

$

0.69

 

Expected term (years)

 

 

1.3

 

 

 

1.8

 

Volatility

 

 

111

%

 

 

77

%

Market yield

 

 

41.7

%

 

 

44.3 to 43.9

%

Risk free rate

 

 

4.9

%

 

 

4.4

%

Issue date

 

 

October 5, 2021

 

 

 

October 5, 2021

 

Maturity date

 

 

October 5, 2024

 

 

 

October 5, 2024

 

 
Schedule of Reconciliation of Fair Values For the Senior Convertible Notes, which are measured at fair value categorized within Level 3 of the fair value hierarchy, the following represents a reconciliation of the fair values for the three and six months ended June 30, 2023 and June 30, 2022:
 

Three Months Ended June 30,

 

Six Months Ended June 30,

   

2023

 

2022

 

2023

 

2022

Fair value balance at beginning of period

 

$

8,462,000

 

 

$

15,337,000

 

 

$

14,607,000

 

 

$

17,305,000

 

Principal payments in cash and Common Stock

 

 

(115,000

)

 

 

(2,080,000

)

 

 

(6,429,457

)

 

 

(5,380,000

)

Change in fair value reported in the statements of operations

 

 

893,000

 

 

 

294,000

 

 

 

1,048,457

 

 

 

1,727,000

 

Change in fair value reported in other comprehensive loss

 

 

25,000

 

 

 

(163,000

)

 

 

39,000

 

 

 

(264,000

)

Fair value balance at end of period

 

$

9,265,000

 

 

$

13,388,000

 

 

$

9,265,000

 

 

$

13,388,000

 

 
Private warrant [Member]    
Fair Value (Tables) [Line Items]    
Schedule of Fair Value by Using Key Inputs We estimated the fair value by using the following key inputs:

Fair Value Assumptions – Private Warrants

 

June 30,
2023

 

December 31,
2022

Number of Private Warrants

 

 

225,635

 

 

225,635

Original conversion price

 

$

230

 

$

230.00

Value of Common Stock

 

$

0.605

 

$

0.69

Expected term (years)

 

 

0.96

 

 

1.46

Volatility

 

 

NM

 

 

NM

Risk free rate

 

 

NM

 

 

NM

 
Schedule of Reconciliation of Fair Values For the Private Warrants, which are classified as derivative liabilities on our condensed consolidated balance sheets and are measured at fair value categorized within Level 3 of the fair value hierarchy, the following represents a reconciliation of the fair values for the three and six months ended June 30, 2023 and June 30, 2022:
 

Three Months Ended June 30,

 

Six Months Ended June 30,

   

2023

 

2022

 

2023

 

2022

Fair value balance at beginning of period

 

$

 

$

45,127

 

 

$

 

$

63,178

 

Change in fair value reported in the statements of operations

 

 

 

 

(33,845

)

 

 

 

 

(51,896

)

Fair value balance at end of period

 

$

 

$

11,282

 

 

$

 

$

11,282