Fair Value (Tables)
|
9 Months Ended |
Sep. 30, 2023 |
|---|
| Fair Value (Tables) [Line Items] |
|
| 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 nine months ended September 30, 2023 and September 30, 2022:
| |
|
Three Months |
|
|
Nine Months |
|
| |
|
Ended September 30, |
|
|
Ended September 30, |
|
| |
|
2023 |
|
|
2022 |
|
|
2023 |
|
|
2022 |
|
| Fair value balance at beginning of period |
|
$ |
9,265,000 |
|
|
$ |
13,388,000 |
|
|
$ |
14,607,000 |
|
|
$ |
17,305,000 |
|
| Principal payments in cash and Common Stock |
|
|
(1,500,000 |
) |
|
|
--- |
|
|
|
(7,929,457 |
) |
|
|
(5,380,000 |
) |
| Change in fair value reported in the statements of operations |
|
|
(185,000 |
) |
|
|
1,113,000 |
|
|
|
863,457 |
|
|
|
2,840,000 |
|
| Change in fair value reported in other comprehensive loss |
|
|
3,000 |
|
|
|
(26,000 |
) |
|
|
42,000 |
|
|
|
(290,000 |
) |
| Fair value balance at end of period |
|
$ |
7,583,000 |
|
|
$ |
14,475,000 |
|
|
$ |
7,583,000 |
|
|
$ |
14,475,000 |
|
|
| Schedule of Fair Value by Using Key Inputs |
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 nine months
ended September 30, 2023 and September 30, 2022:
| |
|
Three Months Ended
Sept 30, |
|
|
Nine Months Ended
Sept 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 |
|
|
| 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 |
| September 30,
2023 |
|
| December 31,
2002 |
|
| Face value principal payable |
| $ |
6,733,271 |
|
| $ |
14,662,727 |
|
| Original conversion price |
| $ |
4.75 |
|
| $ |
4.75 |
|
| Value of Common Stock |
| $ |
0.22 |
|
| $ |
0.69 |
|
| Expected term (years) |
| |
1.0 |
|
| |
1.8 |
|
| Volatility |
| |
102 |
% |
| |
77 |
% |
| Market yield |
| |
41.2 |
% |
| |
44.3 to 43.9 |
% |
| Risk free rate |
| |
4.7 |
% |
| |
4.4 |
% |
| Issue date |
| |
October 5, 2021 |
|
| |
October 5, 2021 |
|
| Maturity date |
| |
October 5, 2024 |
|
| |
October 5, 2024 |
|
|
| 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 |
|
September 30,
2023 |
|
|
December 30,
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 |
|
|
| 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 |
% |
|