Fair Value (Tables)
|
9 Months Ended |
12 Months Ended |
Sep. 30, 2023 |
Dec. 31, 2022 |
| Fair Value (Tables) [Line Items] |
|
|
| 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 |
|
|
|
| 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 Ended September 30,
|
|
Nine Months 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 |
|
|
|
| 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 | | September 30,
2023 | | December 31,
2022 | | 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
|
|
|
|
|
|
|
|
Risk free rate
|
|
|
|
|
|
|
|
|