Annual report pursuant to Section 13 and 15(d)

Fair Value (Tables)

v3.24.1
Fair Value (Tables)
12 Months Ended
Dec. 31, 2023
Fair Value [Line Items]  
Schedule of Fair Value Categorized Within Level 3 of the Fair Value Hierarchy 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 value from January 1, 2022 to December 31, 2023:
Senior Convertible Notes      
Beginning fair value balance - January 1, 2022   $ 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  
Principal payments in cash and Common Stock     (11,526,457 )
Change in fair value reported in the statements of operations     370,457  
Change in fair value reported in other comprehensive income     48,000  
Ending fair value balance - December 31, 2023   $ 3,499,000  

 

Schedule of Reconciliation of the Fair Values the following is a reconciliation of the fair values for the years ended December 31, 2023 and December 31, 2022:
    Year Ended December 31,  
    2023     2022  
Fair value balance at beginning of period   $     $ 63,178  
Change in fair value reported in the statements of operations           (63,178 )
Fair value balance at end of period   $     $  

 

Convertible Debt [Member]  
Fair Value [Line Items]  
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   2023     2022  
Face value principal payable   $ 3,136,271     $ 14,662,727  
Conversion prices, as adjusted for the Reverse Stock Split and certain securities offerings   $ 95.00     $ 95.00  
Value of Common Stock on measurement date   $ 8.80     $ 13.80  
Expected term (years)     0.8       1.8  
Volatility     96 %     77 %
Market yield (range)     38.2 to 38.4  %     43.9 to 44.3 %
Risk free rate     4.1 %     4.4 %
Issue date     October 5, 2021       October 5, 2021  
Maturity date     October 5, 2024       October 5, 2024  
Private warrant [Member]  
Fair Value [Line Items]  
Schedule of Fair Value by Using Key Inputs We estimated the fair value by using the following key inputs:
    As of December 31,  
Fair Value Assumptions - Private Warrants   2023     2022    
Number of Private Warrants     225,635       225,635  
Exercise price, as adjusted for the Reverse Stock Split   $ 4,600.00     $ 4,600.00  
Value of Common Stock on measurement date   $ 8.80     $ 13.80  
Expected term (years)     0.46       1.46  
Volatility     NM %     NM  
Risk free rate     NM %     NM  
Common Warrants and Underwriter Warrants [Member]  
Fair Value [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 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   $ 70.36  
Expected term (years)     5.0  
Volatility     136.9 %